公平信息披露与分析师预测精度——来自中国上市公司的经验证据

证券分析师是证券市场重要的信息加工者和传播者,他们的信息行为对中小投资者和市场效率有重要影响。本文基于2003~2009年分析师的年度盈利预测数据,运用面板计量模型实证检验了公平信息披露规则的实施对分析师预测精度的影响。研究结果表明:分析师预测精度在规则实施后显著下降了;而且,随着规则实施时间的推移,分析师预测精度进一步下降;另外,分析师对信息披露水平较差的上市公司的预测精度下降幅度更大。

Fair Information Disclosure and Forecast Accuracy of Securities Analysts

Securities analysts are important information processors and disseminators,and their information behavior have a major impact on small investors and the market efficiency.Using a large sample of yearly analysts’ earnings forecasts from 2003-2009 and model of panel regressions,this paper empirically assesses the impact of regulation fair disclosure on the accuracy of analysts’ earnings forecasts.The studied results show that analyst forecast become less accurate following the adoption of fair disclosure rules.As the time of regulation’s implementation extended,the negative effect become larger for the later years than the earlier years following FD’s adoption.In addition,this effect is significantly larger for companies which have relatively worse information disclosure.