不同市场态势下证券分析师产出价值研究

RESEARCH ON THE PERFORMANCE OF SECURITY ANALYSTS DURING MARKET CYCLES

王瑜

11849356

硕士

金融

何佳

2020-05-28

2020-06-30

哈尔滨工业大学

深圳

作为上市公司与投资者之间信息的桥梁，证券分析师在二级市场中具有举足轻重的地位。分析师对标的公司信息进行整理分析并出具研究报告，这些包含基础评级、评级调整、盈余预测等要素的研究报告构成机构投资者重要的投资参考依据，同时也是个人投资者重要的信息来源。针对分析师产出价值进行研究有助于更全面的了解证券分析师在资本市场中扮演的角色，同时对投资者理性认识研究报告价值、合理设定投资策略具有现实意义。    本文采用事件研究法，以2006年4月1日至2017年12月31日Wind金融数据库证券分析师对A股市场上市公司出具的研究报告为样本，检验了在牛市、熊市和其他三种典型市场态势下分析师产出是否具有价值。进一步的，将分析师研究报告相关要素作为解释变量、报告发布窗口期内累计超额收益作为被解释变量构造回归模型，分析不同影响因素与超额收益之间关系。结果发现，在考察证券分析师研究报告对股票价格影响力时，分析师对股票出具的基础评级和评级调整与股票累计超额收益在牛市、熊市及其他市态下显著正相关；在考察证券分析师研究报告的投资参考价值时，整体上分析师对股票所出具的基础评级和评级调整与股票累计超额收益在牛市、熊市及其他市态下同样呈显著正相关关系。但明星分析师变量与股票累计超额收益在两种检测中均不具有显著关系，意味着相比于非明星分析师，“新财富”分析师出具的研究报告在股票价格影响力和股价预测能力上不具有显著优势。此外本文通过Kruskal-Wallis检验发现不同市态下证券分析师研究报告对股票价格的影响力不具有显著差异，但投资参考价值具有显著差异。

As a bridge of information between listed companies and investors, security analysts play an important role in the secondary market. Analysts collate and analyze the information of the target companies and issue research reports, which include basic rating, rating adjustment, earnings forecast and other elements. These research reports constitute an important investment reference for institutional investors and an important source of information for individual investors. The research on the performance of these reports is helpful to understand the role of security analysts in the capital market and has practical significance for investors to better understand the value of research reports and reasonably set investment strategies.The paper uses the event study method to test whether the analysts' output has     value in typical market situations by taking the research report issued by the security analysts of Wind financial database from April 1, 2006 to December 31, 2017. Furthermore, the relevant elements of the analyst's research report are taken as explanatory variables, and the cumulative excess earnings in the report release window are taken as explanatory variables to construct a regression model and analyze the relationship between different influencing factors and excess earnings. The results show that, when examining the influence of the research report of security analysts on the stock price, the basic rating and rating adjustment issued by the analysts on the stock are significantly positively correlated with the cumulative excess return of the stock in bull market, bear market and other market conditions; when examining the investment reference value of the research report of security analysts, the basic rating and rating adjustment issued by the analysts on the stock as a whole are positively correlated with the in bull market, bear market and other market conditions, the cumulative excess return of stock also shows a significant positive correlation. However, there is no significant relationship between the variables of star analysts and the cumulative excess return of stock in both tests, which means that compared with non-star analysts, the research report issued by star analysts has no significant advantage in stock price influence and stock price prediction ability. In addition, through Kruskal-Wallis test, this paper finds that there is no significant difference in the influence of security analysts' research reports on stock prices under different market conditions, but there is significant difference in investment reference value.

证券分析师 评级报告 市场态势 累计超额收益 明星分析师

security analyst rating report market situation cumulative excess return star analyst

中文

联合培养

南方科技大学

王瑜. 不同市场态势下证券分析师产出价值研究[D]. 深圳. 哈尔滨工业大学,2020.