本文選題：分析師跟進(jìn)　切入點(diǎn)：股價(jià)同步性　出處：《哈爾濱工業(yè)大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：證券分析師在市場(chǎng)和投資者之間起到重要的紐帶和橋梁作用,幫助投資者獲得相應(yīng)的市場(chǎng)信息,以便于其能夠做出正確的決策。證券分析師獲取到的信息,有的來(lái)自于上市公司公布的公告和財(cái)務(wù)報(bào)表等對(duì)外公開(kāi)的文件,有的則來(lái)自于分析師個(gè)人通過(guò)電話、采訪、調(diào)研等多種渠道所了解到的屬于私人的信息。證券分析師通過(guò)掌握的信息,根據(jù)個(gè)人專(zhuān)業(yè)素養(yǎng)做出分析和預(yù)測(cè),并通過(guò)發(fā)布的報(bào)告向市場(chǎng)傳遞有效信息�？梢哉f(shuō),證券分析師通過(guò)報(bào)告等方式,向市場(chǎng)投資者傳遞了信息,增加了投資者獲取信息的渠道,確保信息的“質(zhì)”和“量”同時(shí)提高,能夠提高證券市場(chǎng)的信息利用效率和傳遞效率。因此,本文采用了2011年-2016年中國(guó)中小板企業(yè)的最新數(shù)據(jù),從分析師跟進(jìn)的角度,分析影響分析師行為的主要因素,并在此基礎(chǔ)上,深入分析分析師跟進(jìn)行為對(duì)于股價(jià)同步性方面的影響,希望本文的研究能夠?yàn)樽C券市場(chǎng)的監(jiān)管提供一定的思路,同時(shí)幫助監(jiān)管機(jī)構(gòu)和投資者認(rèn)識(shí)到分析師的作用,以及提高資本市場(chǎng)的運(yùn)行效率。本文構(gòu)建了分析師跟進(jìn)與股價(jià)同步性的關(guān)系模型、分析師跟進(jìn)人數(shù)影響因素模型等,對(duì)于相關(guān)的樣本數(shù)據(jù)進(jìn)行統(tǒng)計(jì)性分析和實(shí)證分析,并對(duì)模型之間變量的多重共線性進(jìn)行了檢驗(yàn),同時(shí)在回歸分析中采用了內(nèi)生性處理、并且采用增加樣本量、變量替換、去掉極大值和極小值等方法進(jìn)行了穩(wěn)健性檢驗(yàn),從而確保實(shí)證分析結(jié)果的有效性。進(jìn)一步的針對(duì)本文實(shí)證分析的結(jié)果,提出相應(yīng)的政策建議。主要包括完善證券分析師相關(guān)規(guī)范制度、提高上市公司的信息披露質(zhì)量、提高證券分析師的專(zhuān)業(yè)素養(yǎng)、理性選擇跟蹤的上市公司等。通過(guò)研究本文主要得出以下結(jié)論;一是分析師跟蹤人數(shù)和上市企業(yè)規(guī)模,股票換手率,公司凈資產(chǎn)回報(bào)率呈現(xiàn)出較為顯著的正相關(guān)關(guān)系,與股權(quán)集中度呈負(fù)相關(guān)。上市企業(yè)規(guī)模越大,換手率越高,資產(chǎn)回報(bào)率好的獲得的分析師關(guān)注度越高,分析師跟蹤人數(shù)越多,而股權(quán)越集中,分析師跟進(jìn)的人數(shù)相對(duì)來(lái)說(shuō)越少。二是分析師預(yù)測(cè)偏差值則和企業(yè)規(guī)模,股票換手率,有著較為顯著的負(fù)相關(guān)關(guān)系。即上市公司規(guī)模越大,股票換手率越高,則分析師預(yù)測(cè)偏差值越小,分析準(zhǔn)確度越高。三是分析師跟進(jìn)人數(shù)與股價(jià)同步性呈現(xiàn)出負(fù)相關(guān)的關(guān)系,即分析師跟進(jìn)人數(shù)越多,股價(jià)同步性越低。四是分析師盈余預(yù)測(cè)準(zhǔn)確度與股價(jià)同步性呈負(fù)相關(guān)的關(guān)系,即分析師盈余預(yù)測(cè)準(zhǔn)確度越高,股價(jià)同步性則越低。
[Abstract]:Securities analysts play an important role as a bridge between the market and investors, helping investors to obtain the appropriate market information so that they can make the right decision. Some came from publicly published documents such as public announcements and financial statements issued by listed companies, and others came from individual analysts who spoke over the phone and interviewed them. Private information learned through research and other channels. Securities analysts make analyses and forecasts based on their personal expertise through the information they have, and transmit effective information to the market through the reports they publish. We can say that, Through reports and other means, securities analysts have passed on information to market investors, increasing the channels for investors to obtain information, and ensuring that the "quality" and "quantity" of information are improved at the same time. It can improve the efficiency of information utilization and transmission in the securities market. Therefore, this paper uses the latest data of Chinese small and medium-sized board enterprises from 2011 to 2016 to analyze the main factors that affect the behavior of analysts from the perspective of analysts' follow-up. And on this basis, in-depth analysis of the impact of analysts' follow-up behavior on the synchronization of stock prices, I hope this study can provide some ideas for the regulation of the securities market. At the same time, it helps regulators and investors realize the role of analysts and improve the efficiency of capital markets. The statistical analysis and empirical analysis of relevant sample data are carried out, and the multiple collinearity of variables between models is tested. At the same time, the endogenous treatment is adopted in regression analysis, and the sample size is increased and the variables are replaced. In order to ensure the validity of the empirical analysis results, the methods such as removing the maximum value and the minimum value are tested to ensure the validity of the empirical analysis results. Put forward corresponding policy recommendations. Mainly include perfecting the relevant normative system of securities analysts, improving the quality of information disclosure of listed companies, and improving the professional literacy of securities analysts. The main conclusions are as follows: first, there is a significant positive correlation between the number of listed companies tracked by analysts and the size of listed enterprises, stock turnover rate, and return on net assets of the company. The bigger the listed company is, the higher the turnover rate is, the higher the attention of the analysts who get the better return on assets, the more the number of analysts tracking, and the more concentrated the equity. The smaller the number of analysts following up, the less significant negative correlation exists between the deviation value of analysts' forecast and firm size, stock turnover rate, that is, the larger the listed company size, the higher the stock turnover rate. The smaller the deviation, the higher the analysis accuracy. Third, there is a negative correlation between the number of analyst followers and the synchronicity of stock prices, that is, the more analysts follow up, Fourth, there is a negative correlation between the accuracy of earnings forecast and the synchronicity of stock prices, that is, the higher the accuracy of forecasting earnings, the lower the synchronicity of stock prices.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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