中国的机构投资者的预测能力研究

Research On Chinese Institutional Investor's Forecasting Papability

从2001年4月20日开始,中央电视台《中国证券》栏目每天早晨报道我国70家大券商关于当天股票市场涨跌情况的预测。通过对这些预测的研究,本文发现中国机构投资者的预测能力不强。他们的预测大都基于市场前一天的盈亏,近乎于正反馈反应。此外,本文还发现股市下跌对机构投资者的预测的影响比股市上涨大。本文认为,中国机构投资者预测能力不强的主要原因可能是缺乏经验。

By observing the daily survey data on Chinese institutional investors＇ forecasts, we find that Chinese institutional investors＇ forecasts does not provide any help in predicting future market performance. They base their projections on the previous market return in the sense of a positive feedback. In addition, their forecasts are more sensitive to market declines. Our empirical finding may be due to lack of experience of institutional investors in China.