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

本文使用2005年35家券商对我国上市公司做出的每股盈余预测数据,考察了证券分析师盈余预测相对于统计模型的相对准确性及其决定因素。我们发现,我国证券分析师做出的盈余预测,同以年度历史数据为基础的统计模型得出的盈余预测相比,预测误差较小,证券分析师盈余预测具有一定的优势;但同某些以季度历史数据为基础的统计模型得出的盈余预测相比,预测误差较大,证券分析师盈余预测不具有优势。我们同时考察了决定证券分析师盈余预测相对准确性的决定因素。我们发现,公司每股盈余的波动性越大,公司上市越晚,跟踪公司的分析师越多,证券分析师的优势就越大。我们的研究对证券分析师以及投资者都有一定的启示作用。

Financial Analyst vs. Statistical Model: The Relative Accuracy of Analyst Forecasts and Its Determinants

Whether analysts' forecasts are more accurate than forecasts of statistical models is the most fundamental issue of the research on financial analysts.If earnings forecasts of analysts are less accurate,then analysts are worthless;otherwise,if analysts can more accurately forecast earnings,then analysts can provide useful information to investors and contribute to the development of capital market.This paper uses analysts' forecasts from 35 stock brokers to investigate the relative accuracy of analysts' forecasts and forecasts of statistical models in China and the determinants of the relative accuracy.We find that analysts' forecasts are more accurate than statistical models based on historical annual data,but are less accurate than statistical models based on historical quarterly data.Further investigation indicates that earnings volatility,firm age,and the number of analysts following affect the relative accuracy of analysts' forecasts.Our research suggests that analysts in China need to improve their ability of forecasts and investors should be cautious when using analysts' forecasts.