中国证券分析师的盈余预测行为有效性研究

A Study on the Effectiveness of Chinese Security Analysts' Earnings Forecasting Behavior

中国的证券分析师在对上市公司进行盈余预测时预测行为是否有效?如果预测行为无效,其原因何在?利用2005—2007年国内856名分析师对1005家上市公司的盈余状况进行的5522次预测数据,借鉴Chen和Jiang(2006)的分析方法,本文对以上两个问题进行了研究。结果显示:不论分析师对公司盈余的个人预测比市场共识更加乐观或悲观,他们对公司盈余的预测行为都是无效的,表现为基于其私人信息的高权重预测行为;其原因不是分析师过度自信的心理偏差或追求股票交易佣金的主观动机,而是分析师追求更高外在显示能力的主观动机和中国上市公司较差的信息披露质量。本文的结论对于投资者如何借鉴分析师的盈余预测以及相关各方采取相应措施规范分析师的预测行为具有一定启示。

When Chinese security analysts make earnings forecasts, is their forecasting behavior efficient？ If not, why？ Utilizing a sample of 5522 earnings forecasts made by 856 domestic analysts for 1005 Chinese listed companies during 2005--2007 and following the research method proposed by Chen and Jiang （2006）, we answered above two questions in this paper. First, regardless of analysts making more optimistic or pessimistic personal earnings forecasts than market consensus, their earnings forecasting behavior is inefficient which shows a pattern of overweighting private information. Second, the reasons behind this overweighting behavior include analysts＇ incentives to gain higher perceived forecasting ability and poor quality of information disclosure by Chinese listed companies, while neither overconfidence psychological bias nor incentives to get high trading commissions has insignificant explanatory power. Our findings provide important policy implications for investors to use analysts earnings forecasts as reference and related parties to take proper measures to improve analysts＇ forecasting behavior.