本文關(guān)鍵詞：保守分析師的市場(chǎng)影響力　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：證券分析師在股票市場(chǎng)的健康發(fā)展過程中扮演著重要的角色,其發(fā)布的預(yù)測(cè)報(bào)告也越來越受到廣大投資者的關(guān)注。但是大量理論和實(shí)證研究表明,分析師報(bào)告中的盈余預(yù)測(cè)信息普遍存在樂觀傾向,那么這一系統(tǒng)性誤差會(huì)對(duì)分析師的股票市場(chǎng)影響力產(chǎn)生什么樣的影響呢?分析師對(duì)股市的影響力是否會(huì)隨著分析師樂觀或保守的程度不同而變化呢?目前,己有不少的外國(guó)學(xué)者在股票市場(chǎng)對(duì)保守分析師的需求這一課題上取得了相當(dāng)?shù)难芯砍晒�。Hugon和Muslu (2007)通過實(shí)證研究發(fā)現(xiàn),保守分析師較樂觀分析師所預(yù)測(cè)的股票同向的超額回報(bào)率更大,即市場(chǎng)反應(yīng)更強(qiáng)烈。但國(guó)內(nèi)學(xué)者對(duì)于該課題的研究還甚為少見。本文認(rèn)為在分析師普遍存在樂觀傾向的情況下,市場(chǎng)會(huì)產(chǎn)生對(duì)保守分析師的需求,其表現(xiàn)在于相對(duì)于樂觀分析師的盈余預(yù)測(cè)調(diào)整,保守分析師所做出的盈余預(yù)測(cè)調(diào)整會(huì)引起更強(qiáng)烈的市場(chǎng)反應(yīng)。本文選取了2006年至2010年間的分析師盈余預(yù)測(cè)數(shù)據(jù)對(duì)分析師的保守程度進(jìn)行了評(píng)級(jí),并運(yùn)用事件研究法實(shí)證分析了事件窗口(窗口長(zhǎng)度分別為5天和11天)內(nèi)股票的累計(jì)超額回報(bào)與分析師個(gè)人保守程度、分析師所做出的盈余預(yù)測(cè)調(diào)整之間的關(guān)系,以檢驗(yàn)保守分析師是否也會(huì)對(duì)我國(guó)市場(chǎng)具有更強(qiáng)的影響力。同時(shí),本文檢驗(yàn)了保守分析師是否對(duì)機(jī)構(gòu)投資者比對(duì)市場(chǎng)整體具有更顯著的影響力。研究結(jié)果表明,分析師群體的盈余預(yù)測(cè)調(diào)整總體來說對(duì)市場(chǎng)表現(xiàn)并無明顯的影響力,但保守分析師所做出的盈余預(yù)測(cè)調(diào)整會(huì)使市場(chǎng)產(chǎn)生較強(qiáng)烈的反應(yīng)；保守程度越高的分析師,做出盈余增加(降低)的調(diào)整時(shí),股票短期內(nèi)的正向(負(fù)向)累計(jì)超額回報(bào)率越大。研究還發(fā)現(xiàn),將累計(jì)超額回報(bào)的檢驗(yàn)窗口擴(kuò)大后,數(shù)據(jù)的統(tǒng)計(jì)檢驗(yàn)結(jié)果由不顯著變?yōu)轱@著,因此本文認(rèn)為,我國(guó)市場(chǎng)可能存在信息提前泄露或是信息流通不足的現(xiàn)象。然而,不同于美國(guó)市場(chǎng)上保守分析師對(duì)機(jī)構(gòu)投資者存在顯著的增量影響,我國(guó)的機(jī)構(gòu)投資者對(duì)保守分析師并未表現(xiàn)出相對(duì)于股票市場(chǎng)整體更強(qiáng)烈的回應(yīng)。本文認(rèn)為其原因可能是可公開獲得的盈余預(yù)測(cè)報(bào)告并非影響機(jī)構(gòu)投資者作出決策的重要信息來源之一；以及,在我國(guó),分析師傾向于發(fā)布樂觀的預(yù)測(cè)以期提高機(jī)構(gòu)投資者大量持有的股票的價(jià)格,從而獲得傭金或競(jìng)爭(zhēng)明星分析師的優(yōu)勢(shì)等相關(guān)利益。以上猜想有待考證。本文通過驗(yàn)證保守分析師對(duì)市場(chǎng)的影響力更大這一假說,揭示了我國(guó)市場(chǎng)對(duì)保守分析師具有識(shí)別能力,且存在一定的需求,以期促進(jìn)分析師盡力排除預(yù)測(cè)時(shí)的樂觀傾向,發(fā)布更保守、更穩(wěn)健的預(yù)測(cè)信息,為規(guī)范市場(chǎng)操作、發(fā)展分析師行業(yè)做出貢獻(xiàn)。
[Abstract]:Securities analysts play an important role in the healthy development of the stock market, and their forecast reports have attracted more and more attention of investors. However, a large number of theoretical and empirical studies show that. There is a general tendency to be optimistic about the earnings forecast information in the analysts' report, so what kind of impact will this systemic error have on the stock market influence of the analysts? Will the influence of analysts on the stock market vary according to the degree of optimism or conservatism of analysts? At present, many foreign scholars have made considerable research results on the demand for conservative analysts in the stock market. Hugon and Muslu 2007) through empirical research findings. Conservative analysts are more likely than optimistic analysts to forecast higher returns on stocks in the same direction. That is, the market reaction is more intense. However, the domestic scholars on this issue is still very rare. This paper believes that in the case of the prevailing optimistic trend of analysts, the market will produce demand for conservative analysts. Its performance is relative to the adjustment of the optimistic analysts' earnings forecast. The adjustment of earnings forecast made by conservative analysts will lead to a stronger market reaction. This paper selects the analysts' earnings forecast data from 2006 to 2010 to rate the conservatism of the analysts. Using the event research method, the paper empirically analyzes the cumulative excess return of the stock and the degree of individual conservatism in the event window (the length of the window is 5 days and 11 days respectively). The relationship between the adjustment of earnings forecast made by analysts to test whether conservative analysts will also have more influence on our market. At the same time. This paper examines whether conservative analysts have more significant influence on institutional investors than on the market as a whole. Generally speaking, the adjustment of earnings forecast of analysts has no obvious influence on market performance, but the adjustment of earnings forecast made by conservative analysts will make the market react more strongly. The higher the conservatism, the greater the positive (negative) cumulative excess return of stocks in the short term when adjusting for earnings increase (decrease). The study also found that the test window of cumulative excess return was expanded. The statistical test results of the data changed from not significant to significant, so this paper thinks that there may be the phenomenon of early information leakage or insufficient information circulation in the market of our country. Unlike conservative analysts in the US market, there is a significant incremental impact on institutional investors. China's institutional investors have not shown a stronger response to conservative analysts than the stock market as a whole. This paper suggests that the reason for this may be that publicly available earnings forecasts do not affect institutional investors' decision-making. One of the important sources of information; And, in China, analysts tend to issue optimistic forecasts to raise the prices of stocks held by institutional investors. In order to obtain commission or competitive star analyst advantages and other related interests. The above conjectures need to be verified. This paper verifies the hypothesis that conservative analysts have more influence on the market. It reveals that our market has the ability to identify conservative analysts, and there is a certain demand, in order to promote analysts try their best to eliminate the optimistic tendency of forecasting, release more conservative, more robust forecast information. To standardize market operations, the development of the analyst industry to contribute.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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