卖方分析师的盈利预测大胆程度与预测准确性
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摘要
证券分析师一直以来被认为是解决现代公司制度委托代理问题的重要机制。分析师的作用类似于信息中介,通过各种途径搜集、分析公司信息,并以盈利预测、投资评级等方式将信息传递给投资者。但是,学术界逐渐发现,分析师在现实中的作用并不完全“中性”,反而来自上市公司管理层、分析师所在券商、分析师自身和投资者的影响因素都会“扭曲”分析师的行为。
分析师羊群行为是分析师行为“扭曲”的表现之一。本文以2004年-2009年中国证券市场分析师盈利预测数据,以盈利预测大胆程度来衡量分析师羊群行为倾向,对分析师的羊群行为做了实证研究。本文想要探讨的三个主要问题是:首先,中国证券市场的分析师呈现怎样的羊群行为;其次,分析师羊群行为的驱动因素有哪些;最后,分析师的羊群行为对盈利预测的准确性有怎样的影响。
研究发现,首先,分析师羊群行为的驱动因素主要包括市场氛围、预测时间长度、预测先发性等,这些影响因素同国外实证经验一致。但本文没有发现分析师能力/声誉是驱动羊群行为的主要因素,与国外实证经验不同。其次,分析师羊群行为会对其预测精准度有显著影响。但不同于国外的实证经验,本文发现羊群行为的预测往往更精准。
Security analysts are traditionally considered to be an essential mechanism to solve the agency problems of modern corporation. Security analysts act as information intermediary as they collect and analyze company information and release the information via earnings forecasts and investment recommendations. However, the academy gradually finds that the role of analysts is not neutral in reality. Rather, influence from company management, security firms, analysts themselves and investors are all liable to distort analysts’behavior.
Analysts’herding behavior is among the‘distortions’of behavior. This paper uses data of Chinese stock market spanning from 2004 to 2009 and examines the herding behavior of analysts’earnings forecasts (measured by earnings forecast boldness). The three main issues this paper tries to address is, firstly, what is the general picture of herding of Chinese stock analysts; secondly, what are the driving factors of analysts’herding behavior; lastly, how will analysts’herding behavior affects its influence on earnings forecasts accuracy.
This paper finds that empirically, analysts’herding behavior is mainly driven by market atmosphere, forecast horizon, forecast timeliness, which is consistent with findings in US markets. But this paper fails to find the positive correlation between analysts’reputation and forecast boldness, which contradicts findings in the US market. Furthermore, the paper also finds the positive relationship between analysts’herding behavior and forecast accuracy, which contradicts findings in the US market.
分析师羊群行为是分析师行为“扭曲”的表现之一。本文以2004年-2009年中国证券市场分析师盈利预测数据,以盈利预测大胆程度来衡量分析师羊群行为倾向,对分析师的羊群行为做了实证研究。本文想要探讨的三个主要问题是:首先,中国证券市场的分析师呈现怎样的羊群行为;其次,分析师羊群行为的驱动因素有哪些;最后,分析师的羊群行为对盈利预测的准确性有怎样的影响。
研究发现,首先,分析师羊群行为的驱动因素主要包括市场氛围、预测时间长度、预测先发性等,这些影响因素同国外实证经验一致。但本文没有发现分析师能力/声誉是驱动羊群行为的主要因素,与国外实证经验不同。其次,分析师羊群行为会对其预测精准度有显著影响。但不同于国外的实证经验,本文发现羊群行为的预测往往更精准。
Security analysts are traditionally considered to be an essential mechanism to solve the agency problems of modern corporation. Security analysts act as information intermediary as they collect and analyze company information and release the information via earnings forecasts and investment recommendations. However, the academy gradually finds that the role of analysts is not neutral in reality. Rather, influence from company management, security firms, analysts themselves and investors are all liable to distort analysts’behavior.
Analysts’herding behavior is among the‘distortions’of behavior. This paper uses data of Chinese stock market spanning from 2004 to 2009 and examines the herding behavior of analysts’earnings forecasts (measured by earnings forecast boldness). The three main issues this paper tries to address is, firstly, what is the general picture of herding of Chinese stock analysts; secondly, what are the driving factors of analysts’herding behavior; lastly, how will analysts’herding behavior affects its influence on earnings forecasts accuracy.
