独立董事身份提高了分析师的预测质量吗?

文章以2002-2012年我国A股上市公司为样本,考察了被聘为上市公司独立董事的证券分析师的来源以及独立董事身份是否有助于提高分析师的预测质量。研究发现:(1)被聘为上市公司独立董事的证券分析师主要来自明星分析师,与跟踪聘任上市公司的非独立董事分析师相比,独立董事分析师对聘任上市公司的投资评级和盈余预测更为乐观,但与跟踪的非聘任上市公司相比,他们并没有对聘任上市公司发布显著乐观的投资评级和盈余预测;(2)在担任独立董事后,证券分析师的预测及时性没有发生显著变化,预测频率有所提高,但预测准确性下降,表现得更为乐观;(3)聘任证券分析师担任独立董事的上市公司获得了更多的股权再融资机会。文章在一定程度上厘清了证券分析师担任独立董事对其独立性的影响路径,为证券监管部门明确禁止证券分析师担任上市公司独立董事提供了证据支持。     

差错责任追究制度与分析师盈余预测

本文分别从分析师跟踪、盈余预测误差和分歧度三个方面考察年报信息披露重大差错责任追究制度对分析师行为的影响。研究发现,建立差错责任追究制度公司的分析师跟踪人数更多、盈余预测误差和分歧度更低,并且这种关系主要存在于高管为男性以及盈余质量较差的公司。进一步研究发现,建立差错责任追究制度的公司盈余信息含量更高、分析师更可能发布现金流预测。研究结论表明,差错责任追究制度改善了公司信息披露环境。本文不但丰富了分析师盈余预测影响因素领域的研究,同时对上市公司强化内部治理以及相关部门的监管均具有重要启示。     

"脱实向虚"会影响资本市场的信息环境吗——基于分析师跟踪的视角

从分析师跟踪行为和预测结果的视角,研究了"脱实向虚"对资本市场信息环境的影响.结果发现:公司金融化程度越高,跟踪公司的分析师人数越少,且分析师的盈余预测误差和预测分歧度也越大.机制分析表明:企业金融化会降低公司的盈余质量、增加公司的盈余波动性,从而会影响分析师的跟踪行为和预测质量,即公司金融化越高,越会降低公司的盈余质量和提高公司的盈余波动性,从而越会减少分析师跟踪人数和增加分析师的盈余预测误差和预测分歧度.     

分析师盈余预测修正与资本市场信息效率

基于股票价格的"同涨同跌"现象,利用2002-2018年中国A股上市公司数据,以动态视角考察分析师盈余预测活动对资本市场信息效率的影响.研究发现:分析师正向盈余预测修正会显著降低公司股价同步性,并且这种影响在明星分析师、非承销商分析师和女性分析师中更为明显.进一步探究分析师盈余预测修正影响公司股价同步性的传导路径,结果发现分析师正向盈余预测修正可以通过减少其盈余预测偏差和预测分歧度来降低股价同步性.研究表明分析师盈余预测修正行为属于"自我更新",能够提高资本市场信息效率.     

什么影响了证券分析师盈利预测的准确度?——来自中国上市公司的经验证据

证券分析师的盈利预测在我国资本市场中扮演着越来越重要的角色。本文以2004～2006年被分析师预测的A股上市公司为样本,在控制盈余特征、公司规模及性质、行业和年度等因素的基础上,实证检验了机构持股比例和盈余管理动机对证券分析师盈利预测准确度的影响。研究结果显示:被分析公司机构持股比例的提高,将带来盈利预测准确度的提高;而当公司存在巨亏或微利的盈余管理动机时,分析师预测的难度增加,预测准确度降低。此外,分析师关注度及盈余特征对盈利预测也会产生影响。对公司进行跟踪的分析师越多,盈利预测的准确性越高,当公司发生亏损或收益下滑时,盈利预测准确性较差。     

