本文關(guān)鍵詞：基于創(chuàng)業(yè)板的分析師盈利預(yù)測(cè)可靠性的實(shí)證研究，由筆耕文化傳播整理發(fā)布。

        隨著中國(guó)證券市場(chǎng)的不斷發(fā)展,投資者變得越來越成熟,投資決策也由技術(shù)分析向挖掘公司價(jià)值轉(zhuǎn)變。作為普通的投資者,在信啟、的獲取上面遠(yuǎn)遠(yuǎn)不能滿足決策的需求,而且大眾投資者也不具備專業(yè)的分析能力,不能對(duì)數(shù)量眾多的上市公司進(jìn)行有效分析。在這一情形下,證券分析師就成為連接上市公司和普通投資者間的紐帶,他們具有專業(yè)的背景,擁有比較多的獲取信息的渠道,可以對(duì)上市公司進(jìn)行專業(yè)分析,并且可以將分析報(bào)告?zhèn)鬟f給普通投資者,對(duì)投資者進(jìn)行投資建議。由于盈利信息是進(jìn)行價(jià)值評(píng)判的最重要的信息之一,是整個(gè)公司價(jià)值的基石,所以在證券分析師出具的分析報(bào)告中,最引人注目的就是對(duì)上市公司的盈利預(yù)測(cè)。在會(huì)計(jì)信扈、越來越強(qiáng)調(diào)有用性的今天,公司的歷史數(shù)據(jù)已經(jīng)不能滿足市場(chǎng)的要求,投資者需要獲得關(guān)于公司未來的盈利信息,以便能夠更好的對(duì)其投資決策提供幫助。因此,關(guān)于證券分析師盈利預(yù)測(cè)信息的相關(guān)問題也就成為了證券市場(chǎng)研究的一個(gè)重要部分。決策有用觀要求會(huì)計(jì)信息具有有用性。在國(guó)外,許多實(shí)證研究已經(jīng)證實(shí),證券分析師是可以提供有用的盈利預(yù)測(cè)信息,而盈利預(yù)測(cè)有用與否,對(duì)投資者幫助的大小直接和分析師盈利預(yù)測(cè)信息的準(zhǔn)確度相關(guān),由此可見,要想確保會(huì)計(jì)信息的有用性,首先要確保會(huì)計(jì)信息的可靠性,即要確保證券分析師盈利預(yù)測(cè)信息的準(zhǔn)確度。在我國(guó),由于資本市場(chǎng)發(fā)展程度和西方發(fā)達(dá)國(guó)家還是存在差距,在對(duì)證券分析師盈利預(yù)測(cè)信息可靠性和有用性的檢驗(yàn)上面還不多見。鑒于我國(guó)會(huì)計(jì)準(zhǔn)則將可靠性作為會(huì)計(jì)信息有用性的前提,筆者將證券分析師盈利預(yù)測(cè)信息的可靠性作為研究方向,在確保能夠滿足一定程度的可靠性的同時(shí),再去檢驗(yàn)盈利預(yù)測(cè)信息的有用性。本文將樣本選取的范圍放在創(chuàng)業(yè)板公司主要是為了能夠更好的檢驗(yàn)證券分析師的盈利預(yù)測(cè)的可靠性程度。因?yàn)閯?chuàng)業(yè)板公司由于本身的風(fēng)險(xiǎn),將會(huì)導(dǎo)致證券分析師預(yù)測(cè)的難度增加,同時(shí)在面對(duì)創(chuàng)業(yè)板公司的時(shí)候,投資者對(duì)盈利預(yù)測(cè)信息的可靠性也會(huì)更加依賴,信息的有用性也更加重要�；谏鲜鲈�,作者最終確定的研究點(diǎn)為基于創(chuàng)業(yè)板的分析師盈利預(yù)測(cè)的可靠性研究。本文在弱勢(shì)有效市場(chǎng)、信息的不對(duì)稱理論和會(huì)計(jì)信息有用性的基礎(chǔ)上,借鑒國(guó)內(nèi)外相關(guān)研究經(jīng)驗(yàn),對(duì)證券分析師出具的關(guān)于創(chuàng)業(yè)板上市公司的盈利預(yù)測(cè)信息進(jìn)行了檢驗(yàn),首先進(jìn)行的是可靠性檢驗(yàn),進(jìn)而檢驗(yàn)信息的有用性或者說是價(jià)值性。本文總共包含五章,主要結(jié)構(gòu)和內(nèi)容如下：第一章,導(dǎo)論。本章重點(diǎn)介紹了本文的研究背景、研究意義、研究方法和思路。首先介紹了伴隨著中國(guó)證券市場(chǎng)的發(fā)展,投資者對(duì)盈利預(yù)測(cè)信息的關(guān)注,以及現(xiàn)在可以提供的三種盈利預(yù)測(cè)信息：證券分析師,管理層當(dāng)局和根據(jù)統(tǒng)計(jì)模型做出的盈利預(yù)測(cè)。接下來介紹了當(dāng)前我國(guó)證券分析師的發(fā)展?fàn)顩r以及創(chuàng)業(yè)板上市公司的風(fēng)險(xiǎn)。第二章,文獻(xiàn)綜述。本章回顧了國(guó)內(nèi)外關(guān)于證券分析師盈利預(yù)測(cè)的相關(guān)文獻(xiàn),進(jìn)而進(jìn)行國(guó)內(nèi)外相關(guān)文獻(xiàn)的比較,發(fā)現(xiàn)我國(guó)在這方面的研究與國(guó)外存在差距,原因主要是國(guó)內(nèi)證券市場(chǎng)起步較晚,證券分析師屬于新興行業(yè),沒有相關(guān)研究數(shù)據(jù)庫(kù)的支持。第三章,相關(guān)概念和研究理論基礎(chǔ)。為了更好的進(jìn)行下面實(shí)證的工作,本章首先對(duì)盈利預(yù)測(cè)信啟、、證券分析師等有關(guān)概念進(jìn)行了定義和概述,較全面的介紹了我國(guó)證券分析師行業(yè)的發(fā)展歷程和現(xiàn)狀,然后提出A股創(chuàng)業(yè)板上市公司的一些缺陷,最后以有效市場(chǎng)假說理論、信息的不對(duì)稱理論以及會(huì)計(jì)信息有用性理論作為本文的理論基礎(chǔ)。第四章,對(duì)證券分析師的盈利預(yù)測(cè)進(jìn)行實(shí)證分析。本文的研究假設(shè)是市場(chǎng)的弱勢(shì)有效性。接著,對(duì)研究樣本和研究設(shè)計(jì)分別進(jìn)行了說明,最終選定了146家樣本,最后進(jìn)入實(shí)證。實(shí)證分兩部分進(jìn)行,首先對(duì)創(chuàng)業(yè)板證券分析師的盈利預(yù)測(cè)信息進(jìn)行可靠性的檢驗(yàn),可靠性是有用性的一個(gè)重要前提。通過描述性統(tǒng)計(jì)和回歸分析,結(jié)果顯示有85%的盈利預(yù)測(cè)信息具有一定程度上的可靠性,誤差低于20%的占比為60%,綜合07年有關(guān)研究人員所做的主板的統(tǒng)計(jì)結(jié)果來看,我國(guó)證券分析師盈利預(yù)測(cè)信息的可靠性有了很大程度上的提高,可靠性有了一定程度的保障,但是證券分析師的預(yù)測(cè)還是具有樂觀的偏向性。