本文關(guān)鍵詞：中國證券分析師薦股評級的實證分析，，由筆耕文化傳播整理發(fā)布。

        隨著1990年12月上海證券交易所和1991年6月的深圳證券交易所的正式開市運營,中國的證券市場開始正式步入發(fā)展的軌道。隨著中國證券市場的發(fā)展,上市公司越來越多,而人們對證券市場的認(rèn)識也逐漸加深,因此證券市場的參與者也日益增加,然而面對著日益復(fù)雜的交易,普通的投資者很難對證券投資進(jìn)行全面的分析了解,此時證券分析師作為信息中介就被寄予重大的期望。證券分析師在資本市場中扮演著重要角色,他們作為證券市場的信息中介,銜接著上市公司和投資者,通過對上市公司進(jìn)行詳盡的調(diào)查,分析其中潛在的經(jīng)濟(jì)和投資價值,并為投資者提供投資建議,對降低信息不對稱起著非常關(guān)鍵的作用。他們在通過對上市公司進(jìn)行全面的了解和分析后,做出相應(yīng)的投資評級,比如“買入”、“中性”以及“賣出”等,那么投資者依據(jù)分析師的薦股評級而進(jìn)行證券投資操作,是否能給投資者帶來超額收益呢?證券分析師在進(jìn)行評級時注重上市公司的哪些特點,是挖掘公司的長期投資價值還是捕捉市場的短期熱點?他們的薦股評級對投資者是否有參考價值?本文在對這些問題的思考下,將證券分析師的薦股評級行為作為研究對象,將他們發(fā)布的股票推薦評級數(shù)據(jù)作為研究衡量的指標(biāo),分為不同的市場形態(tài)即牛市、熊市以及盤整期下對不同的薦股評級進(jìn)行研究分析,比較證券分析師的推薦評級會不會產(chǎn)生顯著的不同。本文采用事件研究法,并通過比較試圖去發(fā)現(xiàn)在不同的市場態(tài)勢下,證券分析師股票薦股行為的差異與相同點。這種推薦評級差異的存在,表明宏觀資本市場不同態(tài)勢對分析師的行為存在影響,薦股評級相同點的存在,說明證券分析師在薦股評級時有一定的標(biāo)準(zhǔn)和偏好,通過這些研究,有利于投資者更好得利用證券分析師的投資報告,更加準(zhǔn)確得來掌握投資信息,來獲得更高的收益。本文的研究思路和主要結(jié)論如下：第一部分是緒論,首先介紹了本文的研究背景、本文要研究的題目與意義。本文是在證券市場逐步發(fā)展,證券投資者逐漸增多的背景下,較多投資者在面對眾多的交易產(chǎn)品和日益復(fù)雜的交易程序下,會借鑒證券分析師的投資報告進(jìn)行投資。而作為證券市場的信息中介的證券分析師在對上市公司進(jìn)行全面的分析調(diào)查后,提供的投資建議是否有效,則對投資者有很大的影響。因此引發(fā)了對證券分析師薦股行為的研究。接著介紹了本文存在的可能創(chuàng)新與不足。創(chuàng)新點主要在于分為不同的市場形態(tài)進(jìn)行比較分析,同時采用較長時段內(nèi)的全部評級,不足主要是未將交易傭金考慮在內(nèi),對數(shù)據(jù)的處理不夠細(xì)致,也是筆者以后值得改進(jìn)的地方。第二部分是對證券分析師行業(yè)的概述。分為三個小結(jié)對證券分析師行業(yè)進(jìn)行簡單介紹,第一小節(jié)介紹了證券分析師的定義和分類,按照其受雇的機(jī)構(gòu)屬性不同,代表不同的利益群體這個分類標(biāo)準(zhǔn)將分析師分為買方分析師、賣方分析師和獨立分析師三種,而本文主要研究的是賣方的證券分析師,是受雇于證券公司的,向眾多投資者提供投資建議的分析師。第二小節(jié)介紹了分析師行業(yè)的發(fā)展歷史,證券分析師是隨著中國的資本市場的發(fā)展而逐漸規(guī)范,在發(fā)展前期大多數(shù)都是一些股評人士在指導(dǎo)投資,同時也存在一些黑嘴或者莊托的現(xiàn)象,隨著相關(guān)部門的監(jiān)管,證券分析師行業(yè)逐漸規(guī)范,對分析師的要求也逐漸提高,同時也逐漸得到投資者的肯定。第三小節(jié)介紹了證券分析師的職能,主要是搜集各種信息,并進(jìn)行分析處理,最后向投資者提供投資建議。第三部分是文獻(xiàn)綜述。通過研讀國外和國內(nèi)的文獻(xiàn),將其按照對證券分析師的薦股評級行為的有效性的區(qū)別進(jìn)行綜述,在分析和總結(jié)前面學(xué)者的研究下,選擇了本文的研究角度是基于普通投資者,并采用事件研究法來對不同市場形態(tài)下的評級行為進(jìn)行研究,以期望得出對投資者有用的研究結(jié)果。第四部分是本文研究的理論基礎(chǔ)介紹,主要介紹了有效市場理論和信息經(jīng)濟(jì)學(xué)。第五部分是本文的重點——實證研究。這部分分為三個小節(jié)進(jìn)行分析,第一小節(jié)先介紹了本文的數(shù)據(jù)選擇是證券分析師發(fā)布的全部A股的推薦評級,并將評級進(jìn)行歸類處理,分為買入、賣出和中性三種類型,并將其分為牛市、熊市和盤整期三種不同市場形態(tài)的評級,采取的股票價格為向前復(fù)權(quán)后的股票價格。第二小節(jié)介紹了本文采用事件研究法的研究步驟,研究的事件和選取的事件窗口等。在對相關(guān)的數(shù)據(jù)進(jìn)行處理后,采用市場模型計算正常收益率,利用stata軟件編程運行得出不同市場形態(tài)下,各個時間窗口的平均累計超額收益率,并對得出的結(jié)果先分為牛市、熊市和盤整期下的不同評級進(jìn)行研究,分析在不同的市場行情下,證券分析師發(fā)布的薦股評級的不同參考價值。在牛市行情中,買入的評級具有較高的參考價值；在熊市行情中,賣出評級具有較高的參考價值；在盤整行情中,賣出評級具有相對高的參考價值。接著將同一類評級放在一起分析不同市場行情下給出的薦股評級的相同點和差異之處。第六部分是本文的結(jié)論與建議。本文通過對實證結(jié)果的分析,得出證券分析師的薦股行為具有一定的特征。第一,證券分析師發(fā)布的薦股評級的準(zhǔn)確性會受到市場行情的影響。第二,證券分析師普遍存在一種樂觀的心態(tài),其傾向推薦買入評級。第三,證券分析師給出的中性評級所推薦的股票有些可以作為賣出組合的選擇之一,因為發(fā)布的中性評級的走勢與賣出評級的比較相似,甚至有時下跌幅度比賣出評級的大。第四,證券分析師在給出不同評級時會考慮評級前股票的一個走勢,即說明中國的證券分析師是信息驅(qū)動型的,喜歡關(guān)注市場熱點和關(guān)注明星股。第五,通過比較分析證券分析師給出的三種不同評級得出的數(shù)據(jù),發(fā)現(xiàn)在不同的證券市場形態(tài)下,賣出評級的參考意義相對較大。