定向增发中的会计业绩效应与财务分析师信息预示

本文以2007-2013年907家定向增发公司为研究样本,考察了定向增发对资源使用效益衡量指标净资产收益率(ROE)与用之于市场决策转化指标每股收益(EPS)之间逻辑关系的影响,以及考察了定向增发环境下财务分析师对增发公司业绩变化的预示能力。研究发现,定向增发存在"EPS业绩效应",即在ROE下降情形下,随着定向增发规模的增大,公司EPS会越来越高。这为解释定向增发存在短期正向宣告效应长期回报不佳现象提供了新思路。尽管定向增发通常意味着信息不对称程度更高,但我们研究发现财务分析师盈余预测调整与公司EPS变化基本一致,并且其预测向上调整预示了定向增发公司有一个更好的未来会计业绩,这表明财务分析师预测活动可作为公司管理层信息披露的替代。     

The Effect of Regulation Fair Disclosure on the Relevance of Conference Calls to Financial Analysts

This study examines the effect of Regulation Fair Disclosure (FD) on the relevance of company-sponsored conference calls. Measuring relevance by a conference call's ability to improve analyst forecast accuracy and consensus, I find larger improvements in both variables during the period surrounding conference calls in the post-FD era versus the pre-FD era. These findings imply that in the post-FD era relatively more about a firm's upcoming earnings becomes known during conference calls, consistent with FD's success in eliminating selective disclosure.     

The Performance of Equity Analysts During the Global Financial Crisis

This paper investigates the response of equity analysts following Australian and US listed stocks to the onset of the 2007 Global Financial Crisis. Both groups of analysts reacted quickly by adjusting their forecasts downwards, and initially tending towards being overly pessimistic. Relative to pre‐crisis data, the authors identify sharp declines in earnings forecasts, an increase (decrease) in downward (upward) revisions, and a downward (upward) trend in sell (buy) recommendations. Forecast errors are larger, and dispersion of earnings forecasts is higher. Finally, the most accurate analysts in the pre‐crisis period continue to be significantly more accurate during the crisis period than their peers.     

Facial Structure and Achievement Drive: Evidence from Financial Analysts

We use a large pictorial sample of Chinese financial analysts to test the association between facial width‐to‐height ratio (fWHR) and performance in men. Financial analysts offer an ideal setting for our investigation because we can objectively track individual analysts’ behaviors and performance. We find that high‐fWHR analysts are more likely to conduct corporate site visits and they exhibit better performance. The positive fWHR–performance association survives a battery of robustness checks and the association is more pronounced for analysts with lower status, for firms with higher uncertainty, and for analysts facing more intense competition. Our results suggest that the dominant trait predicted by fWHR is achievement drive.     

Risk Perceptions of Financial Analysts and the Use of Market and Accounting Data

This paper reports the results of a laboratory experiment which attempts to test the relevance of accounting information and other market-related information in a risk-assessment task. Using the Brunswik lens model framework, estimates of ex ante risk on thirty stocks were regressed against nine company-specific cues and one industry variable. The results provide substantial evidence that publically available accounting and financial data convey information relevant for security risk evaluation.     

False (and Missed) Discoveries in Financial Economics

Multiple testing plagues many important questions in finance such as fund and factor selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a double-bootstrap method, we establish a t-statistic hurdle that is associated with a specific false discovery rate (e.g., 5%). We also establish a hurdle that is associated with a certain acceptable ratio of misses to false discoveries (Type II error scaled by Type I error), which effectively allows for differential costs of the two types of mistakes. Evaluating current methods, we find that they lack power to detect outperforming managers.     

Analysts and anomalies

Analysts' price targets and recommendations contradict stock return anomaly variables. Using an index based on 125 anomalies, we find that analysts' annual stock return forecasts are 11% higher for anomaly-shorts than for anomaly-longs. Anomaly-shorts’ return forecasts are excessively optimistic, exceeding realized returns by 34%. Recommendations also tend to be more favorable for anomaly-shorts, although this result varies across anomaly types. Consistent with analysts' slowly incorporating anomaly information, anomalies forecast revisions in both price targets and recommendations. Our findings imply that investors who follow analysts' actionable information contribute to mispricing.     

基于分类回归树算法的上市公司会计信息失真识别研究

利用26个财务变量建立分类回归树模型对会计信息失真进行识别研究,结果表明所建模型对会计信息失真企业的正确识别率达到80%以上,能将第二类错误率控制在20%以下.实证还发现留存收益在总资产中的比率小于2%的公司很容易出现会计信息失真,最后作者利用8年数据对该结果进行检验,表明其识别能力非常出色.     

Properties of Market Expectations of Accounting Earnings by Financial Analysts: UK versus US

This paper compares patterns and properties of financial analysts' forecasts (FAFs) of earnings between the UK and the US. Using 299 UK and 400 US firms from the same data source—Institutional Brokers Estimate System tapes—the accuracy of forecasts is examined and the sources of errors analysed. The results reveal that FAFs errors in the UK are much smaller than those in the US, and that this disparity persists even after controlling for firm size and industry effects. Further, FAFs of US firms demonstrate consistent overestimation of earnings over the sample period 1988–1990, while UK firms show overestimation in only one of three years. A model developed to test the determinants of forecast error reveals that forecasters of UK firms are influenced in a somewhat different fashion from those of US firms. While dispersion, predisclosure information (market capitalisation or number of analysts), and industry are common determinants of forecast error for both countries, the percentage of forecasts revised is a major determinant only for UK firms.     

