证券分析师行业专长、预测准确性与市场反应

Analyst Industry Expertise,Forecast Accuracy and Market Reaction

本文从行业占有率、行业关注度和行业经验三个维度度量了分析师行业专长,并利用我国A股上市公司2007—2012年的分析师预测数据,考察了分析师行业专长与其预测准确性之间的关系以及由行业专长引起的市场反应。实证检验结果表明,分析师行业专长与预测准确性之间显著正相关,即行业专长水平越高的分析师预测越准确。此外,本文还发现,投资者能够识别出分析师行业专长水平的高低,主要表现为分析师修正预测的创新性与其引发的市场反应之间的正相关关系在行业专长水平高的分析师中尤为显著。

Analysts, as value discoverer and information transmitter in the capital market, their analysis reports would undoubtedly acts as a guide in investors＇ decision-making process. However, with the increasing density and di- versity of market analysis reports, either reading one by one or directly adopting without screening, is a fantasy. The former appears to be an impossible task; the latter fails to obtain satisfactory investment returns. Therefore, how to as- similate analysts＇ research achievements quickly and efficiently in order to guide actual investment strategy, has be- come the most concerned problem for investors. Indeed, starting with analysts＇ ability is the most effective way to solve the above problem. However, because of the lack of direct measure, which is appropriate and convincing, in practical studies,related literature often use ＂whether or not one is a star analyst＂ as an indirect measure of analysts ＇ ability. However,despite the impact of domestic media frenzied hype about the selection of star analysts on its credi- bility,the selection to a large extent only depends on the accuracy of analysts＇ forecasts in current year,and therefore usually lags, resulting to failure of guiding the investment behavior in time. As a consequence, there is an urgent need to find an ex-ante measure of analysts＇ ability,which is reasonable and effective. As an important aspect of analysts＇ ability,analyst industry expertise largely determines the depth and width of the industry information obtained by ana- lysts, which serves as an important information source for analysts＇ rating and earnings forecasts. Therefore, the first is- sue this paper is going to focusing on is：Whether analyst industry expertise would affect forecast accuracy. Analysts＇ research reports influences investors＇ buying and selling behavior through its effect on investors＇ judgement on stock value ,which is ultimately realized in the stock price fluctuations. In particular,earnings forecast revisions in analysts＇ research reports, has strong effect on stock price. What＇ s more, previous studies have already found empirical evidence of earnings forecast revisions by analysts could result to market reaction. If the empirical results of this paper shows that analyst industry expertise could affect forecast accuracy, then investors should take analyst industry expertise as the criterion to evaluate the quality of the research reports. Next, another important con- cern of this paper is：Do investors in the capital market are aware of this evaluation criterion？ In other words ,wheth- er research reports issued by analysts with higher industrial specialization could result to more intense market reac- tion？ This paper suggests that the objects of analysts served for are investors, so that all studies related to analysts should treat investors as the ultimate goal. On this consideration, this paper explores market reaction after examining the relationship between analyst industry expertise and forecast accuracy, in order to provide a new decision-making basis for market investors, which also serves as the greatest significance and value of this paper. In this paper,we use data obtained from Chinese A-share listed companies for the period 2007 to 2012 to ana- lyze the relationship between analyst industry expertise and forecast accuracy as well as market reaction caused by analyst industry expertise. One striking feature of our empirical results is that we measure analyst industry expertise from three dimensions, which are industry share, industry attention and industry experience. The empirical results shows that analyst industry expertise is positively related to forecast accuracy,which means forecast accuracy increa- ses with analyst industry expertise. In addition, investors are able to recognize the level of analyst industry expertise, mainly embodied as the positive relationship between the innovation of analyst forecast revisions and the resulting market reaction is particularly significant among the analysts with higher industrial specialization.