证券分析师预测偏差研究述评

证券分析师的预测是否可以准确地代表市场预期,进而提高市场效率,一直以来都是投资者关注的重点和学术界讨论的热点。现有研究发现,动机驱动和认知偏差等多方面因素可能导致证券分析师的有偏预测。本文从证券分析师预测偏差内涵及其测度差异的界定,导致偏差的动因以及预测偏差对信息有效性的影响等方面对预测偏差的研究脉络和研究进展进行梳理和评述,同时提出了未来的研究方向。     

Understanding analysts forecasts

The purpose of this paper is to model analysts’ forecasts. The paper differs from the previous research in that we do not focus on how accurate these predictions may be. Accuracy may indeed be an important quality but we argue instead that another equally important aspect of the analysts’ job is to predict and describe the impact of jump events. In effect, the analysts’ role is one of scenario prediction. Using a Bayesian-inspired generalised method of moments estimation procedure, we use this notion of scenario prediction combined with the structure of the Morgan Stanley analysts’ forecasting database to model normal (base), optimistic (bull) and pessimistic (bear) forecast scenarios for a set of reports from Asia (excluding Japan) for 2007–2008. Since the estimation procedure is unique to this paper, a rigorous derivation of the asymptotic properties of the resulting estimator is also provided.     

Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts

This paper examines whether analysts resident in a country make more precise earnings forecasts for firms in that country than non-resident analysts. Using a sample of 32 countries, we find an economically and statistically significant local analyst advantage even after controlling for firm and analyst characteristics. The local advantage is high in countries where earnings are smoothed more, less information is disclosed by firms, and firm idiosyncratic information explains a smaller fraction of stock returns. It is negatively related to whether a firm has foreign assets and to market participation by foreign investors and by institutions, and positively related to holdings by insiders. The extent to which U.S. investors underweight a country's stocks is positively related to that country's local analyst advantage.     

Tournaments of financial analysts

We argue that financial analysts can be viewed as participants of two tournaments (the “All-Star” tournament and the intrafirm tournament) and examine whether analysts are incentivized by the tournament compensation structure. Using data from 1991 to 2007, we find that interim losers are more likely to increase the boldness of their forecasts in the remainder of the tournament period than interim winners. This finding survives several robustness checks and is more pronounced when the interim assessment date is closer to the end of the tournament period, when analysts are inexperienced, and when the market activity is high. In addition, we show that interim losers’ changes in boldness are less informative than interim winners’. Collectively, our findings suggest that viewing financial analysts as participants of tournaments provides a useful framework for understanding analysts’ behavior.     

Pricing interest-rate-derivative securities

This article shows that the one-state-variable interest-ratemodels of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b)can be extended so that they are consistent with both the currentterm structure of interest rates and either the current volatilitiesof all spot interest rates or the current volatilities of allforward interest rates. The extended Vasicek model is shownto be very tractable analytically. The article compares optionprices obtained using the extended Vasicek model with thoseobtained using a number of other models.     

Automated securities trading

Technological developments have permitted rapid changes in the structures of securities trading markets. These changes call for a reevaluation of regulatory regimes. For example, because divergent market structures competing for order flow may fall within different regulatory structures, the proper allocation of regulatory costs should be weighed. Because of the open access by all investors to all markets that technology permits, regulators need to examine the level of oversight necessary to ensure the protection of investors. Because of existing statutory limits, automated systems may pose particular problems in the U.S. regarding the appropriate levels of regulation for non-intermediated trading and cross-border systems that are regulated by an overseas authority. On another topic, automation facilitates increased transparency. In turn, transparency promotes investor protection, encourages market liquidity, and fosters the efficiency of securities markets by facilitating price discovery and open competition, thus reducing the effects of fragmentation. In the end, because it enhances the efficiency of the market's price discovery function and liquidity, transparancy contributes to the efficient allocation of scarce capital among competing demands for that capital. Finally, regulators should participate in the review of automated systems integrity, especially in the areas of capacity, security, and disaster recovery.National Association of Securities Dealers, Inc.A significant portion of this article appeared in a paper prepared by the Division of Market Regulation of the U.S. Securities and Exchange Commission for the 1991 Annual Conference of the International Organization of Securities Commissions, Panel on Automated Trading, September 26, 1991.The Securities and Exchange Commission, as a matter of policy, disclaims responsibility for any private publication or statements by any of its employees. The views expressed herein are those of the authors and do not necessarily reflect those of the Commission or the other members of the staff of the Commission.Mr. Adkins' contribution to this article occurred while he was a staff member of the Securities and Exchange Commission. The views expressed herein are those of Mr. Adkins only and do not necessarily reflect those of the Commission, the National Association of Securities Dealers, Inc., or members of the staffs of the Commission or the NASD.     

