证券分析师“变脸”行为会增加股票特质波动率吗?

Does Face-changing Behavior Increase Stock Idiosyncratic Volatility?

在资本市场中,分析师预测存在"变脸"行为,即分析师的预测会随着股价走势的波动而波动。本文将市场状况(牛市与熊市)、分析师地位(明星与非明星)以及股票性质(成长股与价值股)三者进行配对组合,研究在不同配对组合下分析师预测"变脸"行为对股票特质波动率的影响。结果表明:(1)在牛市中,分析师目标价一致预测"变脸"行为和明星分析师盈利预测"变脸"行为对成长股和价值股的特质波动率均有显著正相关关系;(2)在熊市中,分析师目标价一致预测"变脸"行为和明星分析师盈利预测"变脸"行为对成长股均没有显著影响,而分析师目标价一致预测"变脸"行为对价值股有显著正相关关系,明星分析师盈利预测"变脸"行为对价值股没有显著影响;(3)非明星分析师盈利预测"变脸"行为对股票特质波动率没有显著的影响。本文对于深入了解股票特质波动率影响因素以及分析师预测影响具有现实指导意义。

In stock markets, analysts usually have face-changing behavior, which means analysts＇ forecasts may change according to the fluctuation of stock prices. In order to study whether analysts＇ face-changing behaviors can affect the idiosyncratic volatility of stocks in different situations, this paper combines market condition （ bull ＆ bear）, status of analysts （ star ＆ non-star） and nature of stocks （growth ＆ value） to make different sub-samples. Empirical results show that： （1） In bull markets, analysts＇ face-changing behaviors for price forecast and star analysts＇ face-changing behaviors for EPS forecast can affect the idiosyncratic volatility significantly both for growth and value stocks ; （2） In bear markets, analysts＇ face-changing behaviors for price forecast and star analysts＇ face-changing behaviors for EPS forecast have no significant effect on growth stocks. Analysts＇ face-changing behaviors for price forecast can affect the id- iosyncratic volatility of value stocks significantly, but star analysts ＇ face-changing behaviors for EPS forecast cannot have this effect; （3） Non-star analysts＇ face-changing behaviors for EPS forecast have no significant effect on the idiosyncratic volatility in all sub-samples. This paper contributes to the study of influence factors of idiosyncratic volatility of stocks and to the study of influence of analysts＇ forecasts.