分析师预测一致性与资本市场信息效率——基于中国A股市场的经验研究

Financial Analyst Forecasting Consistency and Capital Market Efficiency

探讨了分析师的预测一致性特征与股价同步性之间的关系,以及这种关系在不同特征的分析师之间是否存在截面差异。研究发现,一致性较高的分析师预测能够显著降低股价同步性,预测一致性确实捕捉了与准确度不同的盈余预测特征;在控制了预测准确度后,预测一致性降低股价同步性的程度显著大于准确度。这些结果综合说明,预测一致性能够向市场传递出更多的公司层面的特质信息,对提升资本市场信息效率有更重要的作用,因而能够更加有效地衡量分析师的预测表现。此外,预测一致性与股价同步性之间的关系受到分析师注意力分散程度的影响,分析师跟踪的公司越多,其预测一致性对股价同步性的降低作用越不显著,说明一致性高的盈余预测提高资本市场信息效率的作用受到分析师注意力分配的影响。研究结果还表明,预测一致性与股价同步性之间的关系在明星分析师跟踪企业、国有企业和机构投资者持股比例较高的公司更显著。

This paper examines the relationship between analyst forecast consistency and stock price synchronicity and its cross-sectional variation.We find that analysts’forecasts with high consistency can significantly decrease stock price synchronicity;after controlling forecast error,the effect of higher consistent forecasts is larger than that of higher accurate forecasts.These results show that forecast consistency has more nontrivial influence on transmitting firm-specific information and improving informational efficiency in capital market.Further,we also find that the relation between forecast consistency and synchronicity is affected adversely by the number of covered firms but positively associated with SOE firms,institutional ownership and analysts’status.Overall,our paper implies that forecast consistency does capture a new important attribute of analysts’forecasts and can help better evaluate forecasting performance.