【作者】 王超；

【导师】 巴曙松；

【作者基本信息】 中国科学技术大学 ， 金融工程， 2018， 博士

【摘要】 本文的写作目的在于研究分析师对中国股票市场定价有效性的影响。分析师作为市场中重要的信息传递中介和信息发布者,对于市场定价反映信息的有效性具有重要的影响。上市公司披露的基本面信息需要经过分析师的点评才能转化为盈利预测、投资评级、目标价等更容易被投资者理解的投资建议;机构投资者、上市公司内部人发生的知情人交易,其中蕴含的信息也需要分析师进行提取和分析,才能转化为投资建议;分析师本身也在根据市场行业共同信息和公司的特质信息撰写研究报告,向市场传递信息。这些信息传递机制的运作效率会直接影响市场对信息的反应程度,通过研究上述信息传递机制中分析师造成的影响,可以较为全面和客观的评价分析师对中国股票市场定价有效性的影响。在本文的第一章导论部分,对有效市场理论的研究演变过程梳理可以发现,随着各种严格假设条件被放松,关于市场有效性的检验演变为信息能否迅速有效的在价格中得到反映的事件研究问题。分析师由于在市场信息传递过程中扮演重要角色,因而对市场定价有效性具有重要的影响,基于上述文献梳理形成了本文的研究框架。在本文的第二章,本文提出了分析师可以提高市场定价效率的理论模型。当市场处于均衡状态时,市场价格对信息的反应程度取决于风险厌恶程度、信息成本和信息质量,市场价格对信息的反应速度取决于市场对信息反应的差异度。分析师有助于降低投资者的风险厌恶程度、降低信息成本和提高信息质量,从而有利于提高市场价格对信息的反应程度,分析师也有助于降低投资者对于信息反应的差异度,同样有利于提高市场价格对信息的反应速度。这两项理论关系为本文后续的实证研究提供了理论支持。在本文的第三章,以跟踪分析师数量作为因变量和样本划分标准,研究了分析师数量对股价同步性指标的影响,以及分析师数量多寡对股价反应信息速度的影响,利用这些相对宏观和长期变量之间的回归系数来推断分析师对市场有效性的整体影响。研究发现,跟踪分析师数量的增多降低了股价与市场涨跌的长期同步性,并没有加快股价对公司基本面信息的反应速度,而是增加了对市场共同信息的反应速度。在本文的第四章,通过研究分析师分歧度对市场定价的影响来检验分析师作为信息发布主体对市场定价产生的影响。结果显示,在缺少做空工具的情况下,分歧度会造成定价偏高,股价反映最乐观分析师的预测,导致长期收益偏低。而且在融资融券制度实施之后,这一定价偏差不发生收敛,可能与融券制度存在缺陷,缺少可供卖空的足够证券来源有关。在本文的第五章,研究了分析师处理基本面信息的能力以及市场对分析师相关信息的价格反应。本章首先检验了分析师对定期业绩公告中盈利信息以及盈利质量相关信息的研究能力,发现分析师对于年报中披露的应计利润信息十分重视,在年报公布后的盈利预测调整时,会充分考虑当期应计利润以及未来应计利润变动的影响,而发出的一致性信号能够比较准确的预测到净利润的均值回复趋势。在此基础上检验市场对于分析师发出的相关信号的短期和长期价格反应,发现市场定价能够基于一致性信号实现超常收益,将分析师的信息反应在股价之中,但是反应速度显著慢于成熟市场,需要35个交易日之久。同时也发现投资者对于应计利润信息反应出现错误,对于没有分析师覆盖或发出一致性信号的样本,根据应计利润分组的对冲组合也同样可以获得显著的对冲收益。在本文的第六章,检验了分析师在上市公司业绩披露链条中发挥的信息中介作用,发现分析师在上市公司披露业绩信息之后,会根据相应信息对盈利预测进行调整,从而向市场传递相关信息。分析师的盈利预测行为也引发了市场的超常收益。在三种定期业绩信息披露形式中,业绩预告由于时效性最强,在信息含量方面明显替代了业绩快报和定期业绩报告,会显著降低后两者的市场反应。研究发现分析师在业绩信息披露的过程中存在调整幅度不足的现象。“超常收益替代效应”和“分析师反应不足效应”会共同影响业绩信息披露后的股价漂移(PEAD)。当之前的市场反应过度,则当期市场反应表现为股价反转;当之前的市场反应不足,则当期市场反应主要与分析师盈利预测调整比例正相关。此外,研究还发现业绩信息披露前存在显著的超常收益,意味着市场可能存在内部信息泄露。在本文的第七章,同时用股价同步性和事件窗口期累积超常收益两个衡量股价信息含量的指标来研究分析师在知情人交易信息披露后的信息中介作用。研究发现,知情交易公告之后的分析师盈利预测调整行为有助于增加股价的信息含量,表现为:一、基金公布持仓变动数据后,分析师明确调整一致预期会降低股价同步性;二、内部人减持交易公告后,分析师明确上调一致预期的样本相对明确下调一致预期的样本具有显著超常收益。此外,研究发现,基金持仓变动数据和内部人交易公告后,参与调整的分析师数量越多,股价同步性越高,意味着分析师更多的将共同信息反应在股价之中。本文主要的研究结论如下:1、从事件研究的角度来衡量,分析师在特定的基本面信息披露之后,能够较为及时的给予方向正确的处理,但是在幅度上存在明显的反应不足。市场投资者对于事件发生后的分析师盈利预测调整行为会予以反应,具有显著的超常收益。分析师的行为能够将信息正确的传递到市场中,并且市场也会正确的反应,因而分析师有助于市场定价效率的提升。2、分析师群体行为会提高短期的股价同步性,多个分析师进行同向调整盈利预测时,在反应特质信息的同时,也增加了共同信息的影响。分析师群体的分歧度会对定价造成高估,反映最乐观的预期。3、影响市场定价效率的因素包括融券制度没有有效实施和信息泄露普遍存在等市场制度因素,应计利润定价错误和短期反应过度长期反应不足等投资者行为缺陷,羊群效应和锚定效应等分析师行为缺陷。本文研究的主要改进和创新体现在如下几个方面:1、在研究视角和框架上,本文对于分析师的信息中介作用进行具体化,主要研究了分析师在盈利质量信息、业绩预告信息和知情交易信息等特定信息传递过程中发挥的作用,能够更加准确衡量分析师的作用,排除其他因素的干扰。2、本文首次从分析师盈利预测修正行为角度对国内市场中盈利公告后股价漂移现象做出了解释。研究发现在盈利信息披露后分析师反应不足会导致股价发生漂移,与此同时,业绩预告后的累积超常收益的幅度如果反应过度,则业绩快报后就不发生漂移,而是反转;如果反应不足,则业绩快报后股价会继续漂移。这两个因素共同影响了股价漂移现象。3、本文首次从分析师盈利预测行为角度对国内市场中盈利质量的影响进行分析。研究发现,在不考虑分析师的影响时,市场夸大应计利润对净利润的影响,会对当期应计利润高,未来利润持续高增长的公司低估,而对应计利润低,未来利润持续下滑的公司高估。但是,分析师能够识别出那些导致利润均值回复的应计利润项,并通过调整盈利预测行为向市场传递信息,对应计利润正确定价。4、本文首次从分析师盈利预测修正行为角度对知情人交易的信息含量进行分析。研究发现,在不考虑分析师的影响时,市场没有对内部人交易的信息含量给予重视,超常收益并不显著。加入了分析师盈利预测修正行为后,超常收益变得显著,分析师的盈利预测修正行为将内部人交易的信息含量反映在市场定价之中。5、本文在事件研究方法中,采用更加精确的指标衡量分析师的盈利预测行为和市场超常收益。本文采用事件时间窗口期内的一致预期变动比例和盈利预测调整比例作为分析师行为变化的代理变量,这两个指标对于分析师行为刻画的准确性和及时性要远好于跟踪的分析师人数等指标。本文采用市值调整后超常收益衡量市场反应,将股票市场中显著的小市值因子产生的超额收益进行剔除,剔除了可能高估事件影响的因素,得到的结论更加稳健。更多还原

