中国分析师预告的有效性研究——基于投资者间信息不对称的研究视角

The Effectiveness of Chinese Analyst Forecasts——Based on the Perspective of Information Asymmetry among Investors

分析师预告是证券分析师向市场传递信息的重要途径,对引导理性投资起着重要的桥梁作用。本文通过研究预告发布前后投资者间信息不对称的动态变化来验证中国分析师预告的有效性。研究发现:(1)分析师预告发布后投资者间信息不对称减少,说明分析师预告中包含普通投资者不知道的信息;(2)单位时间内覆盖同一家公司的分析师预告数量越多,信息不对称的下降幅度越大;(3)在稳健性检验中,无论是好坏消息,还是排除公司公告对信息不对称的叠加影响之后,分析师预告发布后都导致信息不对称显著下降。

Analyst forecasts provide an important way for analysts to deliver information to the market, which serve as an active bridge among investors and guide rational investment. This paper verifies the effectiveness of Chinese analyst forecasts by studying dynamic changes of information asymmetry among investors around the announcement. This study shows that:(1)Information asymmetry decreases after the announcement of analyst forecasts indicating forecasts contain information that unsophisticated investors are unknown.(2)The reduction in information asymmetry would be more pronounced when releasing more analyst forecasts for the same firm in a same period.(3)In robustness tests, the information asymmetry decreases significantly no matter good news or bad news and excluding the confounding effects of companies’ public announcements.