分析师对业绩披露信息含量及其市场定价效率的影响
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摘要
本文检验分析师在业绩预告、业绩快报和盈利公告构成的上市公司盈利信息披露链条中的信息中介作用,研究发现,分析师调整盈利预测行为的比例这一指标具有显著的预期效应和披露效应,并且能够显著降低一致预期与实际业绩的偏离度和分析师群体盈利预测的分歧度,证实分析师调整盈利预测的行为是公告披露的盈利相关信息向市场传递的媒介,具有显著的信息含量,业绩预告之后的20个交易日内累积超常收益与业绩快报或盈利公告后的累积超常收益具有显著的反转效应。
This paper presents a test on the analyst's information mediation role in the earnings information disclosure chain composed of earnings forecast, earnings report and profit announcement. The results of the paper show that the index, behavior proportion of analyst's adjustment to profit forecasting, has significant expected effect and disclosure effect,and can significantly reduce the deviation between consensus expectation and actual earnings and the profit forecast disparity of analyst group, which confirms that the analyst's adjustment to profit forecast is a medium for the profit-related information disclosed to markets, and it has significant information contents; the accumulated abnormal income in the 20 trading days after the earnings forecast and the accumulated abnormal income after the earnings bulletin or earnings announcement have a significant reversal effect.
This paper presents a test on the analyst's information mediation role in the earnings information disclosure chain composed of earnings forecast, earnings report and profit announcement. The results of the paper show that the index, behavior proportion of analyst's adjustment to profit forecasting, has significant expected effect and disclosure effect,and can significantly reduce the deviation between consensus expectation and actual earnings and the profit forecast disparity of analyst group, which confirms that the analyst's adjustment to profit forecast is a medium for the profit-related information disclosed to markets, and it has significant information contents; the accumulated abnormal income in the 20 trading days after the earnings forecast and the accumulated abnormal income after the earnings bulletin or earnings announcement have a significant reversal effect.
引文
曹胜、朱红军,2011.王婆贩瓜:券商自营业务与分析师乐观性[J].管理世界,(7):20-30.
陈晓、秦跃红,2003.“庄家”与信息披露的质量[J].管理世界,(3):28-33.
龚光明、余海波,2017.业绩预告信息对分析师盈余预测修正的影响[J].财会月刊:综合版,(6):30-35.
何诚颖、陈锐、蓝海平、徐向阳,2014.投资者非持续性过度自信与股市反转效应[J].管理世界,(8):44-54.
何乃飞,2004.我国上市公司业绩预告的信息含量研究[D].广州:暨南大学.
黄晓蓓,2016.上市公司业绩预告与分析师预测互动机制研究[D].北京:对外经济贸易大学.
黄宇虹,2013.分析师预测与价格发现[J].投资研究,(2):40-60.
纪新伟、宋云玲,2011.管理层业绩预告与分析师盈余预测的相互影响:研究现状与启示[J].未来与发展,(8):56-61.
李丹、贾宁,2009.盈余质量、制度环境与分析师预测[J].中国会计评论,(4):351-370.
李馨子、肖土盛,2015.管理层业绩预告有助于分析师盈余预测修正吗[J].南开管理评论,(2):30-38.
李志冰、杨光艺、冯永昌、景亮,2017.Fama-French五因子模型在中国股票市场的实证检验[J].金融研究,(6):191-206.
柳木华,2005.业绩快报的信息含量:经验证据与政策含义[J].会计研究,(7):39-43.
庞晓波、呼建光,2011.分析师报告能够预测与解读财务报告吗---来自中国股市的经验证据[J].财贸经济,(3):42-47.
田陇,2005.中国股市盈利预测公告与盈利公告的对比研究[D].北京:北京大学.
王德宏、宋建波、刘心宇,2017.中国创业板的动量效应和反转效应[J].金融理论探索,(1):36-41.
肖萌,2013.分析师对信息的反应与准确度及其市场反应[J].证券市场导报,(11):71-78.
