行业分析师盈利预测偏差的新解释

对于卖方行业分析师(简称分析师)盈利预测偏差的现象,本文提出一个新假说,即作为理性投资的代表者——分析师的盈利预测偏差会受到投资者情绪或噪音交易的影响,并通过我国的数据证实了该假说。首先,通过实证研究,发现国内行业分析师盈利预测存在系统性的偏差。其次,构造月度投资者情绪指数,通过非参数和参数的统计方法,针对盈利预测偏差的时间序列和面板数据两组数据,证明了情绪是分析师盈利预测偏差的一个重要因素。国际文献中对分析师偏差的绝大多数理论解释通常是基于经典金融学的框架,即假设分析师是完全理性的,其偏差主要来自利益驱动(他们供职的机构或个人利益最大化)。而本文认为情绪和利益驱动因素相结合才能更好地解释分析师预测的偏差。

A New Explanation of Industry Analyst Earnings Forecast Bias

In this paper,we propose a new hypothesis to explain the phenomenon of earnings forecasting bias,arguing that analysts,considered to be rational investors,are influenced by sentiment(or noise trading)when they forecast earnings.Firstly,we find that there is a systematic bias of analysts’ earning forecasting in Chinese capital market.Secondly,we construct a composite index of sentiment,and use it to test our hypothesis by non-parametric and parametric statistic methods.The empirical results support our hypothesis.Analyst bias is usually explained on the classical financial framework in most literatures,which assumes that the analysts are completely rational and their bias come from the interest-driven.However,we think that it is better to explain analyst bias by both sentiment and interest-driven.