【Abstract】 The objective of this paper is to analyze how analysts influence the China stock market pricing efficiency.Analysts are important information transmitting intermediary and publisher,they can influence the market price reflexing information efficiency.The fundamental information disclosed by listed companies need commented by analysts and can be converted into the investment suggestion,which are easier for investors to understand,such as earnings forecast,investment grade and target price.Analysts write research reports based on the market industry common information and company specific information and publish the report to send the information to the market.The efficiency of above procedure can directly influence the degree of how market price reflex information.We can comprehensively and objectively appraise how analysts influence the China stock market pricing efficiency through the research about analysts’influence on the above information transmitting procedure.In the chapter 1,we have reviewed the literature about Efficient Markets Hypothe-sis.We found that as the strict assumptions were released,the tests of Efficient Markets Hypothesis are converted into the event study problem that if information can be re-flected in the price promptly and effectively.Analysts are important in information transmitting mechanism,thus they can influence market pricing efficiency.We form the research frame based on the literature review.In the chapter 2,we put forward the theory model about analysts can improve the market pricing efficiency.When market is in equilibrium,the extend of price re-flect information is related with risk aversion degree,information cost and information quality.The speed of price reflects information depends on the diversity of reaction to information.Analysts help to reduce the risk aversion degree,reduce information cost and improve information quality,thus help to enhance the degree market price reflects information.Analysts also help to reduce the diversity of reaction to information,thus improve the speed of price reflects information.These two theoretical relationships provide support for subsequent empirical researches.In the chapter 3,we study the relationship between analysts number and stock price synchronicity,also the relationship between analysts number and stock price reflecting information speed.We infer the analysts’ influence on market efficiency based on the regression coefficients between these relative macro and long-term variables.The study found,increasing in followed analysts number reduce long-term price synchronicity,can’t accelerate reflecting fundamental information speed,but can accelerate reflecting common information speed.In the chapter 4,we study the influence of analysts’ diversity on market pricing,and we can test the influence of analysts as information producer not transmitter.The studies find,in the case of without selling short,diversity can overprice the stock and stock prices reflect the most optimistic analyst’s opinion,the overpricing can lead relative low return.After the implementation of margin transaction system,the pricing bias didn’t converge.We infer that lack of securities to sell short is the reason.In the chapter 5,we examine analysts’ capacity to process fundamental informa-tion and market’s pricing reaction to the information.Firstly,we