【作者】 刘茜；

【导师】 张维；

【作者基本信息】 天津大学 ， 应用经济学， 2019， 硕士

【摘要】 证券分析师作为金融市场的重要信息中介,不仅是连接上市公司和投资者的重要纽带,同时也提高了金融市场资源的有效配置。在发达国家的金融市场中,证券分析师作用显著。但是我国金融市场发展起步晚,散户投资者多,相关法律法规建立不完善等问题下,有关分析师的专业性的质疑和投资者对分析师的信任度不高的问题一直存在。由于业内对卖方分析师撰写的报告质疑声一直较高,所以对分析师及其相关问题的研究,对证券分析师行为及其报告在有关市场效率方面研究的作用,以及对机构投资者本身都有深刻的影响和意义。本文研究分析师覆盖中的信息含量时,将其进行有效分解,基于市场信息一部分通过交易释放,另一部分未通过交易释放这一基础理论,将信息传递及其有效性作为研究的整体框架,研究未预期分析师覆盖中信息含量的问题。本文认为,未预期分析师覆盖中囊括着上市公司除日常交易信息(市值、流动性、动量等市场公共信息)之外的信息,这部分信息不能简单通过公司基本面的固定分量进行表示。基于这样的假设,本文将分析师总覆盖分解为由日常交易信息引起的预期覆盖和由其他信息引起的未预期覆盖,同时认为未预期分析师覆盖中包含的信息就是信息传递中未被交易释放出的部分,并对这部分信息所包含的信息含量进行有效验证,为分析师覆盖有关信息研究的部分做出有效补充。在研究中发现:未预期分析师覆盖数量的增加对股票未来收益有显著的预测效果,在检验其预测强度时发现其预测时限较短,认为未预期分析师覆盖中包含更多短期信息;未预期分析师覆盖能够显著的预测公司基本面变化的趋势,在不同的市场条件下使用上证和沪深指数检验出的结果并不完全相同;未预期分析师覆盖与机构投资者行为并无显著关系。本文结论证实了未预期分析师覆盖中包含着丰富的信息,为金融市场参与者深入认识分析师覆盖的行为提供了很好的借鉴意义。更多还原

【Abstract】 As an important information intermediary for financial markets,securities analysts are not only an important link connecting listed companies and investors,but also improve the effective allocation of financial market resources.In the financial markets of developed countries,securities analysts play a significant role.However,China’s financial market started late,there are many retail investors,and related laws and regulations are not well established.Questions about the professionalism of analysts and the low level of investor trust in analysts continue to exist.Because the industry has always been skeptical of reports written by seller analysts,research on analysts and related issues,the role of securities analysts ’behavior and their reports in market efficiency research,and institutional investors themselves Has profound impact and significance.This paper studies the information content in the analyst coverage,and effectively decomposes it.Based on the basic theory that part of the market information is released through transactions,and the other is not released through transactions,the information transfer and its effectiveness are used as the overall framework of the study.Information content issues in analyst coverage are not expected.This article believes that the analyst coverage is not expected to include information on listed companies in addition to daily transaction information(market public information such as market value,liquidity,momentum,etc.).This part of information cannot be simply expressed by a fixed component of the company’s fundamentals.Based on such assumptions,this article breaks down the analyst’s total coverage into expected coverage caused by daily transaction information and unexpected coverage caused by other information.At the same time,it considers that the information contained in the unexpected analyst coverage is unreleased in the information transmission.The effective content of the information contained in this part of information is verified,which effectively supplements the analyst’s coverage of relevant information research.It was found in the research that the increase in the number of unexpected analyst coverage has a significant prediction effect on the future returns of the stock.When testing its forecast strength,it is found that its forecast period is shorter,and it is considered that the unexpected analyst coverage includes more short-term information;The expected analyst coverage can significantly predict the trend of the company’s fundamental changes,and the results tested by the Shanghai Stock Exchange and the Shanghai and Shenzhen Indexes under different market conditions are not exactly the same;the unexpected analyst coverage has no significant relationship with the behavior of institutional investors.The conclusion of this article confirms that the unexpected analyst coverage contains a wealth of information,which provides a good reference for financial market participants to understand the behavior of analyst coverage.更多还原