我国证券分析师推荐报告投资价值实证研究——以上海申银万国证券研究所为例

Empirical Research on Investment Value of Securities Analysts' Recommendation——Evidence from Shenyin Wanguo Securities Research Institute

基于证券分析师在我国证券市场中发挥着越来越重要的作用,探讨了分析师推荐报告对于投资者的投资价值.采用事件研究法,研究了上海著名证券研究机构——申银万国研究所的2000—2004年所有的调研报告与深度报告;推出了事件期前后的超额累积收益率;并作了大盘调整、规模调整和行业调整.结果表明:该研究机构分析师买入推荐股票平均在推荐事件期后三个月内跑赢了大盘,大盘调整后平均超额收益率达到3.14%,卖出推荐股票在推荐事件期后三个月跑输了大盘,大盘调整后平均超额收益率达到-3.24%,因此,该机构分析师的买入和卖出有投资价值,而中性推荐股票在事件后基本上和大盘涨跌保持一致,有参考价值.

Based on the more and more important role of securities analysts in Chinese stock market, Chinese securities analysts＇ recommendations were investigated. An event study method was used to investigate the cumulative abnormal returns （CARs） of all recommendations of a Shanghai famous securities research institute （Shenyin Wanguo Broker） from 2000 to 2004. Market adjustment ,size adjustment and industry adjustment were made. The results show that the buying recommendations of this institute＇s analysts outperformed the market in the 3 months window after the event day, and the average market-adjusted CAR reached 3.14%. But for selling recommendations, they underperformed the market in the 3 months window after the event day, and the average market-adjusted CAR reached -3. 24%. The neutral recommendation stocks almost have the same performance with the market. Therefore, the buying and selling recommendations have investment value for investors, and the neutral recommendation only have reference value for investors.