This paper finds that empirically, analysts’herding behavior is mainly driven by market atmosphere, forecast horizon, forecast timeliness, which is consistent with findings in US markets. But this paper fails to find the positive correlation between analysts’reputation and forecast boldness, which contradicts findings in the US market. Furthermore, the paper also finds the positive relationship between analysts’herding behavior and forecast accuracy, which contradicts findings in the US market.
引文
[1] Abarbanell, Jeffry S. and Victor L. Bernard,“Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior,”The Journal of Finance 47, no. 3 (July 1992): 1181-1207.
[2] Allen, Franklin and Gerald R. Faulhaber,“Signalling by underpricing in the IPO market,”Journal of Financial Economics 23, no. 2 (August 1989): 303-323.
[3] Banerjee, Abhijit V.,“A Simple Model of Herd Behavior,”The Quarterly Journal of Economics 107, no. 3 (August 1992): 797-817.
[4] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch,“A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades,”Journal of Political Economy 100, no. 5 (January 1, 1992): 992.
[5] Bikhchandani, Sushil and Sunil Sharma,“Herd Behavior in Financial Markets,”IMF Staff Papers 47, no. 3 (2000): 279-310.
[6] Brennan, Michael J. and Patricia J. Hughes,“Stock Prices and the Supply of Information,”The Journal of Finance 46, no. 5 (December 1991): 1665-1691.
[7] Chung, Kee H.,“Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts,”Financial Management 29, no. 2 (Summer 2000): 35-54.
[8] Chung, Kee H. and Hoje Jo,“The Impact of Security Analysts' Monitoring and Marketing Functions on the Market Value of Firms,”The Journal of Financial and Quantitative Analysis 31, no. 4 (December 1996): 493-512.
[9] Clement, Michael B. and Senyo Y. Tse,“Do Investors Respond to Analysts' Forecast Revisions as If Forecast Accuracy Is All That Matters?,”The Accounting Review 78, no. 1 (January 2003): 227-249.
[10] Clement , Michael B. and Senyo Y. Tse,“Financial Analyst Characteristics and Herding Behavior in Forecasting,”The Journal of Finance 60, no. 1 (February 2005): 307-341.
[11] Doukas, John A., Chansog(Francis) Kim, and Christos Pantzalis,“The Two Faces of Analyst Coverage,”Financial Management 34, no. 2 (Summer 2005): 99-125.
[12] Easterwood, John C. and Stacey R. Nutt,“Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?,”The Journal of Finance 54, no. 5 (October 1999): 1777-1797.
[13] Graham, J. R,“Herding among investment newsletters: Theory and evidence,”Journal of Finance 54, no. 1 (1999): 237–268.
[14] Hong, Harrison, Jeffrey D. Kubik, and Amit Solomon,“Security Analysts' Career Concerns and Herding of Earnings Forecasts,”The RAND Journal of Economics 31, no. 1 (Spring 2000): 121-144.
[15] Howe, John S., Emre Unlu, and Xuemin (Sterling) Yan,“The Predictive Content of Aggregate Analyst Recommendations,”Journal of Accounting Research 47, no. 3 (2009): 799-821.
[16] Lim, Terence,“Rationality and Analysts' Forecast Bias,”The Journal of Finance 56, no. 1 (February 2001): 369-385.
[17] Lin, Hsiou-wei and Maureen F. McNichols,“Underwriting relationships, analysts' earnings forecasts and investment recommendations,”Journal of Accounting and Economics 25, no. 1 (February 26, 1998): 101-127.
[18] Loh, Roger K. and G. Mujtaba Mian,“Do accurate earnings forecasts facilitate superior investment recommendations?,”Journal of Financial Economics 80, no. 2 (May 2006): 455-483.
[19] Michaely, R and KL Womack,“Conflict of interest and the credibility of underwriter analyst recommendations,”Rev. Financ. Stud. 12, no. 4 (July 2, 1999): 653-686.
[20] Scharfstein, David S. and Jeremy C. Stein,“Herd Behavior and Investment,”The American Economic Review 80, no. 3 (June 1990): 465-479.
[21] Scherbina, Anna,“Analyst Disagreement, Forecast Bias and Stock Returns,”SSRN eLibrary (June 2004), http://papers.ssrn.com/sol3/papers.cfm?abstract_id=894381.
[22] Stickel, Scott E.,“Predicting Individual Analyst Earnings Forecasts,”Journal of Accounting Research 28, no. 2 (Autumn 1990): 409-417.