第二部分,在可靠性得到保證的前提下,運(yùn)用模型對(duì)證券分析師盈利預(yù)測(cè)信息的有用性進(jìn)行整體檢驗(yàn),并且按照證券分析師的樂觀性將樣本分為正信號(hào)組和負(fù)信號(hào)組分別進(jìn)行檢驗(yàn),實(shí)證結(jié)果表明,在這三組樣本中,證券分析師盈利性的準(zhǔn)確程度和股票回報(bào)率之間并沒有出現(xiàn)顯著的相關(guān)性,這點(diǎn)和07年所做的主板市場(chǎng)的研究也不同,07年主板市場(chǎng)的研究結(jié)果為負(fù)相關(guān)。第五章,研究結(jié)論和相關(guān)思考。本章分為四個(gè)方面,第一方面研究結(jié)論,在對(duì)樣本進(jìn)行實(shí)證的結(jié)果表明,創(chuàng)業(yè)板證券分析師盈利預(yù)測(cè)信啟、的可靠性較高,但是不能為投資者帶來超額回報(bào),信息的有用性還沒有顯現(xiàn)。第二方面,研究的局限性。第三方面,總結(jié)了證券分析師盈利預(yù)測(cè)信息出現(xiàn)偏差的原因,主要可能由于創(chuàng)業(yè)板本身變動(dòng)性強(qiáng),證券分析師利益驅(qū)動(dòng),證券分析師發(fā)布樂觀預(yù)測(cè)來獲得更多的私人信息以及管理層盈余管理動(dòng)機(jī)的存在等原因造成的。至于盈利預(yù)測(cè)信息有用性不顯著,筆者認(rèn)為可能是由于投資者過度重視投機(jī),價(jià)值投資理念不足；證券分析師獨(dú)立性不足,導(dǎo)致投資者不信任；分析師過于重視私人信息等原因造成的。第四方面,提出建議。要加強(qiáng)對(duì)投資者的風(fēng)險(xiǎn)和價(jià)值投資的教育,完善創(chuàng)業(yè)板退市制度和信息披露制度,加強(qiáng)對(duì)證券分析師,券商等相關(guān)利益群體的監(jiān)管和加大對(duì)其的懲罰力度,杜絕危險(xiǎn)中小投資者利益的行為發(fā)生。本文從會(huì)計(jì)信息的有用性角度入手,首先對(duì)證券分析師所作盈利預(yù)測(cè)的可靠性進(jìn)行了檢驗(yàn),發(fā)現(xiàn)證券分析師所做的盈利預(yù)測(cè)準(zhǔn)確性程度有了較高的保障。其中,盈利誤差低于20%的共有84家,占總體樣本的57.53%,盈利誤差在20%到40%之間的共有39家,占總體樣本的26.71%,兩者占總體樣本數(shù)的84.24%。這說明我國(guó)證券行業(yè)分析師在對(duì)創(chuàng)業(yè)板上市公司盈利預(yù)期的把握上和自身的專業(yè)能力有了很大的提高,可以較好的把握所關(guān)注公司的盈利預(yù)期,預(yù)測(cè)的會(huì)計(jì)信息的可靠性有保障。但是,在本文加入了影響股票回報(bào)的賬面一市值比率,規(guī)模,市場(chǎng)風(fēng)險(xiǎn)因素這幾個(gè)相關(guān)因素的基礎(chǔ)之上,運(yùn)用回歸方法對(duì)總體樣本,以及正信號(hào)組和負(fù)信號(hào)組這兩個(gè)子樣本的進(jìn)行檢驗(yàn)時(shí)發(fā)現(xiàn),證券分析師的預(yù)測(cè)盈利信息與股票的異�；貓�(bào)值之間并沒有出現(xiàn)顯著的相關(guān)關(guān)系,這就說明我國(guó)證券分析師的盈利預(yù)測(cè)信息還不能夠給投資者帶來較長(zhǎng)一段持有期內(nèi)的超額投資回報(bào),盈利預(yù)測(cè)信息的有用性程度低,不能滿足現(xiàn)在證券市場(chǎng)的使用要求。由于客觀情況存在,本文存在著一些不足,首先是,本文所選的樣本公司為創(chuàng)業(yè)板上市公司,而創(chuàng)業(yè)板在09年才正式開市。因此樣本公司的數(shù)量,以及創(chuàng)業(yè)板股票的劇烈波動(dòng)性都可能對(duì)股票回報(bào)造成影響,同時(shí)本部分也提出了盡量避免影響的辦法。另外,對(duì)于自變量的選取也可能值得深入探討。本文在做回歸分析的時(shí)候只是采用了股票回報(bào)三因素模型,即只考慮了3個(gè)可能會(huì)影響股票回報(bào)的因素：代表相對(duì)于市場(chǎng)風(fēng)險(xiǎn)的Beta系數(shù)、公司的規(guī)模和賬面一市值比率,影響股票的因素可能考慮的不夠完整,這個(gè)會(huì)在一定的程度上對(duì)實(shí)證研究的結(jié)果造成影響。本文具有以下一些貢獻(xiàn)：(1)將對(duì)證券分析師盈利預(yù)測(cè)信啟、的可靠性和有用性的檢驗(yàn)放到了創(chuàng)業(yè)板上進(jìn)行。由于創(chuàng)業(yè)板和主板本身的定位不同,創(chuàng)業(yè)板在發(fā)行審核方面對(duì)上市公司的要求遠(yuǎn)低于主板市場(chǎng),創(chuàng)業(yè)板上市公司也就具有了相對(duì)于主板企業(yè)來說明顯不同的特點(diǎn),加上中國(guó)證券市場(chǎng)的相對(duì)不成熟,導(dǎo)致創(chuàng)業(yè)板具有了公司經(jīng)營(yíng)主業(yè)單一、業(yè)績(jī)變動(dòng)性大；在進(jìn)行IPO時(shí)過度包裝；股本發(fā)行量少導(dǎo)致股價(jià)容易被人為操縱這些特征。這些特征就加大了分析師進(jìn)行預(yù)測(cè)的難度,同時(shí)使得投資者反而更依賴證券分析師的盈利預(yù)測(cè)信啟、,從而解決信息不對(duì)稱的不足。在此種情況下,對(duì)創(chuàng)業(yè)板分析師盈利預(yù)測(cè)信息進(jìn)行研究就很有必要,但是由于創(chuàng)業(yè)板開板不久,數(shù)據(jù)和相應(yīng)的資料較少不易獲得,目前還沒有學(xué)者對(duì)創(chuàng)業(yè)板下證券分析師盈利預(yù)測(cè)信息的相關(guān)方面進(jìn)行檢驗(yàn)。(2)經(jīng)過實(shí)證分析得出的結(jié)論對(duì)投資者有一定的參考作用,同時(shí)通過得出的結(jié)論可以更好促進(jìn)我國(guó)證券分析師行業(yè)的健康發(fā)展。(3)提出了關(guān)于加強(qiáng)投資者教育、完善創(chuàng)業(yè)板退市制度及加強(qiáng)對(duì)證券業(yè)相關(guān)服務(wù)機(jī)構(gòu)的監(jiān)管和制度建設(shè)的建議,這有助于完善我國(guó)的證券市場(chǎng)制度,使得我國(guó)證券市場(chǎng)更加規(guī)范。

