摘要
现实中,分析师一方面难以坚持已见,往往随行就市改变自己之前给出的预测数字,即所谓的"变脸行为";另一方面常常盲从因袭,呈现出明显的羊群特征。本文在凯恩斯经典的选美竞赛理论框架下对此展开讨论,提供有别于已有研究的新解释,以期拓展我们对分析师预测偏差行为根源的认识。基于2004-2010年中国A股上市公司的数据,本文研究发现:(1)分析师行为存在选美竞赛现象,他们在预测时会倚重于市场上其他参与者的平均看法(高阶预期),而这也导致了变脸行为的发生;(2)分析师选美竞赛效应与其预测趋同行为密切相关,即分析师越倚重于高阶预期,其做出勇敢预测的可能性越小,羊群特征也越明显;(3)与一般分析师相比,明星分析师对高阶预期的依赖程度有所减轻,表现出的选美竞赛效应和羊群行为特征都有所减弱。
Under the theoretical framework of Keynesian beauty contest, this paper provides some new explanations for the dual characteristics of analysts, i.e. , ＂changed face＂ phenomena and herding behavior, and expands a new understanding of the source of analysts＇ earnings forecasts biases. The evidence based on China indicates that analysts rely heavily on the average opinion of other participants, i.e. higher - order expectations, demonstrating that Keynesian beauty contest phenomena also exist in security analyst industry. The results also show that the effect of beauty contest is strongly associated with the herding behavior of analysts. The further evidence indicates that the star analysts depend less on high order expectations and presents less herding behavior due to the effect of beauty contest.
出处
《金融研究》
CSSCI
北大核心
2017年第7期192-206,共15页
Journal of Financial Research
基金
国家自然科学基金项目(编号:71472161
71232005
71672158和71402155)
中央高校基本科研业务费专项资金资助项目(编号:20720140014和20720151180)的资助
关键词
选美竞赛
分析师预测偏差
高阶预期
Keynesian Beauty Contest, Earnings Forecasts Biases, Higher - order Expectations
