分析师对业绩披露信息含量及其市场定价效率的影响

Analyst's Influence on Information Disclosure Contents and Market Pricing Efficiency

本文检验分析师在业绩预告、业绩快报和盈利公告构成的上市公司盈利信息披露链条中的信息中介作用,研究发现,分析师调整盈利预测行为的比例这一指标具有显著的预期效应和披露效应,并且能够显著降低一致预期与实际业绩的偏离度和分析师群体盈利预测的分歧度,证实分析师调整盈利预测的行为是公告披露的盈利相关信息向市场传递的媒介,具有显著的信息含量,业绩预告之后的20个交易日内累积超常收益与业绩快报或盈利公告后的累积超常收益具有显著的反转效应。

This paper presents a test on the analyst＇s information mediation role in the earnings information disclosure chain composed of earnings forecast, earnings report and profit announcement. The results of the paper show that the index, behavior proportion of analyst＇s adjustment to profit forecasting, has significant expected effect and disclosure effect,and can significantly reduce the deviation between consensus expectation and actual earnings and the profit forecast disparity of analyst group, which confirms that the analyst＇s adjustment to profit forecast is a medium for the profit-related information disclosed to markets, and it has significant information contents; the accumulated abnormal income in the 20 trading days after the earnings forecast and the accumulated abnormal income after the earnings bulletin or earnings announcement have a significant reversal effect.