分析师预测行为差异及其市场后果分析--来自我国基金公司内部数据的证据

Analysts' Predictive Behavior Differences and the Corresponding Market Consequences-Evidence from a Chinese Fund Company's Internal Data

运用DEA方法对包括中投公司在内的世界九大主权财富基金的投资绩效进行评价,选取C2R模型作为计量模型,并将Linaburg Maduell透明度指数引入模型的指标体系当中。研究结果显示,样本选取的九大主权财富基金中,有七个的投资是有效的,而我国中投公司和新加坡GIC的投资弱势有效。最后,结合国外优秀主权财富基金的经验和模式,提出对我国主权财富基金日后发展的建议。

This paper uses a fund＇s internal buy-side analysts＇ data and the corresponding sell-side analysts＇ data from 2007 to 2011 to test the difference in predictive behavior between the buy-side and sell-side analysts, and thus examines the market consequences of such differences. This study finds that： （1） Relative to the sell-side analysts, buy-side analysts released reports more timely before the announcement of corporate reports which is regarded as information discovery stage. But in the stage of information interpretation, buy-side analysts reported later and showed higher herd behavior. All of these indicate that buy-side analysts are more positive than the sell-side in the information discovery stage, but are more passive in the information interpretation stage. （2） Further tests of market consequences find that： Despite more optimistic reports of sell-side analysts, the sell-side analysts＇ both earnings forecasts revision and ratings have information content in the short term. On the other hand, buyside analysts＇ rating has more information content in the long-tenn.