分析师评级调整有信息含量吗?

Do Sell-side Analyst’s Recommendation Revision Have Information Content?

近年来,卖方分析师追逐和利用内幕消息、发布损害中小投资者研报的新闻屡屡见诸报端,这使得投资者对分析师是否提供有价值信息产生疑问。本文选取分析师针对上市公司财务报告撰写的研报作为研究样本,考察了分析师研究报告评级调整的信息含量,探索了分析师评级调整的信息来源等问题。研究发现:(1)在分析师研究报告发布前后三天内,上调/下调评级股票平均获得超额收益,与之相比,股票评级之间引起市场反应非常小,说明评级调整具有更多的信息含量。(2)分析师评级调整信息可以解释未来两个季度上市公司的盈余变化,但无法预测未来所属概念板块的收益率变化,证明增量信息来源于分析师对公司基本面的预测能力,而不是对热点题材等非基本面信息的预测能力。(3)相对一般分析师,市场对明星分析师给出的评级调整研报反应更加强烈。

In the recent years,news of sell-side analysts chasing and taking advantage of inside information,and releasing reports that is harmful to the interests of small investors.What sell-side analysts have done make investors question whether they can provide valuable information.This paper selects the reports written by sell-side analysts on the financial reports of listed companies as a sample,examines the information content of sell-side analysts’reports on rating adjustments,and explores the information sources of analysts’rating adjustments.The results show that,(1)In the three days before and after the release of analyst research reports,the average number of upgrade/downgrade stocks received excess returns,compared with the market reaction between stock ratings,which indicates that the rating adjustment has more information content.(2)The sell-side analyst rating adjustment can explain the earnings changes of listed companies in the next two quarters,but cannot predict the changes in the returns of the concept sectors to which they belong in the future.Therefore,incremental information comes from the sell-side analysts’ability to predict the company’s fundamentals,rather than the ability to predict non-fundamental information such as hot topics.(3)Compared with general sell-side analysts,the market reacts more strongly to the rating adjustment reports given by star sell-side analysts.