examine analysts’capacity to process earnings and related information published in fixed report and find that analysts emphasize accrual earnings and adjust earnings forecast to reflect accru-al earnings and future changes.The consistent signals issued by analysts can forecast net earnings mean-reverting trend correctly.Further studies find,the consistent signals can realize excess return,market can reflect analysts’ information in 35 tradedays,but slower than that in developed market significantly.In the same time,we find investors misprice the accrual earnings,in those samples without analysts followed or consistent signals,hedged portfolios based on accrual earnings ranks also realize significant hedge return.In the chapter 6,we examine analysts’ information intermediation function in list-ed companies earnings information disclosure links and we find that,after earnings information is published,analysts will adjust their earnings forecasts based on the lat-est earnings information.The adjustments send relevant information into the market,and incur abnormal return.Earnings guidance is earliest in three disclosure forms thus replaces preliminary report and fixed report in disclosing information content,and sig-nificantly lower market reaction of latter twos.The studies also find that,analysts adjust not sufficiently to the new information disclosed by listed companies.’Abnormal re-turn substitution effect’ and ’analysts adjustment insufficient effect’ jointly effect post earnings announcement drift.When previous market abnormal return overreacts,then current market abnormal return will reverse.When previous market abnormal return underreacts,then current market abnormal return will be proportional with analysts ad-justment ratio.Furthermore,we also find significant abnormal return before earnings information published,which means there is internal information leakage.In the chapter 7,we use both price synchronicity and event window cumulated abnormal return to research analysts’ intermediation function after informed person-s’ trades information disclosed.The studies find that,after informed persons’ trades information disclosed,analysts’ adjustment of forecast increases information content in price.Firstly,after funds holding change information published,analysts’ adjust-ment of consensus will reduce price synchronicity.Secondly,after insiders’ reduc-tion trade published,analysts upgrade consensus portfolio will significantly outperform downgrade portfolio.Furthermore,after fund holding change information and insiders’trade published,more analysts adjust their forecast,price synchronicity is higher,which means analysts bring more common information into stock price.The main conclusion of this paper are as follows:1,We find that,from the perspective of event study,after specific fundamental information disclosed,analysts can process correctly and timely,but underreact signifi-cantly.Market investors will response to analysts’ adjustments,and produce significant abnormal return.Analysts’ adjustment can bring information into market correctly,and market can response to the information correctly,therefore analysts helps to enhance market pricing efficiency.2,We find analysts’ group behaviors will