基于本文的研究分析結(jié)果,提出對投資者的建議是證券分析師發(fā)布的投資建議會因不同的市場行情而又所不同,但總的來說賣出建議最有借鑒價值,按照其進(jìn)行操作確實可以規(guī)避一定的風(fēng)險,投資者在借鑒證券分析師的投資報告時,要結(jié)合整個宏觀經(jīng)濟(jì)來分析�？傊�,投資者可以在合理分析證券分析師的薦股評級下,充分利用證券分析師搜集處理的信息,來獲取超額收益。本論文的可能創(chuàng)新如下：1.內(nèi)容上的創(chuàng)新：本文對證券分析師的推薦評級的研究是以不同市場形態(tài)下進(jìn)行,分為三個不同形態(tài)：牛市下、熊市下、股市盤整期下,國內(nèi)很少有對著三種不同的市場形態(tài)下對薦股評級進(jìn)行研究。2.數(shù)據(jù)完整性：本文采用2005年到2011年底證券分析師給出的所有評級數(shù)據(jù)進(jìn)行分析,并對A股所有的股票進(jìn)行分析,這與之前不少的研究采用的是報紙或者電視上給出的推薦評級,更加具有完整性。本文也存在一定的不足之處,對薦股評級研究時只是利用其股價與薦股評級進(jìn)行分析,沒有過多地研究交易量、交易傭金方面進(jìn)行考慮,這是本文內(nèi)容上的不足同時筆者缺乏相關(guān)的證券從業(yè)經(jīng)驗,站在實踐角度提出更多可行建議的能力有待提升,希望在以后的研究中能夠得到一定改善。

    Since the Shanghai Stock Exchange and Shenzhen Stock Exchange formally opened in December1990and June1991, the security market in China has officially entered the track of development. And with the development of China’s securities markets, there are more and more of the listed companies and people gradually deepened knowledge of and participant in this market. However, in the face of increasingly complexity, individual investors is difficult to conduct a comprehensive analysis of securities investment. As a result, securities analysts are placed great expectations as an information broker.Securities analysts play an important role in the capital markets. As security market intermediaries, linking listed companies with investors, they analyze the potential economic and investment value through detailed investigation for listed companies, and provide investment advice to investors. In this way, they play a very crucial role to reduce the information asymmetry. Through comprehensive understanding and analysis of listed companies, they make the appropriate investment rating, such as "buy","neutral" and "sell". Then according to the analysts recommended stocks, the investors take investment operations. Will it give investors excess returns? What are the characteristics of the listed company’s securities analysts during rating? Is a mining company’s long-term investment value or a market’s short-term hot spot? Is their recommendation effective? Based on above questions, I took the rating behavior of securities as research subjects, the stock recommendation rating data as a research measure indicator, and had a research of stock recommendation on different market trends—bull and bear market to see whether they have a significantly different impact on the market. This paper used the event study methodology and tried to find out the differences and similarities of the Securities analyst stock recommendation stock behavior under the different market trends. The existence of the differences indicates that the market trend has an impact on the behavior of analysts; the existence of the similarities indicates that securities analysts have some standards and preferences. Through these studies, investors can get a better use of securities analysts, investment