熊欢,2012.基于中国A股市场的价格惯性效应和反转效应研究[D].上海:复旦大学.
许年行、江轩宇、伊志宏、徐信忠,2012.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,(7):127-140.
岳衡、林小驰,2008.证券分析师VS统计模型:证券分析师盈余预测的相对准确性及其决定因素[J].会计研究,(8):40-49.
邹朋飞、李涛,2017.中国股票市场的惯性效应---基于指数分级基金视角的研究[J].金融论坛,(11):72-80.
张然、汪荣飞、王胜华,2017.分析师修正信息、基本面分析与未来股票收益[J].金融研究,(7):156-174.
赵良玉、李增泉、刘军霞,2013.管理层偏好、投资评级乐观性与私有信息获取[J].管理世界,(4):33-46.
朱红军、何贤杰、陶林,2008.信息源、信息搜寻与市场吸收效率---基于证券分析师盈利预测修正的经验证据[J].财经研究,34(5):63-74.
张兵、陈晓莹,2017.中国股市低价股效应研究---基于Fama&French三因子模型的检验[J].金融论坛,(10):7-20.
Ball,R.,Brown,P.,1968.An Empirical Evaluation of Accounting Income Numbers[J].Journal of Accounting Research,(4):159-178.
Barth,M.E.,Hutton,A.P.,2004.Analyst Earnings Forecast Revisions and the Pricing of Accruals[J].Review of Accounting Studies,9(1):59-96.
Givoly,D.,and Lakonishok,J.,1979.The Information Content of Financial Analysts’Forecasts of Earnings:Some Evidence on Semi-strong Inefficiency[J].Journal of Accounting&Economics,1(3):165-185.
Gleason,C.A.,and Lee,C.M.C.,2003.Analyst Forecast Revisions and Market Price Discovery[J].Accounting Review,78(1):193-225.
Hassell,J.M.,Jennings,R.H.,and Lasser,D.J.,1988.Management Earnings Forecasts:Their Usefulness as a Source of Firmspecific Information to Security Analysts[J].Journal of Financial Research,11(4):303-319.
Hutton,A.P.,Miller,G.S,and Skinner,D.J.,2003.The Role of Supplementary Statements with Management Earnings Forecasts[J].Journal of Accounting Research,41(5):867-890.
Imhoff,E.A.,and Lobo,G.J.,1984.Information Content of Analysts’Composite Forecast Revisions[J].Journal of Accounting Research,22(2):541-554.
Lee,C.M.C.,2003.Market Efficiency and Accounting Research:A Discussion of‘Capital Market Research in Accounting’by S.P.Kothari[J].Journal of Accounting&Economics,31(1):233-253.
Stickel,S.E.,1991.Common Stock Returns Surrounding Earnings Forecast Revisions:More Puzzling Evidence[J].Accounting Review,66(2):402-416.
(1)截至2018年8月12日,根据WIND数据,上市公司数量为3 526。
(2)截至2017年12月31日,资料来源:中国证券业协会。
陈晓、秦跃红,2003.“庄家”与信息披露的质量[J].管理世界,(3):28-33.
龚光明、余海波,2017.业绩预告信息对分析师盈余预测修正的影响[J].财会月刊:综合版,(6):30-35.
何诚颖、陈锐、蓝海平、徐向阳,2014.投资者非持续性过度自信与股市反转效应[J].管理世界,(8):44-54.
何乃飞,2004.我国上市公司业绩预告的信息含量研究[D].广州:暨南大学.
黄晓蓓,2016.上市公司业绩预告与分析师预测互动机制研究[D].北京:对外经济贸易大学.
黄宇虹,2013.分析师预测与价格发现[J].投资研究,(2):40-60.
纪新伟、宋云玲,2011.管理层业绩预告与分析师盈余预测的相互影响:研究现状与启示[J].未来与发展,(8):56-61.
李丹、贾宁,2009.盈余质量、制度环境与分析师预测[J].中国会计评论,(4):351-370.
