分析师能有效利用资本市场异象吗

Can Analysts Use Capital Market Anomalies Effectively?

大量学术研究揭示资本市场存在异象(无风险但能获取超额收益的现象)。异象是公开信息,理论上分析师作为专业人士应该能利用这些公开信息。本文基于中国股市广泛使用的20个异象因子,检验中国的分析师能否有效利用这些异象。研究发现,国内分析师在预测评级时总体上未能有效利用异象信息。异象高估指数越高,未来超额收益越低,但分析师一致评级与异象信息相矛盾。为了探究原因,将这20个异象因子按基本面和市场相关性聚合为两组,发现分析师能够较好利用基本面类异象信息,但对市场类异象信息则缺乏关注。样本期间,市场类异象组合的收益高于基本面类异象组合,分析师对基本面组高估的股票给出较低的评级,却对市场组高估的股票给出较高的评级。机制分析也表明,更忙的分析师上述现象更为明显,与有限关注的理论相一致。即使考虑了市场定价交易机制、分析师的能力和背景、利益冲突以及可能的内生性问题,本文的结果仍然稳健。这说明,分析师的能力可能有一定偏向,擅长传统的基本面分析,而对价格、交易量等市场层面的变化则反应滞后,有限关注可能是其预测低效的原因。本文的研究发现不仅为投资者制定有效的交易策略提供新的思路,同时也为监管者引导分析师群体进一步发挥信息中介功能、提高市场定价效率提供参考。

Over the last several decades,finance research has discovered many cross-sectional stock return anomalies,which are publicly available information that analysts should be able to take advantage of.Based on 20 important anomalies,this paper examines whether Chinese analysts can effectively use the anomaly signals when making recommendations.We find that domestic analysts do not fully use the information about anomalies when making recommendations.To find out why,we divide the 20 anomalies into the fundamentals group and the market group.We find that analysts can make good use of fundamental predictors,but ignore market-based predictors.The abnormal returns of market-based strategies are much higher than those of fundamental strategies.Analysts give a low rating to stocks that are overvalued by the fundamentals group,but a high rating to stocks that are overvalued by the market group.Keep in mind that these stocks subsequently tend to have negative abnormal returns.Mechanism analysis also suggests that the phenomenon is more pronounced among busier analysts,consistent with the interpretation of the limited attention.The results of this paper are still robust after considering the market pricing&trading mechanism,the expertise of analysts,possible conflicts of interest and other influences.It indicates that the heterogeneity of returns from different anomalies and the limited attention of analysts may be the cause of their inefficient forecasting.Our findings provide not only new ideas for investors to formulate effective trading strategies,but also a reference for regulators to guide analysts to further exert their information intermediary functions and improve market pricing efficiency.