【摘要】 鉴于中国股评家在证券市场中的特殊地位和羊群行为在我国证券市场中广泛存在且对市场的效率有重要影响等情况,建立了中国股评家大盘预测的羊群行为的检验模型,分别研究股评家羊群行为的存在性、影响羊群行为的因素和羊群行为的理性特征.主要结论为:股评家对舆论有明显的羊群行为;当历史收益率增加、市场乐观情绪高涨、股评家预测的一致程度增加、股评家的能力降低、股评家的初始声誉增大时,股评家参与羊群行为的动机增加.股评家羊群行为的理性研究指出,当舆论被事后的收益率证明为错误时,羊群行为反而增加.因此股评家的羊群行为很可能是一种非理性行为.更多还原

【Abstract】 Given the special status of the stock analysts in Chinese securities markets and the extensive existence of herding behaviors and their profound impacts on the market, we propose a model to test the herding behaviors of the stock analysts on the consensus while they make predictions on the futures movement of the market returns. We focus on the existence of the herding behaviors, the interior and exterior factors that influence the herding behaviors and the rationality of the herding behaviors. The main conclusions are as follows: there are significant herding behaviors on the consensus of the analysts. As the history returns increase, the optimistic sentiment in the markets increase, the degree of the uniform of the predictions of the analysts increases, the abilities of the analysts decreases and the initial reputations of them increases, the incentives of the analysts to herd on consensus increase. The research on the rationality of the herding behaviors indicates that the degree of herding increases when the consensus is proved to be wrong by the ex post return. Therefore, the herding of the stock analysts is more likely to be a kind of irrational behavior.更多还原