分析师盈利预测能表征“市场预期盈利”吗?——来自中国A股市场的经验证据

Can Analyst’s Earning Forecast be the best Proxy for “Earnings Expectations”?

本文以2008-2009年420家A股上市公司的每股收益及15967个分析师盈利预测的观测值,比较分析了不同市场走势下分析师盈利预测和随机游走模型盈利预测的准确性及它们对投资回报的影响。研究发现,熊市环境下分析师盈利预测比随机游走模型盈利预测的准确度高,基于分析师盈利预测的投资回报要高于基于随机游走模型盈利预测的投资回报,而牛市环境下的情况正好相反。研究结果表明,投资者不能理性地识别牛熊市下各种盈利预测信息,从而也未能证明分析师盈利预测是比随机游走模型预测更好的"市场预期盈利"的代理变量。此外,研究也发现分析师存在高估盈利的乐观倾向,且熊市中分析师盈利预测的乐观程度要大于牛市中的分析师盈利预测。

Earning forecast obtained from or by using time se- ries model and earning forecast issued by the securities analysts are the important accounting information for investors who use them to make investment decision（s）. Nowadays, western inves- tors are more willing to use analyst＇s earning forecast to make investment decision（s） and analyst＇s earning forecast is accepted to be the better proxy of market earnings expectations. But to Chinese investors, which one is the better proxy of market earnings expectations and used frequently？ This paper tries to answer this question based on EPS of 420 companies in A stock market of 2008-2009 years and 15967 data of analyst＇s earning forecast. At first, the paper examines the accuracy of analyst＇s earning forecast and random walk model＇s earning forecast under different stock market trend（s）. Then, the paper exam- ines the effect level that these two earnings forecast on stock investment reward. The study result shows that analyst＇s earn- ing forecast is more accuracy than that of random walk model＇s earning forecast whether in the ＂bear market＂ or ＂bull market＂. Investors can get higher investment profits in the ＂bear market＂ based on analyst＇s earning forecast. On the contrary, investors can get higher investment profit in the ＂bull market＂ based on random walk model＇s earning forecast. Since the results indicate that investors cannot rationally choose cognitive analyst earn- ings forecasts, we fail to prove analyst＇s forecast is better than random walk model＇s earning forecast, in other words, we fail to prove analyst＇s forecast is the better proxy for market earn- ing expectations. In addition, the paper also finds that analyst＇s earning forecast has the optimistic trend. This study may enrich the relevant research on analyst＇s forecast in China. The results can help researchers deeply understand the relative advantages of different types of earning forecast and select the best proxy when they do relative research. At the same, the research find- ings can help Chinese investors realize the value of analyst＇s earning forecast and invest rationally, so as to make better in- vestment decision（s） by using analyst＇s earning forecast.