[23] Stickel, Scott E.,“Reputation and Performance Among Security Analysts,”The Journal of Finance 47, no. 5 (December 1992): 1811-1836.
[24] Trueman, B.,“Analyst forecasts and herding behavior,”Review of financial studies 7, no. 1 (1994): 97–124.
[25] Welch, Ivo,“Sequential Sales, Learning, and Cascades,”The Journal of Finance 47, no. 2 (June 1992): 695-732.
[26] Welch, Ivo,“Herding among security analysts,”Journal of Financial Economics 58, no. 3 (2000): 369–396.
[27] Zwiebel, Jeffrey,“Corporate Conservatism and Relative Compensation,”The Journal of Political Economy 103, no. 1 (February 1995): 1-25.
[28]胡奕明,林文雄.信息关注深度,分析能力与分析质量——对我国证券分析师的调查分析[J].金融研究,2005,(2)
[29]黄倩茹.承销商分析师与非承销商分析师预测评级比较研究[D].2006.
[30]黄静,董秀良.证券分析师业绩预测和投资评级准确性实证分析[J].数理统计与管理,2006,25(6)
[31]季侃乐.卖方分析师评级中的利益权衡行为与乐观倾向程度选择:[硕士论文].上海:复旦大学, 2009
[32]李丹蒙.公司透明度与分析师预测活动[J].经济科学,2007,(6)
[33]林翔.对中国证券咨询机构预测的分析[J].经济研究,2000,(2)
[34]石桂峰,苏力勇,齐伟山.财务分析师盈余预测精确度决定因素的实证分析[J].财经研究,2007,33(5)
[35]宋军.中国股评家的羊群行为研究[J].管理科学学报,2003,6(1)
[36]王宇熹,肖峻.证券分析师盈余预测偏差之谜的新解释——来自中国证券分析师行业的新证据[J].统计与决策,2006,(16)
[37]王振山.分析师关注度与股票收益率——基于中国A股市场数据的经验研究[J].财经问题研究,2008,(4)
[38]吴东辉,薛祖云.财务分析师盈利预测的投资价值:来自深沪A股市场的证据[J].会计研究,2005,(8)
[39]于静,陈工孟,孙彬.最佳证券分析师能战胜市场吗[J].财经科学,2008,(5)
[40]岳衡,林小驰.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,2008,(8)
[41]朱宝宪,王怡凯.证券媒体选股建议效果的实证分析[J] .经济研究,2002,(5)
[2] Allen, Franklin and Gerald R. Faulhaber,“Signalling by underpricing in the IPO market,”Journal of Financial Economics 23, no. 2 (August 1989): 303-323.
[3] Banerjee, Abhijit V.,“A Simple Model of Herd Behavior,”The Quarterly Journal of Economics 107, no. 3 (August 1992): 797-817.
[4] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch,“A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades,”Journal of Political Economy 100, no. 5 (January 1, 1992): 992.
[5] Bikhchandani, Sushil and Sunil Sharma,“Herd Behavior in Financial Markets,”IMF Staff Papers 47, no. 3 (2000): 279-310.
[6] Brennan, Michael J. and Patricia J. Hughes,“Stock Prices and the Supply of Information,”The Journal of Finance 46, no. 5 (December 1991): 1665-1691.
[7] Chung, Kee H.,“Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts,”Financial Management 29, no. 2 (Summer 2000): 35-54.
[8] Chung, Kee H. and Hoje Jo,“The Impact of Security Analysts' Monitoring and Marketing Functions on the Market Value of Firms,”The Journal of Financial and Quantitative Analysis 31, no. 4 (December 1996): 493-512.
[9] Clement, Michael B. and Senyo Y. Tse,“Do Investors Respond to Analysts' Forecast Revisions as If Forecast Accuracy Is All That Matters?,”The Accounting Review 78, no. 1 (January 2003): 227-249.
[10] Clement , Michael B. and Senyo Y. Tse,“Financial Analyst Characteristics and Herding Behavior in Forecasting,”The Journal of Finance 60, no. 1 (February 2005): 307-341.
[11] Doukas, John A., Chansog(Francis) Kim, and Christos Pantzalis,“The Two Faces of Analyst Coverage,”Financial Management 34, no. 2 (Summer 2005): 99-125.
[12] Easterwood, John C. and Stacey R. Nutt,“Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?,”The Journal of Finance 54, no. 5 (October 1999): 1777-1797.
