证券分析师盈余预测误差的决定因素--来自中国的证据和启示

The Determinants of Security Analysts' Forecast Errors in China:The Evidences and Implications

本文以2005～2009年的43104个分析师预测为样本,研究中国证券分析师盈余预测误差的决定因素。结果发现,在样本区间内,尽管证券分析师预测活动日益活跃,但预测误差有轻微的上升趋势。本文还发现,分析师盈余预测误差和每股收益的波动性、个股日收益率的波动程度、上市年限呈正向变化,同分析师跟进人数、预测前的平均股价呈反向变化。最后,对于具有高增长前景或资产负债率较高的公司,分析师的预测误差则较大。这一发现对学术界和实务工作者客观认识中国证券分析师行业具有一定的借鉴意义。

Using 43104 samples from 2005 - 2009, we investigate the determinants of security analysts＇ fore- cast errors in China. We find there is an increasing tendency in the forecast error in recent years. Although the fore- cast activities of securities analysts are more active. At the same time, We also find the forecast error is positively related with the earning volatility, return volatility of stock profit rate and firm age, but negatively correlated with the number of analyst following and the average stock price before forecasted. Finally, the analysts hardly forecast the firms with higher growth prospect or leverage. These findings have important implications for the community of scholars and the practitioners in China due to the increasing importance of analysts in the stock market.