reports, and information to get higher returns.The content and structure of this paper is as following:Part One:IntroductionIt introduces the background, subject and meaning of this paper. It is in the context of the stock market step by step developing, the Securities Investor gradually increasing, and the investors in the face of a large number of increasingly complex trading products. Whether the information given by the security analysis is reliable or not will affect the investors significantly draw the research on the behavior of the security analysis. Then it introduced innovation and shortcomings in this paper. The innovation is the comparison of different market trends, and at the same time, it used the whole database in a long time period. The main shortcomings are that it doesn’t take the trading commissions into account, and the processing of data is not detailed enough.Part Two:Overview of the Securities Analyst IndustryFirst, it introduces the definition and classification of securities analysts. According to the property of the agency and the different interest groups, the analyst is divided into the buyer analysts, sell-side analysts and independent analysts. While the paper studied the seller of securities analysts, who is employed by a securities company to provide investment advice to public investors. Second, it describes the history of the analyst industry. The securities analyst appeared with the development of Chinese capital market. In the beginning, usually the security commentators gave some investment advices. However, there were some illegal problems. With the development of the regulations and standard in this industry, the requirements and the recognition of the analyst gradually improved. Third, it describes the functions of the securities analyst, which is to collect all kinds of information, to analyze and process, and finally provide investment advice to investors.Part Three:Literature ReviewThrough the study of foreign and domestic literature, I summarized the different effectiveness of recommended securities analysts. Also I chose to do this research based on the level of the individual public investors and the event study methodology.Part Four:the Theoretical Basis of this studyIt includes the efficient market theory and information economics.Part Five:Empirical StudyIt is the most important part in this paper. This part is divided into three sections. First, all the data I used is the recommendation of A-class stock divided into-buy, sell, and neutral—three types and—bull and bear—two markets trends. The stock price in research is present value of the stock price. The second section describes the steps using the event study, research events, selecting the event window and so on. After the data processing, I calculated the normal rate of return by market model, and used the stata software programming to obtain