证券分析师荐股的应用价值研究——基于散户角度

Research on the Application Value of Securities Analysts’Stock Recommendations:Based on Individual Investors

本文采用事件研究法考察了2004～2011年所有证券分析师的股票推荐,得到以下结论:(1)大盘趋势比荐股的市场效应重要;(2)大盘趋势通过高股价同步性和中期惯性影响个股投资价值;(3)大盘处于下跌趋势时,公开发布的买入推荐具有较多的私有信息;上涨趋势时公开发布的买入推荐具有较少的私有信息;不论处于何种趋势,卖出推荐几乎没有私有信息。

By using Event Study, this article investigates nearly all securities analysts＇ recommendations during 2004-2011 and get a series of empirical findings and corresponding investment strategies.Further analysis gave birth to the following conclusions：（1） Market price trend is more impotant than market effect. （2）The market trend influences individual stocks by severe stock price syn- chronisity and medium term momentum.（3） When the market is in a downward trend, the publicly released buy recommendations contain more private information; When in a upwardtrend, publicly released buy recommendations contain less private informa- tion; No matter what the trend, sell recommendations almost contain no private information.（4）China＇s publicly released recom- mendations contain more and more private information.