    With the developing of the Chinese security market and maturing of Chinese investors, investment decisions are made increasingly based on analysing the value of company rather than technical analysis. However, ordinary investors could not effectively analyse all the listed companies due to lack of information and analysis capacity. And securities analysts are professional in obtaining and analysing different information from listed companies. Therefore, securities analysts play a key role in dealing with and delivering useful information from listed companies to ordinary investors. Among all the information, earning forecast is one of the most important information for analysing the value of the company. Hence, earning forecast is one of the most favourite research topics about security market.The principle of being useful to decision-making leads to usefulness of accounting information. Many empirical studies, in foreign countries, have proved that securities analysts can provide useful information about earnings forecasts. And the usefulness of earning prediction directly relates to the help to investors and the accuracy of analysts’ forecasting. Therefore, for the purpose of ensuring the usefulness of accounting information, the most important thing is to ensure the reliability of accounting information. This means to ensure the accuracy of the information of securities analysts’ profit forecast. In China, due to development gap of capital market between China and the western countries, it is rare to find test about reliability and usefulness of information relating to securities analysts’ profit prediction. Reliability is seen as premise of usefulness in Chinese GAAP, so the reliability of securities analysts’ earning forecast is the theme of this research. And the usefulness of it will be tested when reliability is met to some extend. In order to make a more effective test about the reliability of securities analysts’ prediction, samples are collected from the GEM (Growth Enterprises Market) board. This is because the risk of listed companies in GEM board will increase the difficulty of securities analysts prediction. On the other hand, when making decision about these companies, investors are more reliant on the reliability of the earning forecast. And the usefulness of information is more important. Due to the above, the author finally determined to research the reliability of analysts’earning prediction based on the data from the GEM board.The theoretical basis of this dissertation is the weak-form efficient-market hypothesis, the asymmetric information theory and the usefulness of accounting information. And this research is also done based on the domestic and foreign relevant research. In this dissertation, the reliability of earning prediction is tested, which is followed by