【摘要】 本文以国内303名候选证券分析师2005—2007年的15083篇研究报告为研究样本。依据事件期市场、规模和行业调整超额收益率模型定量,评选出了50名最佳证券分析师,并检验了这50名分析师战胜市场的能力。研究发现,最佳证券分析师推荐的股票具有三个月的投资价值,尤其是一个月的投资价值,并且推荐前股票没有超额收益率。这些实证结果表明最佳证券分析师兼具择股和择时的能力,也间接地表明了我国的证券市场还没有达到半强式有效。更多还原

【Abstract】 This paper chooses out fifty best security analysts from three hundred and three candidates by event market, size and industry adjusted abnormal return model, based on 15,083 research reports from 2005 to 2007. In the mean time, we empirically examin their capacity to beat the market. According to these results, we find that the stocks recommended by these fifty best analysts generally have three months investment value, especially one month investment value. We also find that the stocks, before recommended by these fifty best analysts, have no abnormal return. These conclusions suggest that the best security analysts have better market timing and stock picking abilities, and that security market be not semi-strongly efficient.更多还原