证券分析师“异常关注”能否创造投资价值?——基于2010～2017年A股市场的经验证据

Can Analyst Abnormal Coverage Create Investment Value: Evidence Based on the Data of A-shares Market from 2010 to 2017

以A股市场分析师的“异常关注”是否创造投资价值为研究主线,通过分析师关注指标影响因素分解模型提取出“异常关注”指标这一核心变量,本文对分析师的价值创造能力和价值创造能力来源进行验证。研究发现,证券分析师具备通过专业研究能力进行信息挖掘,进而为投资者创造价值的能力,但由于目前中国证券市场上存在上市公司信息披露质量良莠不齐、分析师外部激励措施不够完善等一系列问题,在一定程度上制约了分析师专业能力有效发挥。

The main research content of the paper is the investment value of analyst abnormal coverage. We obtain the core indicator of analyst abnormal coverage through the decomposition of the factors which affect analyst coverage, and further explore whether analyst abnormal coverage can create investment value, as well as what is the information source of value creation. Our research indicates that securities analysts are able to make public information mining with their professional analytical ability and create investment value for investors based on digging information. However, there exists a series of problems such as poor quality of information disclosure of listed companies and invalid external incentives mechanism for analysts, which really have a negative effect on the value creation of analysts.