摘要
本文采用2004年9月至2009年5月间相关数据,通过组合构建策略,分别控制了市值效应、账面值市值比效应和动量效应,发现上海A股市场上分析师分歧对未来股票回报不具有预测性,并分析了造成这一现象的主要原因,进一步在此基础上提出了促进我国证券分析师行业规范化发展的一些政策建议。
Based on monthly data from 2004：9 to 2009：5, this paper studies dispersion of opinion and stock returns on Shanghai A-share market through portfolio strategy. First, after controlling such effects as size, hook-tomarket and momentum, this paper finds no evidence of predictability of future stock returns on Shanghai A-share market by using dispersion of opinion. Secondly, this paper of- fers some potential explanations for this phenomenon and finally puts forward some policy recommendations in facilitating the sound development of the analyst industry in China based on prior analysis.
出处
《上海管理科学》
2009年第5期31-35,共5页
Shanghai Management Science
关键词
分析师分歧
未来股票回报
预测性
Dispersion of Opinion
Future Stock Returns
Predictability