the average cumulative excess return of each time window. In the end, I analyzed different reference values of the security recommendations in different market trends. In a bull market, buy rating with a high reference value; sell rating has high reference value in a bear market; in the consolidation market, sell rating has a relatively high reference value. Then I conducted the similarities and differences in the different market trends.Part Six:Conclusions and RecommendationsIn this paper, the analysis of the empirical results obtained the recommending behavior of securities analysts has some characteristics. First, the accuracy of the securities analysts’ratings will be the impact of the market. Second, securities analysts widely have an optimistic attitude, and tend to recommend a buy rating. Third, a neutral rating given by securities analysts recommended the stock and some can be used as one of the sell portfolio choice, because the release of neutral rating trend is similar with sell ratings, and sometimes even a real decrease is larger than sell rating said. Fourth, securities analysts giving different rating will consider the trend of the stock before rating. Namely, the Chinese securities analyst is information-driven, prefers to concerned about the hot market and the star shares. Fifth, through a comparative analysis of the data obtained by three different rating given by the securities analyst, I found in different form of securities market, the reference value of the sell rating is relatively large.Based on the analysis results of this study, the effect of the securities analysts’ investment recommendations will be different because of different market conditions. But in general, sell recommendations has the best reference value to avoid certain risks. The investors need combine the investment report with the overall macroeconomic analysis to do their own investment. In short, investors can reasonable analyze the recommend stocks and take full advantage of the information collected by the security analysis, to obtain excess returns.

        中國證券分析師薦股評級的實證分析

摘要4-8Abstract8-111. 緒論14-19    1.1 研究背景14-15    1.2 研究選題及意義15-17    1.3 本文的創(chuàng)新與不足17-18    1.4 研究思路和框架18-192. 證券分析師行概述19-24    2.1 證券分析師的定義及分類19-20    2.2 證券分析師行的發(fā)展20-22    2.3 證券分析師的主要職能22-243. 文獻(xiàn)綜述24-30    3.1 國外文獻(xiàn)綜述24-25    3.2 國內(nèi)文獻(xiàn)綜述25-304. 理論基礎(chǔ)介紹30-33    4.1 有效市場理論30-31    4.2 信息經(jīng)濟(jì)學(xué)理論31-335. 實證研究33-57    5.1 數(shù)據(jù)來源與處理33-35    5.2 事件研究方法的步驟與設(shè)計35-40    5.3 實證結(jié)果分析40-57        5.3.1 數(shù)據(jù)的分類整理和描述統(tǒng)計40-42        5.3.2 牛市形態(tài)下的證券分析師評級比較42-45        5.3.3 熊市形態(tài)下的證券分析師評級比較45-49        5.3.4 盤整形態(tài)下的證券分析師評級比較49-53        5.3.5 不同市場形態(tài)下的買入、中性、賣出評級的比較分析53-576. 總結(jié)與建議57-60    6.1 實證總結(jié)57-59    6.2 對投資者的建議59-60參考文獻(xiàn)60-63后記63-64致謝64

  本文關(guān)鍵詞：中國證券分析師薦股評級的實證分析，由筆耕文化傳播整理發(fā)布。