發(fā)布時(shí)間：2018-10-09 09:59

【摘要】：在資本市場上，其資源配置效率在很大程度上取決于市場定價(jià)能力，即是否具有高效的價(jià)格發(fā)現(xiàn)機(jī)制。而高效的價(jià)格發(fā)現(xiàn)機(jī)制的形成，又有賴于是否存在發(fā)達(dá)的信息中介機(jī)構(gòu)以及相對(duì)成熟的投資群體。機(jī)構(gòu)投資者作為投資理念相對(duì)成熟的投資者，在規(guī)模、信息和知識(shí)方面具有明顯優(yōu)勢，是市場上普通投資者的投資風(fēng)向標(biāo)μ。而作為證券市場的專業(yè)分析人員，證券分析師針對(duì)公司發(fā)表的盈利預(yù)測報(bào)告以及投資建議無疑是投資者最重要的信息源。然而機(jī)構(gòu)投資者和證券分析師在發(fā)展中暴露出的一些負(fù)面影響，使人們對(duì)其在證券市場中的作用一度產(chǎn)生了爭議，并對(duì)其是否引導(dǎo)投資者理性投資也存在質(zhì)疑。 對(duì)企業(yè)未來盈余能力的準(zhǔn)確解讀是評(píng)估證券價(jià)值和進(jìn)行投資決策的關(guān)鍵所在，因此大部分學(xué)者的研究主要集中在機(jī)構(gòu)投資者或證券分析師的盈余預(yù)測的準(zhǔn)確性上。而本文則從信息傳遞者的角度出發(fā)，利用未來盈余反應(yīng)系數(shù)這一國際前沿的市場效率衡量指標(biāo)，從整體上分析機(jī)構(gòu)投資者和證券分析師對(duì)市場定價(jià)效率的影響。本文的研究結(jié)果表明，由于具有明顯的信息搜集加工優(yōu)勢以及專業(yè)的分析人員，機(jī)構(gòu)投資者和證券分析師能夠較準(zhǔn)確的把握公司未來盈余能力，并將所掌握的反映證券內(nèi)在價(jià)值的信息傳遞到市場上，引起股價(jià)對(duì)其反應(yīng)，顯著提高市場的未來盈余反應(yīng)系數(shù)，從而提高市場定價(jià)效率。 本文利用未來盈余反應(yīng)系數(shù)檢驗(yàn)了我國證券市場的定價(jià)效率，并在此基礎(chǔ)上重點(diǎn)分析了機(jī)構(gòu)投資者和證券分析師對(duì)市場定價(jià)效率的影響。對(duì)這一問題的研究也將有助于普通投資者進(jìn)一步理解機(jī)構(gòu)投資者和證券分析師的行為，也為相關(guān)監(jiān)管部門規(guī)范和引導(dǎo)我國證券市場的投資行為，，提升市場效率提供了決策參考。
[Abstract]:In the capital market, the efficiency of resource allocation depends on the market pricing ability to a great extent, that is, whether there is an efficient price discovery mechanism. The formation of efficient price discovery mechanism depends on the existence of developed information intermediaries and relatively mature investment groups. As a relatively mature investor, institutional investors have obvious advantages in scale, information and knowledge, and are the investment vane 渭 of ordinary investors in the market. As a professional analyst in the securities market, the profit forecast and investment advice issued by securities analysts are undoubtedly the most important source of information for investors. However, some negative effects on the development of institutional investors and securities analysts have caused some controversy about their role in the securities market, and there are also doubts about whether they can guide investors to invest rationally. The key to evaluate the value of securities and to make investment decisions is to accurately interpret the earnings ability of enterprises in the future. Therefore, most of the scholars' research focuses on the accuracy of earnings prediction of institutional investors or securities analysts. On the other hand, from the perspective of information transmitters, this paper analyzes the influence of institutional investors and securities analysts on market pricing efficiency by using the future earnings response coefficient, which is a measure of market efficiency in the international frontier. The results show that because of the obvious advantages of information collection and processing and professional analysts, institutional investors and securities analysts can accurately grasp the future earnings of the company. The information which reflects the intrinsic value of securities is transferred to the market, which causes the stock price to react to it, and improves the reaction coefficient of the future earnings of the market significantly, thus improving the pricing efficiency of the market. In this paper, the pricing efficiency of China's securities market is tested by using the coefficient of future earnings reaction, and the influence of institutional investors and securities analysts on the market pricing efficiency is analyzed emphatically. The study of this problem will also help ordinary investors to understand the behavior of institutional investors and securities analysts, and also provide a decision-making reference for the relevant regulatory authorities to regulate and guide the investment behavior of China's securities market and improve the efficiency of the market.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.42;F832.51

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