摘要
本文以我国证券分析师(以下简称分析师)在2005-2010年发布的研究报告为对象,研究分析师盈余预测准确性与其投资评级效率之间的关系。本文的研究方法是,按照准确性对分析师盈余预测进行分组并根据组内的投资评级构造股票投资组合,比较各投资组合的月平均超额收益率的差异。研究发现,分析师盈余预测的准确性与其投资评级的效率正相关,盈余预测准确性最高组的买入-卖空投资组合的月平均超额收益比准确性最低组高出1.997%。我们的研究结果表明,准确的盈余预测信息有助于分析师做出更有价值的投资评级,同时,研究也初步揭开了分析师工作过程的"黑匣子",为未来深入研究分析师行为提供了基础。
Using 2005-2010 analyst report data, this paper examines whether analysts who issue more accurate earnings fore- casts can issue more efficient recommendations. According to analysts following the same stocks, we sort them into quintiles by their forecast accuracy and construct long and short portfolios, then compare the monthly abnormal returns in different quin- tiles. We find that there is a positive correlation between the accuracy of analyst＇ forecast and the efficiency of recommenda- tion. The abnormal return associated with the recommendations of analysts in the highest accuracy quintile exceeds the corre- sponding return for analysts in the lowest accuracy quintile by 1.997% per month. The results demonstrate that the more accu- rate the analysts＇ earnings forecasts, the more efficient the analysts＇ recommendations. Our study opens the black box of the an- alyst work, paving the way for the future research of analysts＇ behavior.
出处
《投资研究》
北大核心
2012年第8期30-44,共15页
Review of Investment Studies
基金
国家自然科学基金项目“利益冲突对证券分析师行为的影响及其经济后果研究”(70972043)
上海市哲学社会科学规划课题“中国证券市场分析师行为异化研究”资助
关键词
证券分析师
盈余预测
投资评级
Security analysts
Earnings forecasts
Stock recommendations