简析企业财务报表的真伪鉴审与分析

银行、信用社、投资公司、信用担保公司、企事业单位等可能的债权人,在提供授信、担保或形成其他债权业务前,首先应面临着对将形成债务的企业报送的财务报表其真伪性进行鉴审与分析的问题。那么如何甄别真伪?如何从企业提供的财务报表和账证来分析其经济实力和经营效果?这是第一步必须关注的问题。笔者认为,从最简单最便捷最有效的方式来讲,应该从以下几个步骤入手。一、关注资产负债表的项目1.对所有者权益(净资产)项目的分析(1)审查实收资本额应查验提供验资报告复印件,佐证投资的真实性和合法性。一般应着重分析判断:是否对实物资产和无…     

金砖国家达金融发展新共识

＂支持改革和完善国际货币体系,建立稳定、可靠、基础广泛的国际储备货币体系＂,＂欢迎当前就特别提款权在现行国际货币体系中的作用进行讨论,包括特别提款权一篮子货币的组成问题”。4月14日,“金砖国家”领导人在海南省就国际形势、国际经济金融问题、发展问题以及金砖国家合作等议题展开了第三次高级会晤。     

银行信贷管理与企业虚假财务信息的识别及调整

识别虚假财务信息,是银行信贷人员应当掌握的基本技能.而实际上,目前企业造假的倾向和手段与银行信贷人员的识别能力是不对称的.本文结合实际,着重从信贷审查的角度,介绍企业虚假财务信息的识别以及进行真实性调整的操作方法,希望有助于降低信贷人员自身的能力风险.     

分析师跟踪和新上市公司股价表现研究

基于2006年至2008年6月之间新上市公司数据,考量分析师跟踪和新上市公司股价表现,结果表明,分析师对公司的跟踪越多,说明分析师看好该公司,对某公司进行跟踪的分析师数量传递了分析师对公司价值未来的预期。利用 Fama-Frcnch 三因素模型的截距项表征新上市公司超额收益,发现超额分析师跟踪越多的公司其新股超额收益越大。     

新国际金融监管共识对上海国际金融中心建设的影响和启示

由次贷危机引发的全球金融危机催生了G20峰会,G20伦敦峰会对全球金融监管问题给予了前所未有的重视;G20伦敦峰会达成的最新国际金融监管共识对上海国际金融中心建设的影响和启示是:上海国际金融中心建设将是与国际全面接轨的过程、上海国际金融中心建设应先行先试统一的金融监管模式、应成为人民币相关产品的全球性交易支付主平台和定价中心、应实现金融产品业务创新与调控监管的同步创新、应同步建立金融风险预警系统和机制、应强化金融机构风险管理建设、应重视国际会计准则建设和话语权、应强化征信建设和信用评级体系监管等。     

Inside the “Black Box” of Sell‐Side Financial Analysts

Our objective is to penetrate the “black box” of sell‐side financial analysts by providing new insights into the inputs analysts use and the incentives they face. We survey 365 analysts and conduct 18 follow‐up interviews covering a wide range of topics, including the inputs to analysts’ earnings forecasts and stock recommendations, the value of their industry knowledge, the determinants of their compensation, the career benefits of Institutional Investor All‐Star status, and the factors they consider indicative of high‐quality earnings. One important finding is that private communication with management is a more useful input to analysts’ earnings forecasts and stock recommendations than their own primary research, recent earnings performance, and recent 10‐K and 10‐Q reports. Another notable finding is that issuing earnings forecasts and stock recommendations that are well below the consensus often leads to an increase in analysts’ credibility with their investing clients. We conduct cross‐sectional analyses that highlight the impact of analyst and brokerage characteristics on analysts’ inputs and incentives. Our findings are relevant to investors, managers, analysts, and academic researchers.     

Equity Analysts and the Market's Assessment of Risk

The traditional view of equity analysts is that they are a source of new information about future cash flows. We broaden this view by demonstrating that equity analysts are also a substantive source of new information about priced risk. In particular, we document that, when announced, changes in analyst risk ratings distinctly and significantly affect equity returns, and are generally followed by significant changes in Fama–French factor loadings. Also, while less frequent than credit rating changes, equity risk rating changes are timelier, and with a larger overall stock price impact than credit rating changes.     

Reputation and Performance Among Security Analysts

Members of the Institutional Investor All-American Research Team supply more accurate earnings forecasts than other analysts when forecasts are matched by the corporation followed and by the date of brokerage house issuance. This contemporaneous advantage is complemented by a timing advantage; All-Americans supply forecasts more often than other analysts. Stocks returns immediately following large upward forecast revisions suggest that All-Americans impact prices more than other analysts. However, there is virtually no difference in returns following large downward revisions. Nevertheless, the collective results suggest a positive relation between reputation and performance, and, assuming that All-Americans are better paid, pay and performance.