the testing of the usefulness.This dissertation is divided into five parts.The first chapter is introduction. This chapter focuses on research background, worth of this research, research methods and ideas. Also, that information of earning forecast increasingly concerns investors along with the development of the Chinese securities market is mentioned. And in this chapter, three types of earning forecast information are introduced:earning forecast of securities analysts, earning forecast from management authorities and earning forecast based on the statistical model. The following part introduces development condition of Chinese securities analysts and the risk of listing on the GEM board.Literature review is the second chapter. Literatures, from China and other countries, about securities analysts’profit forecast are reviewed and compared. It is found gap appears comparing research in China and that in other countries. This is because the lag of development of Chinese security market makes securities analysts a new industry and lack of the support based on relevant data.The third chapter is about relevant concepts and theoretical basis. The first part of this chapter is the summary of the definitions and relevant issues of profit forecast information and securities analysts. And then current industry conditions of the securities analysts are summarised. The specific characters of listed companies on the GEM board are introduced in the following part. At last, the theoretic basis which is made by the efficient-market hypothesis, the asymmetric information theory and the usefulness of accounting information is mentioned.The fourth chapter is the empirical test of securities analysts’earning forecast. The hypothesis of this dissertation is the weak-form efficient market. And then the sample and design of this study are explained.146sample companies are selected to be tested. The empirical test is divided into two steps. At first the reliability of securities analysts’earning forecast is tested. After testing, it is found that85%of profit forecast are reliable. And60%of them deviate less than20%comparing with the real earning. Comparing with research based on data in2007, it indicates that the reliability has improved a lot. But, still, result shows the predictions are more likely to be optimistic. And then for testing the usefulness, data are divided into2groups-positive information group and negative information group according to the analysts’optimism. Regression test is applied again. And the results tell there is no relationship between reliability of profit forecast and stock return. This means earning prediction is irrelevant to investors’decision-making. This is different from the result of a research in2007on the motherboard, which shows the relationship is negative.The fifth chapter is conclusion and related thinking. There are four parts in this chapter. The first part is conclusion. The