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

        隨著中國證券市場的不斷發(fā)展,投資者變得越來越成熟,投資決策也由技術分析向挖掘公司價值轉變。作為普通的投資者,在信啟、的獲取上面遠遠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,不能對數(shù)量眾多的上市公司進行有效分析。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,可以對上市公司進行專業(yè)分析,并且可以將分析報告?zhèn)鬟f給普通投資者,對投資者進行投資建議。由于盈利信息是進行價值評判的最重要的信息之一,是整個公司價值的基石,所以在證券分析師出具的分析報告中,最引人注目的就是對上市公司的盈利預測。在會計信扈、越來越強調有用性的今天,公司的歷史數(shù)據(jù)已經(jīng)不能滿足市場的要求,投資者需要獲得關于公司未來的盈利信息,以便能夠更好的對其投資決策提供幫助。因此,關于證券分析師盈利預測信息的相關問題也就成為了證券市場研究的一個重要部分。決策有用觀要求會計信息具有有用性。在國外,許多實證研究已經(jīng)證實,證券分析師是可以提供有用的盈利預測信息,而盈利預測有用與否,對投資者幫助的大小直接和分析師盈利預測信息的準確度相關,由此可見,要想確保會計信息的有用性,首先要確保會計信息的可靠性,即要確保證券分析師盈利預測信息的準確度。在我國,由于資本市場發(fā)展程度和西方發(fā)達國家還是存在差距,在對證券分析師盈利預測信息可靠性和有用性的檢驗上面還不多見。鑒于我國會計準則將可靠性作為會計信息有用性的前提,筆者將證券分析師盈利預測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,再去檢驗盈利預測信息的有用性。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證券分析師的盈利預測的可靠性程度。因為創(chuàng)業(yè)板公司由于本身的風險,將會導致證券分析師預測的難度增加,同時在面對創(chuàng)業(yè)板公司的時候,投資者對盈利預測信息的可靠性也會更加依賴,信息的有用性也更加重要�；谏鲜鲈�,作者最終確定的研究點為基于創(chuàng)業(yè)板的分析師盈利預測的可靠性研究。本文在弱勢有效市場、信息的不對稱理論和會計信息有用性的基礎上,借鑒國內外相關研究經(jīng)驗,對證券分析師出具的關于創(chuàng)業(yè)板上市公司的盈利預測信息進行了檢驗,首先進行的是可靠性檢驗,進而檢驗信息的有用性或者說是價值性。本文總共包含五章,主要結構和內容如下：第一章,導論。本章重點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證券市場的發(fā)展,投資者對盈利預測信息的關注,以及現(xiàn)在可以提供的三種盈利預測信息：證券分析師,管理層當局和根據(jù)統(tǒng)計模型做出的盈利預測。接下來介紹了當前我國證券分析師的發(fā)展狀況以及創(chuàng)業(yè)板上市公司的風險。第二章,文獻綜述。本章回顧了國內外關于證券分析師盈利預測的相關文獻,進而進行國內外相關文獻的比較,發(fā)現(xiàn)我國在這方面的研究與國外存在差距,原因主要是國內證券市場起步較晚,證券分析師屬于新興行業(yè),沒有相關研究數(shù)據(jù)庫的支持。第三章,相關概念和研究理論基礎。為了更好的進行下面實證的工作,本章首先對盈利預測信啟、、證券分析師等有關概念進行了定義和概述,較全面的介紹了我國證券分析師行業(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,最后以有效市場假說理論、信息的不對稱理論以及會計信息有用性理論作為本文的理論基礎。第四章,對證券分析師的盈利預測進行實證分析。本文的研究假設是市場的弱勢有效性。接著,對研究樣本和研究設計分別進行了說明,最終選定了146家樣本,最后進入實證。實證分兩部分進行,首先對創(chuàng)業(yè)板證券分析師的盈利預測信息進行可靠性的檢驗,可靠性是有用性的一個重要前提。通過描述性統(tǒng)計和回歸分析,結果顯示有85%的盈利預測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年有關研究人員所做的主板的統(tǒng)計結果來看,我國證券分析師盈利預測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測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,運用模型對證券分析師盈利預測信息的有用性進行整體檢驗,并且按照證券分析師的樂觀性將樣本分為正信號組和負信號組分別進行檢驗,實證結果表明,在這三組樣本中,證券分析師盈利性的準確程度和股票回報率之間并沒有出現(xiàn)顯著的相關性,這點和07年所做的主板市場的研究也不同,07年主板市場的研究結果為負相關。第五章,研究結論和相關思考。本章分為四個方面,第一方面研究結論,在對樣本進行實證的結果表明,創(chuàng)業(yè)板證券分析師盈利預測信啟、的可靠性較高,但是不能為投資者帶來超額回報,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,總結了證券分析師盈利預測信息出現(xiàn)偏差的原因,主要可能由于創(chuàng)業(yè)板本身變動性強,證券分析師利益驅動,證券分析師發(fā)布樂觀預測來獲得更多的私人信息以及管理層盈余管理動機的存在等原因造成的。至于盈利預測信息有用性不顯著,筆者認為可能是由于投資者過度重視投機,價值投資理念不足；證券分析師獨立性不足,導致投資者不信任；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。要加強對投資者的風險和價值投資的教育,完善創(chuàng)業(yè)板退市制度和信息披露制度,加強對證券分析師,券商等相關利益群體的監(jiān)管和加大對其的懲罰力度,杜絕危險中小投資者利益的行為發(fā)生。本文從會計信息的有用性角度入手,首先對證券分析師所作盈利預測的可靠性進行了檢驗,發(fā)現(xiàn)證券分析師所做的盈利預測準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%。這說明我國證券行業(yè)分析師在對創(chuàng)業(yè)板上市公司盈利預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注公司的盈利預期,預測的會計信息的可靠性有保障。但是,在本文加入了影響股票回報的賬面一市值比率,規(guī)模,市場風險因素這幾個相關因素的基礎之上,運用回歸方法對總體樣本,以及正信號組和負信號組這兩個子樣本的進行檢驗時發(fā)現(xiàn),證券分析師的預測盈利信息與股票的異常回報值之間并沒有出現(xiàn)顯著的相關關系,這就說明我國證券分析師的盈利預測信息還不能夠給投資者帶來較長一段持有期內的超額投資回報,盈利預測信息的有用性程度低,不能滿足現(xiàn)在證券市場的使用要求。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)板股票的劇烈波動性都可能對股票回報造成影響,同時本部分也提出了盡量避免影響的辦法。另外,對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候只是采用了股票回報三因素模型,即只考慮了3個可能會影響股票回報的因素：代表相對于市場風險的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,這個會在一定的程度上對實證研究的結果造成影響。本文具有以下一些貢獻：(1)將對證券分析師盈利預測信啟、的可靠性和有用性的檢驗放到了創(chuàng)業(yè)板上進行。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)行審核方面對上市公司的要求遠低于主板市場,創(chuàng)業(yè)板上市公司也就具有了相對于主板企業(yè)來說明顯不同的特點,加上中國證券市場的相對不成熟,導致創(chuàng)業(yè)板具有了公司經(jīng)營主業(yè)單一、業(yè)績變動性大；在進行IPO時過度包裝；股本發(fā)行量少導致股價容易被人為操縱這些特征。這些特征就加大了分析師進行預測的難度,同時使得投資者反而更依賴證券分析師的盈利預測信啟、,從而解決信息不對稱的不足。在此種情況下,對創(chuàng)業(yè)板分析師盈利預測信息進行研究就很有必要,但是由于創(chuàng)業(yè)板開板不久,數(shù)據(jù)和相應的資料較少不易獲得,目前還沒有學者對創(chuàng)業(yè)板下證券分析師盈利預測信息的相關方面進行檢驗。(2)經(jīng)過實證分析得出的結論對投資者有一定的參考作用,同時通過得出的結論可以更好促進我國證券分析師行業(yè)的健康發(fā)展。(3)提出了關于加強投資者教育、完善創(chuàng)業(yè)板退市制度及加強對證券業(yè)相關服務機構的監(jiān)管和制度建設的建議,這有助于完善我國的證券市場制度,使得我國證券市場更加規(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)板的分析師盈利預測可靠性的實證研究