李馨子、肖土盛,2015.管理层业绩预告有助于分析师盈余预测修正吗[J].南开管理评论,(2):30-38.
李志冰、杨光艺、冯永昌、景亮,2017.Fama-French五因子模型在中国股票市场的实证检验[J].金融研究,(6):191-206.
柳木华,2005.业绩快报的信息含量:经验证据与政策含义[J].会计研究,(7):39-43.
庞晓波、呼建光,2011.分析师报告能够预测与解读财务报告吗---来自中国股市的经验证据[J].财贸经济,(3):42-47.
田陇,2005.中国股市盈利预测公告与盈利公告的对比研究[D].北京:北京大学.
王德宏、宋建波、刘心宇,2017.中国创业板的动量效应和反转效应[J].金融理论探索,(1):36-41.
肖萌,2013.分析师对信息的反应与准确度及其市场反应[J].证券市场导报,(11):71-78.
熊欢,2012.基于中国A股市场的价格惯性效应和反转效应研究[D].上海:复旦大学.
许年行、江轩宇、伊志宏、徐信忠,2012.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,(7):127-140.
岳衡、林小驰,2008.证券分析师VS统计模型:证券分析师盈余预测的相对准确性及其决定因素[J].会计研究,(8):40-49.
邹朋飞、李涛,2017.中国股票市场的惯性效应---基于指数分级基金视角的研究[J].金融论坛,(11):72-80.
张然、汪荣飞、王胜华,2017.分析师修正信息、基本面分析与未来股票收益[J].金融研究,(7):156-174.
赵良玉、李增泉、刘军霞,2013.管理层偏好、投资评级乐观性与私有信息获取[J].管理世界,(4):33-46.
朱红军、何贤杰、陶林,2008.信息源、信息搜寻与市场吸收效率---基于证券分析师盈利预测修正的经验证据[J].财经研究,34(5):63-74.
张兵、陈晓莹,2017.中国股市低价股效应研究---基于Fama&French三因子模型的检验[J].金融论坛,(10):7-20.
Ball,R.,Brown,P.,1968.An Empirical Evaluation of Accounting Income Numbers[J].Journal of Accounting Research,(4):159-178.
Barth,M.E.,Hutton,A.P.,2004.Analyst Earnings Forecast Revisions and the Pricing of Accruals[J].Review of Accounting Studies,9(1):59-96.
Givoly,D.,and Lakonishok,J.,1979.The Information Content of Financial Analysts’Forecasts of Earnings:Some Evidence on Semi-strong Inefficiency[J].Journal of Accounting&Economics,1(3):165-185.
Gleason,C.A.,and Lee,C.M.C.,2003.Analyst Forecast Revisions and Market Price Discovery[J].Accounting Review,78(1):193-225.
Hassell,J.M.,Jennings,R.H.,and Lasser,D.J.,1988.Management Earnings Forecasts:Their Usefulness as a Source of Firmspecific Information to Security Analysts[J].Journal of Financial Research,11(4):303-319.
Hutton,A.P.,Miller,G.S,and Skinner,D.J.,2003.The Role of Supplementary Statements with Management Earnings Forecasts[J].Journal of Accounting Research,41(5):867-890.
Imhoff,E.A.,and Lobo,G.J.,1984.Information Content of Analysts’Composite Forecast Revisions[J].Journal of Accounting Research,22(2):541-554.
Lee,C.M.C.,2003.Market Efficiency and Accounting Research:A Discussion of‘Capital Market Research in Accounting’by S.P.Kothari[J].Journal of Accounting&Economics,31(1):233-253.
Stickel,S.E.,1991.Common Stock Returns Surrounding Earnings Forecast Revisions:More Puzzling Evidence[J].Accounting Review,66(2):402-416.
(1)截至2018年8月12日,根据WIND数据,上市公司数量为3 526。
(2)截至2017年12月31日,资料来源:中国证券业协会。