【作者】 刘宇；

【导师】 吴良；

【作者基本信息】 四川大学 ， 金融， 2023， 硕士

【摘要】 中国股市历经二十余年的蓬勃发展,总市值规模、上市企业数、投资额均不断增加。随着股市的发展和信息技术的不断迭代升级,投资者接收的信息数量也呈爆炸式增长,而其中备受投资者关注的信息是——分析师盈利预测。盈利数据实际公布值与分析师盈利预测值形成了分析师盈利预测偏差,此外,不同分析师对同一股票的盈利预测会有所不同即存在盈利预测分歧。在对真实股票市场的观察中发现,盈利预测偏差和盈利预测分歧较大的个股在后续交易日中往往会存在股价异动,这意味着盈利预测偏差和盈利预测分歧可能会影响股票的超额收益,本文将对这一假设展开研究。本文首先通过理论分析,重点介绍了信号传递理论、有效市场假说、行为金融学理论。其次在阅读大量文献后建立实证模型,选用各上市公司年报披露后40个交易日以内的超额收益作为被解释变量,以个股年报中盈利数据的实际披露值与披露前6个月内不同分析师盈利预测的平均值的差值来代表盈利预测偏差,以个股年报披露前6个月内不同分析师盈利预测的标准差来代表盈利预测分歧,对2019年、2020年、2021年的横截面数据进行多元回归分析,探究盈利预测偏差、盈利预测分歧与股票超额收益的关系。最后得出结论如下:盈利预测偏差、盈利预测分歧均会对上市公司年报披露后一定交易日内的超额收益产生正向影响,这与有效市场假说认为股价反映了所有历史信息相悖,而支持了行为金融学中认为投资者存在反应不足现象的表述。更多还原

【Abstract】 After more than 20 years of vigorous development,the total market value,the number of listed enterprises and investment have been increasing.With the development of the stock market and the continuous iteration and upgrading of information technology,the amount of information received by investors has also exploded,and the information that investors pay attention to is the profit forecast of analysts.The actual published value of earnings data and the forecast value of analysts form the deviation of analysts’ earnings forecast.In addition,different analysts’ earnings forecast of the same stock will be different,that is,there is a divergence of earnings forecast.In the observation of the real stock market,it is found that the individual stocks with large profit forecast deviation and profit forecast divergence tend to have stock price fluctuations in the following trading days,which means that the profit forecast deviation and profit forecast divergence may affect the excess return of the stock.This paper will study this hypothesis.Firstly,this paper introduces signal transmission theory,efficient market hypothesis and behavioral finance theory through theoretical analysis.Secondly,an empirical model was established after reading a large amount of literature.The excess earnings within 40 trading days after the disclosure of annual reports of listed companies were selected as the explained variable,and the difference between the actual disclosure value of earnings data in the annual reports of individual stocks and the average earnings forecast of different analysts within 6 months before the disclosure was used to represent the deviation of earnings forecast.The standard deviation of earnings forecasts of different analysts in the six months before the disclosure of a stock’s annual report represents the divergence of earnings forecasts.Multiple regression analysis is carried out on the data of 2019,2020 and 2021 to explore the relationship between the deviation of earnings forecasts,divergence of earnings forecasts and excess returns of stocks.Finally,the conclusions are drawn as follows: Both the deviation and divergence of earnings forecasts will have a positive impact on the excess returns of listed companies within a certain trading day after the disclosure of their annual reports,which is contrary to the efficient market hypothesis that stock prices reflect all historical information,and supports the expression in behavioral finance that investors have insufficient response.更多还原