我国证券分析师预测代表市场预期的能力提高了吗?来自年报信息市场反应检验的证据

Have Investors Improved Their Belief on Analysts＇ Earnings Forecasts in China？ Empirical Evidence from Post Earnings Announcement Drifts

本文以集中发布了分析师行为规范的2005年为转折点，参考对比随机模型和管理层预测，在年报公布后的长窗口内检验分析师的盈利预测代表投资者盈利预期的能力是否有所提高。结果表明，在2005年之后，伴随着分析师预测准确度的提高，其代表市场预期的能力也有所提高，这从投资者认同的角度揭示了我国分析师行业的逐步规范和发展。本文的发现还表明，相对于管理层预测和随机模型的预测而言，分析师预测可能是更合适的市场预期替代变量。

In the year of 2005, the regulators in China promulgated several regulations concerning the integrity of analysts. Selecting this year as a turning point, we try to test whether investors have improved their belief on the analysts＇ earnings forecasts in China by comparing the impact of earnings forecasts provided by analysts, with the impact of earnings forecasts from other forecast providers, such as corporate managers and the random walk model, on the investors＇ expectations. The results show that： （1） the accuracy of analysts＇ forecasts improved significantly after 2005; （2） before and including 2005, the analysts＇ forecasts are not as representative of investors＇ expectations as corporate managers＇ forecasts, making them worse proxies for investors＇ expectations; after 2005, though, the analysts＇ forecasts become more representative, and better proxies for investors＇ expeetationst （3） during 2003-2007, the analysts＇ forecasts are more representative, and better proxies for investors＇ expectations, comparing to the random walk model. The after controlling for the risk factors. These findings suggest that grows, and the regulations tighten in China, the investors rely more results remain constant as the analyst industry heavily on the analyst＇s forecasts when forming their expectations, Our paper not only provides evidence on the analysts＇ development from the perspective of investors＇ support, but also shows that analysts＇ forecasts may become more suitable proxies of the investors＇ expectations before earnings announcements in China after 2005.