empirical results show that securities analysts’ earning forecasts are highly reliable, but they cannot bring excess return. Another finding is that the usefulness of information does not appear. The limitations of the study are mentioned in the second part. The third part is about the summary about why securities analysts’ earning forecast could deviate. This may be caused by the volatility of the GEM board itself, drive of securities analysts’ benefit, the purpose of releasing optimistic forecasts in exchange of more private information, and motivation of the existence of earnings management from management of company. When talking about the insignificant of the usefulness of earning prediction, the author thinks this might be the result of excessively speculation and lack of the idea of value investment. Also lack of trust from investors led by insufficiently independence of Securities analysts might also decrease the usefulness. And the over emphasis on private information could also make this problem. Some advices are made in the fourth part. It is suggested that investors need to learn more about risk and value investing. Regulations of delisting and information disclosure should be improved as well. Further, for avoiding damaging medium and small investor’s benefits, supervision to securities analysts, brokers and other stakeholders also needs to be strengthened.

        基于創(chuàng)業(yè)板的分析師盈利預(yù)測(cè)可靠性的實(shí)證研究

摘要4-8Abstract8-101. 導(dǎo)論13-18    1.1 研究背景13-14    1.2 研究意義14-15    1.3 研究方法及思路15-182. 文獻(xiàn)綜述18-26    2.1 國(guó)外相關(guān)文獻(xiàn)18-21        2.1.1 分析師盈利預(yù)測(cè)與預(yù)測(cè)模型、管理層預(yù)測(cè)優(yōu)劣18-19        2.1.2 分析師盈利預(yù)測(cè)傾向性19-20        2.1.3 分析師盈利預(yù)測(cè)信息有用性研究20-21    2.2 國(guó)內(nèi)相關(guān)文獻(xiàn)21-24    2.3 國(guó)內(nèi)研究與國(guó)外研究比較24-25    2.4 現(xiàn)有研究簡(jiǎn)要評(píng)述25-263. 分析師盈余預(yù)測(cè)相關(guān)概念和理論研究基礎(chǔ)概述26-42    3.1 分析師盈利預(yù)測(cè)簡(jiǎn)介26-29        3.1.1 盈利預(yù)測(cè)定義26-27        3.1.2 盈利預(yù)測(cè)的分類27-28        3.1.3 盈利預(yù)測(cè)的作用28-29    3.2 我國(guó)分析師行業(yè)發(fā)展歷程及現(xiàn)狀29-34        3.2.1 我國(guó)分析師行業(yè)發(fā)展歷程29-31        3.2.2 我國(guó)分析師行業(yè)發(fā)展現(xiàn)狀31-34    3.3 創(chuàng)業(yè)板上市公司特點(diǎn)34-36        3.3.1 創(chuàng)業(yè)板上市公司上市條件34-35        3.3.2 創(chuàng)業(yè)板上市公司特點(diǎn)35-36    3.4 理論基礎(chǔ)36-42        3.4.1 有效市場(chǎng)假說36-39        3.4.2 信息不對(duì)稱39-40        3.4.3 會(huì)計(jì)信息的有用性40-424. 實(shí)證分析42-55    4.1 研究假設(shè)和研究設(shè)計(jì)42-43        4.1.1 研究假設(shè)42        4.1.2 研究設(shè)計(jì)42-43    4.2 樣本和數(shù)據(jù)43-44    4.3 可靠性檢驗(yàn)—證券分析師對(duì)創(chuàng)業(yè)板公司的盈利預(yù)測(cè)44-46    4.4 價(jià)值性檢驗(yàn)—證券分析師對(duì)創(chuàng)業(yè)板公司的盈利預(yù)測(cè)46-555. 結(jié)論與思考55-62    5.1 研究結(jié)論與局限55-57        5.1.1 本文研究結(jié)論55-56        5.1.2 本文研究局限性56-57    5.2 對(duì)本文結(jié)論的思考57-59    5.3 政策和建議59-62參考文獻(xiàn)62-65后記65-66致謝66-68在讀期間科研成果目錄68

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