行业分析师的研究报告有用吗？——来自中国A股上市公司的经验证据
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| Title | Do Analysts’ Recommendations Have Investment Values:Empirical Evidence From Listed Companies
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| 作者 | 罗党论 汪弘 |
| Author | Luo Danglun and Wang Hong |
| 作者单位 | 中山大学岭南学院 |
| Organization | Lingnan College, Sun Yat-sen University |
| 作者Email | luodl@mail.sysu.edu.cn |
| 中文关键词 | 分析师 研究报告 明星分析师 明星券商 信息不对称 |
| Key Words | Analysts; Recommendations; Star Analysts; Star Brokers; Asymmetric Information |
| 内容提要 | “研报门”事件引起了社会公众的广泛关注。行业分析师的投资评级是否准确预测了股价的未来走势？或从投资者的角度，根据分析师研报的投资评级进行买卖能否获得超额收益？本文基于事件研究的方法，以2009年1月1日到2010年12月31日之间，中国A股1563家公司的超过5万份研究报告进行了实证分析，结果表明：(1)分析师的行业报告具有显著的信息含量。具体而言，研报评级越高、分析师名气越大、分析师所在的券商名气越大，投资者根据其研报买卖股票得到的超额收益越高。(2)信息不对称会影响到研报的作用。具体而言，研报涉及的公司信息越对称，分析师的评级作用会显著降低。本文的研究有助于提高对分析师作用的认识，并有助于提高监管层对这个行业的监管效率。 |
| Abstract | The scandal of analysts’ reports have attracted great attention of the public. Do analysts’ recommendations have investment values? In other words, can investors gain superior profits by following analysts’ recommendations? This paper collected more than 50 thousand recommendations on 1563 listed companies in Chinese A Share Market, whose time range is from Jan. 1st,2009 to Dec.31st,2010, and utilized event study and multiple regression to reach empirical evidence. (1) The paper finds evidence supporting analysts’ predictive ability. The positive market reactions following analysts’ higher rating level, star analysts’ and star brokers’ recommendations can been seen clearly. A positive recommendation from a star analyst or broker can be more useful. (2) When information becomes more symmetrical in the market, the CAR (Cummulative Abnormal Return) reduces simultaneously, which is to say, good information circumstances can crowd out the CAR. Analysts are of influence and importance in eliminating information asymmetry. This study help to deepen the understanding of the roles of analysts and to improve the regulatory efficiency of the growing industry of analysts. |
| 文章编号 | WP168 |
| 登载时间 | 2011-12-29 |
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