分析师的供应链行业知识与盈余预测质量

本文利用2008～2015年中国A股非金融业上市公司的数据,考察分析师的供应链行业知识对其盈余预测质量的影响,研究发现:具备供应链行业知识的分析师对跟踪公司盈余预测的信息质量更高;当公司对供应链行业的依赖程度较高、面临的信息不确定程度较高时,分析师供应链行业知识对盈余预测质量的提升作用更显著。进一步的研究发现,分析师供应链行业知识对盈余预测质量的提高作用是通过知识带来的熟练程度或经验实现的,并且这种提升作用在知识溢出效应较高的行业中表现更明显。     

微博、信息披露与分析师盈余预测

信息技术和社交网络的发展改变了信息的数量、类型及其传播方式。作为金融市场上最专业的信息使用者,分析师无疑会受到这一变化的影响。文章研究了上市公司开通微博对分析师盈余预测的影响,结果发现：（1）开通微博后,分析师盈余预测的修正频率增加,说明分析师会使用微博信息及时更新盈余预测。（2）开通微博后,分析师的平均盈余预测偏差和盈余预测分歧度都显著下降,说明微博信息是分析师进行预测的重要信息源,有助于其更好地了解和分析公司的经营活动。（3）开通微博后,公司股价对分析师盈余预测修正的反应更大。一个合理的解释是,投资者对微博发布的信息反应不足,而分析师能够帮助理解这些信息。文章的研究结论对于监管部门制定基于微博的社交网络信息披露标准,以及分析师如何在资本市场信息定价效率方面最大程度地发挥作用具有参考意义。     

我国证券分析师盈余预测有效性影响因素的实证研究

随着我国证券市场的不断发展与完善,投资者对信息的关注点逐渐从历史信息过渡到反映上市公司真实价值的未来信息。证券分析师是上市公司价值估值的重要来源,他们的估值结果直接影响到股价的走势。在公司估值中,盈余预测是其中的关键点和决定因素,它能够帮助机构投资者和个人投资者、债权人以及其他使用者评价公司未来的真实价值,从而有助于他们做出合理的投资决策。文章利用2008—2010三年的我国A股票市场分析师预测数据,对证券分析师盈余预测的准确性进行了实证研究;并对提高证券分析师盈余预测的正确性提出了有益的对策建议。     

机构投资者与分析师行为——基于定向增发解禁背景

文章以上市公司定向增发解禁为背景,从利益冲突的角度检验了不同增发对象在解禁后交易动机的差异对解禁前分析师盈余预测乐观程度和准确性的影响.研究发现,定向增发股票解禁时,机构投资者出于抛售获利的动机向分析师施压,导致分析师在解禁前为其所持有的股票发布了更加乐观的盈余预测,而且这些乐观预测的准确性更低;而原股东在定向增发股票解禁后倾向于继续持有,分析师在解禁前没有发布乐观有偏的预测.进一步的研究显示,机构投资者即将解禁的股份占公司总股本的比例越高,在临近解禁日时,分析师对该上市公司的预测越乐观,准确性也越低.现有文献认为机构投资者对分析师的乐观倾向具有抑制作用,而文章的经验证据表明,机构投资者在涉及自身利益时会削弱这种抑制作用.     

分析师商业性动机与盈余预测偏差:来自融资融券的证据

证券分析师是否会为了商业性目的而牺牲专业性?文章利用融资融券制度检验了鼓励交易动机是否会导致分析师有意提供偏颇的股票分析报告.卖空交易使股票在下跌过程中也能增加交易佣金,促使证券分析师给出更加客观的盈余预测.文章采用经过股票价格调整的盈余预测误差绝对值,作为分析师盈余预测偏差的度量指标,发现相对于存在卖空限制的股票,分析师对融资融券标的股票的短期盈余预测偏差降低了约0.014,长期盈余预测偏差降低了约0.019,但平均月度换手率上升了约10.9%.公司业绩和盈余预测难度的变化不能解释这一现象.文章研究表明,鼓励交易动机会使分析师发布更加乐观的盈余预测报告,而允许卖空有助于矫正这种商业性动机,增强分析师的专业性.     

