分析师盈利预测修正对股票价格的影响研究

Empirical Study on the Impact of Analyst Forecast Revision on Stock Price

本文采用事件研究法,以2006—2013年A股单个分析师盈利预测数据为样本,分析了证券分析师盈利预测修正在不同窗口期对股票价格的影响。研究发现:股价对分析师盈利预测修正在短窗口期和长窗口期存在不同的反应模式;并且在考虑分析师"羊群行为"后,市场能够对富有信息的盈利预测修正和缺乏信息的盈利预测修正进行区别定价。此外,本文发现分析师盈利预测修正存在着类似盈余公告的股价漂移现象,并且富有信息的盈利预测修正的股价漂移现象更为明显。投资者可以据此套利,获取超额回报。

This paper uses event study to investigate the impact of analyst forecast revision on stock price based on analyst's single report for A share stock during 2006 to 2013.The empirical result shows that stock price reacts differently to forecast revisions in short window and long window. Moreover, after considering analysts' 'herding behavior', the market can make a distinction between revisions that provide new information and those only replicating other analysts' forecast. Finally, we find the phenomenon of'post-revision price drift'which is similar to post earnings announcement drift, where revisions providing new information can lead to more significant drift. The investors can arbitrage and gain abnormal return based on analysts' s forecast revision.