摘要4-8Abstract8-101. 導論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. 文獻綜述18-26    2.1 國外相關文獻18-21        2.1.1 分析師盈利預測與預測模型、管理層預測優(yōu)劣18-19        2.1.2 分析師盈利預測傾向性19-20        2.1.3 分析師盈利預測信息有用性研究20-21    2.2 國內相關文獻21-24    2.3 國內研究與國外研究比較24-25    2.4 現(xiàn)有研究簡要評述25-263. 分析師盈余預測相關概念和理論研究基礎概述26-42    3.1 分析師盈利預測簡介26-29        3.1.1 盈利預測定義26-27        3.1.2 盈利預測的分類27-28        3.1.3 盈利預測的作用28-29    3.2 我國分析師行業(yè)發(fā)展歷程及現(xiàn)狀29-34        3.2.1 我國分析師行業(yè)發(fā)展歷程29-31        3.2.2 我國分析師行業(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35-36    3.4 理論基礎36-42        3.4.1 有效市場假說36-39        3.4.2 信息不對稱39-40        3.4.3 會計信息的有用性40-424. 實證分析42-55    4.1 研究假設和研究設計42-43        4.1.1 研究假設42        4.1.2 研究設計42-43    4.2 樣本和數(shù)據(jù)43-44    4.3 可靠性檢驗—證券分析師對創(chuàng)業(yè)板公司的盈利預測44-46    4.4 價值性檢驗—證券分析師對創(chuàng)業(yè)板公司的盈利預測46-555. 結論與思考55-62    5.1 研究結論與局限55-57        5.1.1 本文研究結論55-56        5.1.2 本文研究局限性56-57    5.2 對本文結論的思考57-59    5.3 政策和建議59-62參考文獻62-65后記65-66致謝66-68在讀期間科研成果目錄68

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