Does director affiliation lead to analyst bias?

This study examines the ability of security analysts to provide objective earnings forecasts for firms with which the analyst’s brokerage firm has a director affiliation. The affiliation that we examine is where the brokerage firm has, on its board of directors, a director or an upper management individual from the firm which an analyst at the brokerage firm provides coverage. We find that affiliated analysts tend to provide earnings forecasts that are insignificantly different from unaffiliated analysts in terms of accuracy. However, we also find that forecasts provided by affiliated analysts tend to be significantly more pessimistic than those provided by their unaffiliated counterparts. This pessimistic bias in their earnings forecast will more easily allow the covered firm to beat earnings expectations when earnings are realized. We find that this bias surfaced after the Global Settlement decision, an enforcement agreement between large investment banks and the Securities and Exchange Commission (SEC) regarding issues surrounding conflicts of interest.     

Toward an Understanding of the Risky Choice Behavior of Professional Financial Analysts

Several studies have reported inefficiencies and/or biases in analysts' ability to incorporate new information into their earnings forecasts. We propose that an important psychological factor associated with optimistic earnings forecasts is the propensity of analysts to engage in risky choice behavior as described by prospect theory. Furthermore, the motivational incentives faced by analysts may exacerbate risky choice behavior during forecast revision, thereby magnifying overestimates of earnings.

Sixty professional financial analysts were asked to issue a first quarter and then an annual EPS forecast of a company. The analysts were randomly assigned to two initial forecast accuracy conditions that indicated their initial forecast earnings was 1) essentially the same as actual earnings, or 2) substantially higher than actual earnings. Analysts were also assigned to one of three motivational incentive conditions indicating the analyst and brokerage firm would 1) have no future contact with the forecast firm, 2) begin to follow the forecast firm, or 3) establish an underwriting relationship with the forecast firm.

The results indicate that analysts who perceived a loss function due to the inaccuracy of prior earnings forecasts tended to choose riskier prospects in subsequent forecast revisions than analysts who perceived their prior earnings forecasts to be accurate. These riskier prospects translate into greater overestimates of earnings. Furthermore, while the average risk attitude of the analysts was optimistic, higher levels of motivational incentives were associated with greater risk-seeking behavior by the analysts who perceive a loss function. It appears that the motivational incentives inherent in brokerage firms can exacerbate the risky choice behavior of financial analysts during forecast revision. These findings support the utility of incorporating both cognitive and motivational factors into the prediction of analyst behavior.     

研究员收益预测差异与公司债券信用利差

机构研究员对上市公司的未来收益进行预测,预测差异常常造成债券价格出现偏差。以国内上市公司发行的债券为例,以研究员对收益预测的差异和债券信用利差进行了检验。结果发现,在卖空限制下,预测差异越大,债券信用利差越低。这种差异更多地代表了投资者的意见分歧,而非未来的风险水平。并且公司债券比企业债券的信用利差对投资者意见分歧更敏感。此外,还证实了银行间债券市场的流动性确实优于交易所债券市场;平均而言,公司债券的信用利差较企业债券的信用利差更低。     

An international comparison of analysis' earnings forecast accuracy

A major task of financial analysts working for stockbrokers and investment firms is to forecast future earnings of listed companies. The usefulness of their work crucially depends on the accuracy of the forecasts. A great many studies have examined the accuracy, bias, and other characteristics of profit forecasts made in the U.S. In contrast, however, there is very little research on forecasting accuracy in other countries despite the increasingly global nature of investing. This paper examines the accuracy of corporate earnings forecasts in 34 different countries. In addition, a model is developed that seeks to explain differences across companies and countries. The findings show that eight countries have better forecast accuracy than the U.S. This cross-sectional model shows that with the inherent difficulty in forecasting for a specific company (proxied by the change in its earnings), risk and the number of analysts following the stock are the major factors in explaining earnings forecast accuracy.     