[13] Graham, J. R,“Herding among investment newsletters: Theory and evidence,”Journal of Finance 54, no. 1 (1999): 237–268.
[14] Hong, Harrison, Jeffrey D. Kubik, and Amit Solomon,“Security Analysts' Career Concerns and Herding of Earnings Forecasts,”The RAND Journal of Economics 31, no. 1 (Spring 2000): 121-144.
[15] Howe, John S., Emre Unlu, and Xuemin (Sterling) Yan,“The Predictive Content of Aggregate Analyst Recommendations,”Journal of Accounting Research 47, no. 3 (2009): 799-821.
[16] Lim, Terence,“Rationality and Analysts' Forecast Bias,”The Journal of Finance 56, no. 1 (February 2001): 369-385.
[17] Lin, Hsiou-wei and Maureen F. McNichols,“Underwriting relationships, analysts' earnings forecasts and investment recommendations,”Journal of Accounting and Economics 25, no. 1 (February 26, 1998): 101-127.
[18] Loh, Roger K. and G. Mujtaba Mian,“Do accurate earnings forecasts facilitate superior investment recommendations?,”Journal of Financial Economics 80, no. 2 (May 2006): 455-483.
[19] Michaely, R and KL Womack,“Conflict of interest and the credibility of underwriter analyst recommendations,”Rev. Financ. Stud. 12, no. 4 (July 2, 1999): 653-686.
[20] Scharfstein, David S. and Jeremy C. Stein,“Herd Behavior and Investment,”The American Economic Review 80, no. 3 (June 1990): 465-479.
[21] Scherbina, Anna,“Analyst Disagreement, Forecast Bias and Stock Returns,”SSRN eLibrary (June 2004), http://papers.ssrn.com/sol3/papers.cfm?abstract_id=894381.
[22] Stickel, Scott E.,“Predicting Individual Analyst Earnings Forecasts,”Journal of Accounting Research 28, no. 2 (Autumn 1990): 409-417.
[23] Stickel, Scott E.,“Reputation and Performance Among Security Analysts,”The Journal of Finance 47, no. 5 (December 1992): 1811-1836.
[24] Trueman, B.,“Analyst forecasts and herding behavior,”Review of financial studies 7, no. 1 (1994): 97–124.
[25] Welch, Ivo,“Sequential Sales, Learning, and Cascades,”The Journal of Finance 47, no. 2 (June 1992): 695-732.
[26] Welch, Ivo,“Herding among security analysts,”Journal of Financial Economics 58, no. 3 (2000): 369–396.
[27] Zwiebel, Jeffrey,“Corporate Conservatism and Relative Compensation,”The Journal of Political Economy 103, no. 1 (February 1995): 1-25.
[28]胡奕明,林文雄.信息关注深度,分析能力与分析质量——对我国证券分析师的调查分析[J].金融研究,2005,(2)
[29]黄倩茹.承销商分析师与非承销商分析师预测评级比较研究[D].2006.
[30]黄静,董秀良.证券分析师业绩预测和投资评级准确性实证分析[J].数理统计与管理,2006,25(6)
[31]季侃乐.卖方分析师评级中的利益权衡行为与乐观倾向程度选择:[硕士论文].上海:复旦大学, 2009
[32]李丹蒙.公司透明度与分析师预测活动[J].经济科学,2007,(6)
[33]林翔.对中国证券咨询机构预测的分析[J].经济研究,2000,(2)
[34]石桂峰,苏力勇,齐伟山.财务分析师盈余预测精确度决定因素的实证分析[J].财经研究,2007,33(5)
[35]宋军.中国股评家的羊群行为研究[J].管理科学学报,2003,6(1)
[36]王宇熹,肖峻.证券分析师盈余预测偏差之谜的新解释——来自中国证券分析师行业的新证据[J].统计与决策,2006,(16)
[37]王振山.分析师关注度与股票收益率——基于中国A股市场数据的经验研究[J].财经问题研究,2008,(4)
[38]吴东辉,薛祖云.财务分析师盈利预测的投资价值:来自深沪A股市场的证据[J].会计研究,2005,(8)
[39]于静,陈工孟,孙彬.最佳证券分析师能战胜市场吗[J].财经科学,2008,(5)
[40]岳衡,林小驰.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,2008,(8)
[41]朱宝宪,王怡凯.证券媒体选股建议效果的实证分析[J] .经济研究,2002,(5)