Optimism pattern of all-star analysts

This paper studies what drives the change in optimism among all-star analysts. Using unique hand collected data for the entire career of all-star analysts, the paper discovers the optimism patterns in their forecasts and recommendations. One the one hand, while analysts tend to issue more optimistic estimate forecasts, they are less likely to issue optimistic recommendations after becoming all-stars. On the other hand, analysts appear to be less optimistic in terms of both estimates and recommendations after being eliminated from the all-star list. The results are significant controlling for forecast accuracy, firm coverage, and job separation effect. This is the first study to look at both the optimism pattern of all-star analysts, and the effect of demotion from all-star team on analyst optimism.     

The effects of MiFID II on sell-side analysts,buy-side analysts,and firms

Review of Accounting Studies - This paper provides early but broad empirical evidence on MiFID II, which requires investment firms to unbundle investment research from other costs they charge to...     

Capitalized intangibles and financial analysts

We examine whether firms that capitalize a higher proportion of their underlying intangible assets have higher analyst following, lower dispersion of analysts’ earnings forecasts and more accurate earnings forecasts relative to firms that capitalize a lower proportion. Under Australian generally accepted accounting principles, capitalization of intangible assets has become increasingly ‘routine’ since the late 1980s. It is predicted that this experience leads Australian analysts to expect firms with relatively more certain intangible investments to signal this fact by capitalizing intangible assets. Our results are consistent with this. We find that capitalization of intangible assets is associated with higher analyst following and lower absolute earnings forecast error for firms with a stock of underlying intangible assets. Our tests suggest a weaker association between capitalization and lower earnings forecast dispersion. We conclude that there are benefits for analysts, for management to have the option to capitalize intangible assets. These findings suggest that IAS 38 Intangible Assets and AASB 138 Intangible Assets reduce the usefulness of financial statements.     

Financial analysts and price discovery

We show that whether or not a bank/brokerage firm has top‐rated financial analysts and high Wall Street Search rankings for their research is significantly related to that firm's contribution to price discovery, the process by which information is incorporated into stock prices. Our study relates cross‐sectional characteristics of the quality of brokerage research, the asymmetric information environment, and order flow volume to a microstructure measure of price discovery developed by Granger and Gonzalo. We measure analysts’ research quality with an industry‐specific ranking by institutional investors, with an opinion survey of trading desk personnel, and with the number of top 3 analysts across all industries employed by the bank/brokerage firm.     

Underwriter reputation and the pricing of securities: Evidence from asset-backed securities

This paper investigates whether and how the underwriter reputation can affect the pricing of securities. Using data on collateralized loan obligations (CLO), asset-backed securities (ABS), and asset-backed medium-term notes (ABN) from 2014 to 2019 in China bond market, we find that the underwriter's reputation has a significantly negative impact on the issuance spread. This effect is more pronounced in the CLO and ABS markets, while that in the ABN market is not significant. Furthermore, we find that the originators play a critical role in determining the issuance spread of securities, as state-owned and listed originator receive a lower initial yield spread. In addition, the number of tranches and the proportion of subordination in a deal also have a stronger effect on the relation between which the underwriters' reputation and securities prices. These results suggest that underwriters play a role in reducing information asymmetry between originators and investors, which is partly corrected via underwriter reputation.     

发行通货膨胀指数化债券探讨

按一只债券在整个生命期内其未来现金流(包括本金和利息)是否固定,分为固定利率债券和浮动利率债券.其中浮动利率债券的未来现金流=利差 参考指数.当参考指数是与通货膨胀相关的指数时,这类债券就可以称为通胀指数债券(IIS).     

