财务分析师盈利预测的投资价值:来自深沪A股市场的证据

The Investment Value of Financial Analysts' Earnings Forecasts: Evidence from the A-Share Markets in Shanghai and Shenzhen Stock Exchange

本文研究了中国股票市场上财务分析师的盈利预测信息对投资者是否有价值。我们发现,可以利用公开的盈利预测制定可获利的套头交易策略。套头交易的回报率不仅在统计意义上显著大于零,而且在经济意义上也是显著的。这些结果不受不同的检验方法影响,也无法为我们所考虑到的风险因素所解释。本文的发现说明了中国的股票市场尚未达到Fama(1970)意义上的半强式有效,投资者在投资决策时可以利用分析师的盈利预测以提高其投资的回报。此外,本文的结果也有助于回答中国的财务分析师是否具有专业胜任能力这一颇有争议的问题。

This paper examines whether the earnings forecasts provided by financial analysts in China's stock markets are valuable to investors.We find that profitable hedge portfolios can be formed by earnings forecasts released to the public.The positive returns to hedge portfolios are significant in both statistical and economic sense.The results are robust to various tests and cannot be fully explained by the risks factors we consider.Our findings suggest that the stock market in China is not efficient in the semi-strong form as Fama(1970)defined and Chinese investors can employ analysts' earnings forecasts in their investment decisions to improve investment returns.The results of this study are also relevant to the current debate on the competency of Chinese financial analysts.