Fund Portfolio Holdings and Affiliated Analyst's Objectivity: Do Equity and Employment Relationship Matter?

The author investigates how the equity relationship between fund company and brokerage firm as well as employment relationship between analyst and brokerage firm affect affiliated fund stock portfolio holding and the affiliated analyst's objectivity. By using the specific data of such equity and employment relationship, the author finds that equity and employment relationship do matter in fund portfolio holdings and analyst objectivity. Specifically, analysts tend to release more optimal ratings on stocks that have been hold by the funds, and the funds tend to significantly reduce the stocks in their portfolio once the analysts have announced high ratings on the stocks. Moreover, the analysts in employment relationships with majority shareholders of funds and with a low reputation reveal worse objectivity. In addition, from the point of abnormal return, analysts in employment relationships with majority shareholders of funds and with a low reputation damage the interests of common investors.     

分析师利益冲突、乐观偏差与股价崩盘风险

"股价崩盘风险"是当前金融危机背景下财务学的一个研究热点。本文使用2003-2010年中国A股上市公司的数据,研究分析师乐观偏差是否影响上市公司股价崩盘风险,并考察分析师面临的"利益冲突"是否会加剧乐观偏差对股价崩盘风险的影响。研究发现:(1)分析师乐观偏差与上市公司未来股价崩盘风险之间显著正相关,且此关系在"牛市"更为显著;(2)机构投资者持股比例越高,机构投资者数量越多,公司存在再融资行为,以及来自前五大佣金收入券商的分析师比例越高,分析师乐观偏差与崩盘风险之间的正向关系就更为显著,说明"利益冲突"会加剧两者的关系。本文的研究对于全面认识分析师在资本市场中的作用,以及如何降低我国股价崩盘风险、促进股市平稳发展具有重要的理论和现实意义。     

分析师的估值模型会影响评级的信息含量吗?

本文基于2014—2018年发布的沪深两市A股上市公司深度研究报告,考察了分析师报告中关于估值方法的描述,探究分析师估值模型的选择是否会对其投资意见的信息含量产生影响。研究发现,分析师采用绝对估值模型能够提高评级调整的市场反应,具有一定的增量价值。进一步分组检验发现,在公司成长性较高、不确定性较大、券商实力较弱、分析师之间的竞争程度较高的情况下,使用绝对估值模型对于提高分析师评级调整的信息含量作用更大。本文的研究结论对于理解分析师估值过程的价值和有效性以及分析师研究报告信息含量的影响因素具有重要意义,并为投资者如何使用和评价分析师研究报告提供了一定的参考。     

The effect of short sale constraints on analyst forecast quality: Evidence from a natural experiment in China

We examine the effect of short selling on analyst forecast quality following the pilot program in China in 2010 that allows short selling for selected companies. We find that reduction in short sale constraints significantly improves analyst forecast quality for these pilot-firms when compared to non-pilot firms. Specifically, analyst forecast errors for pilot firms are smaller and forecast dispersions are narrower. Further, we show that the improvement of analyst forecast quality is more prominent for firms with lower prior price efficiencies and disclosure quality, and in locations with lower institutional development. Our findings suggest that short selling activities serve an important role in facilitating the speed of information incorporation and improving the information environment faced by firms.     

SEC FRR No. 48 and analyst forecast accuracy

SEC FRR No. 48 requires that all firms report their market risk exposures by choosing among three alternative formats: sensitivity analysis, tabular and value at risk (VaR). In this article, we examine how different methods affect analyst forecast accuracy. By regressing analyst forecast errors on a company’s choice of disclosure method, we find that analyst forecast errors are smaller for firms using VaR and tabular than for firms using sensitivity analysis. Our findings suggest that VaR and tabular approaches are more informative than sensitivity analysis.