Measuring securities litigation risk

Extant research commonly uses indicator variables for industry membership to proxy for securities litigation risk. We provide evidence on the construct validity of this measure by reporting on the predictive ability of alternative models of litigation risk. While the industry measure alone does a relatively poor job of predicting litigation, supplementing this variable with measures of firm characteristics (such as size, growth, and stock volatility) considerably improves predictive ability. Additional variables such as those that proxy for corporate governance quality and managerial opportunism do not add much to predictive ability and so do not meet the cost–benefit test for inclusion.     

申银万国:信息化建设助力证券投资研究

上海申银万国证券研究所有限公司（以下简称“申银万国研究所”）成立于1992年，是国内证券经营机构中成立最早、具有独立法人资格并经中国证监会批准的具有证券咨询从业资格的综合性证券研究咨询机构，为中国证券业协会副会长单位。历经十几年的发展，申银万国研究所已发展成注册资本金2000万元、拥有百余人专业研究队伍的证券研究咨询机构。     

The coverage assignments of financial analysts

Previous studies document that forecast accuracy impacts analyst career outcomes. This paper investigates the influence of forecast accuracy on coverage assignments. I show that brokerage houses reward accurate analysts by assigning them to high-profile firms and penalise analysts exhibiting poor accuracy by assigning them to smaller firms. The coverage of high-profile firms increases the potential for future compensation linked to investment banking and trading commissions. In addition, covering such firms increases analysts' recognition from buy-side investors, which, in turn, increases the likelihood of obtaining broker votes and votes for the Institutional Investor star ranking. Overall, my results indicate that high forecast accuracy leads to increased future compensation.     

Information bundling and securities litigation

We exploit the exogenous shock of a 2005?U.S. Supreme Court decision on securities class action loss causation requirements to examine two ways that firms bundle information with restatements: “positive bundling” of good news and “noise bundling” of additional bad news. We find that positive bundling offsets price declines and results in less litigation. In contrast, noise bundling magnifies price declines, but nevertheless deters litigation by confounding which bad news caused a decline. Non-bundled restatements are 5.94 times more likely to result in litigation. Bundled restatements have 8.17 times higher dismissal rates and $21.17 to $23.45 million lower settlement amounts.     

Liquidity risk in securities settlement

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second-round settlement failures triggered by the default, as well as the dynamics of settlement failures, arising from a lag in settlement relative to the date of trades. The effects of the defaulter’s net trade position, the numbers of securities and participants in the market, and participants’ trading behavior are also analyzed.We show that in SSSs – contrary to payment systems – large and persistent settlement failures are possible even when ample liquidity is provided. Central bank liquidity support to SSSs thus cannot eliminate settlement failures due to major market disruptions. This is due to the fact that securities transactions involve a cash leg and a securities leg, and liquidity can affect only the cash side of a transaction. Whereas a broad program of securities borrowing and lending might help, it is precisely during periods of market disruption that participants will be least willing to lend securities.Settlement failures can continue to occur beyond the period corresponding to the lag in settlement. This is due to the fact that, upon observation of a default, market participants must form expectations about the impact of the default, and these expectations affect current trading behavior. If, ex post, fewer of the previous trades settle than expected, new settlement failures will occur. This result has interesting implications for financial stability. On the one hand, conservative reactions by market participants to a default – for example by limiting the volume of trades – can result in a more rapid return of the settlement system to a normal level of efficiency. On the other hand, limitation of trading by market participants can reduce market liquidity, which may have a negative impact on financial stability.     

Cross-border cooperation between securities regulators

The events of September 11, 2001, prompted sweeping cross-border coordination efforts for securities regulators around the globe. After 9/11, the International Organization of Securities Commissions (IOSCO) forged a nonbinding arrangement—the Multilateral Memorandum of Understanding Concerning Consultation and Cooperation and the Exchange of Information (MMoU)—that standardized the protocol for information sharing among participating securities regulators. Because regulators from different countries entered the MMoU at different times, their enlistments created a set of staggered shocks. I use these shocks to show that the resulting cross-border cooperation (a) increases cross-border enforcement and (b) reduces the cost of liquidity provision in the capital markets of participating countries. These results support the conclusion that the MMoU helps fill gaps in cross-border regulation that historically exposed investors to information asymmetry, agency costs, and expropriation risks.