摘要
过往研究发现证券分析师发布的盈余预测修正具有预测股票未来收益的能力。本文将盈余预测修正拆分为行业修正和企业特质修正,发现二者均包含基本面信息,相应的多空投资组合也均能获得显著的投资收益,且该收益不能被常见的风险因子模型解释。通过对比明星分析师和普通分析师,本文发现明星分析师能有效提高行业修正和企业特质修正的基本面信息含量和投资价值。与行业修正相比,明星分析师对企业特质修正信息含量的提升程度更大。本文进一步研究发现,分析师企业特质修正中信息含量可能并非源于内幕消息。
Previous studies have found that earnings forecast revision by securities analysts could predict future stock returns. In this paper, earnings forecast revision is divided into industrial revision and enterprise idiosyncratic revision, and both revisions contain fundamental information. Returns of the corresponding long-short portfolios are significant and could not be explained by the common risk factor models. Through the comparison of star and ordinary analysts, this paper finds that star analysts could effectively increase the information content and investment value of the two revisions, and the increase in information content of enterprise idiosyncratic revision is larger than that of industrial revision. Further findings show that the information of idiosyncratic revision is probably not insider information.
作者
李绪泉
张自力
赵学军
刘若宙
LI Xu-quan;ZHANG Zi-li;ZHAO Xue-jun;LIU Ruo-zhou
出处
《金融论坛》
CSSCI
北大核心
2020年第8期72-80,共9页
Finance Forum
基金
中国博士后科学基金面上项目:“基于A股Smart Beta策略的资产管理研究”(2019M651452)
“基于社交网络的社会金融研究”(2019M651453)。
关键词
分析师
盈余预测修正
行业修正
企业特质修正
股票收益
基本面信息
analyst
earnings forecast revision
industrial revision
enterprise idiosyncratic revision
stock return
fundamental information