increase short-term price synchronicity.When many analysts perform same direction adjustment,this group behavior will bring idiosyncratic information along with common information.The diversity in analysts group will make stock price overvalue and reflect most optimistic forecast.3,Other factors affect market pricing efficiency include market institutional factors,such as margin transaction system not effectively functioning and information leakage,and investors behavioral factors,such as accrual earnings mispricing and ’overreacting short-term,underreacting long-term’,and analysts behavioral factors,such as ’herd ef-fect’ and ’anchoring effect’.The main improvement and innovation of this paper are as follows:1,We use an innovative research perspective and frame,and focus on specific an-alysts intermediation function.We mainly research analysts’ intermediation function in earnings quality,earnings guidance and informed persons’ trade etc.specific infor-mation transmitting procedure.We can exclude other interfering factors and measure analysts’ influence more precisely.2,This paper creatively use analysts’ forecast adjustment as an explanation to ’post earnings announcement drift effect’ in China stock market.Studies find that,analysts’insufficient adjustment leading to price drift after earnings information published.In the same time,we find that when market abnormal return after guidance overreacts,market abnormal return after preliminary report will reverses.When market abnormal return after guidance underreacts,market abnormal return after preliminary report will drifts.These two factors affect price drift effect.3,This paper creatively from analysts’ forecast adjustment perspective researches earnings quality information influence in China stock market.Studies find that,without analysts’ influence,market will overstate accrual earnings mean-reverting effect to net earnings and undervalue stocks with high current accrual earnings,high future earnings continued growth and overvalue stocks with low current accrual earnings,low future earnings continued growth.But,analysts can identify those accrual earnings leading to mean-reverting net earnings and adjust forecast to issue signals to the market and make stock prices correctly reflect accrual earnings.4,This paper for the first time use analysts’ forecast adjustment to analyze in-formed persons’ trades information contents.Studies find that,without analysts’ influ-ence,market will not emphasize insiders’ trade,and shows no abnormal return.When considering analysts’ adjustment,samples abnormal returns are significant and analysts bring insiders trade information contents into market price through adjusting forecasts.5,This paper use more precise variables to measure analysts forecast adjustment behavior and market abnormal return in event study methods.We use consensus change ratio and forecast adjustment ratio during event time window as the proxy variables of analysts’ opinion change,which are better than followed analysts number in accuracy and timeliness.We use market value adjusted abnormal return to measure market re-action to new information,in order to exclude significant excess return bring by small market value and achieve a robust conclusion.更多还原