证券分析师对会计盈余价值相关性的影响研究

Research on the Influence of Securities Analysts on the Value Relevance of Accounting Earnings

自媒体时代证券分析师是否通过挖掘会计信息进而改变会计盈余价值相关性?文章以2007-2017年沪深A股上市公司为样本,使用传统收益模型和考虑成长期权后的收益模型,采用OLS回归研究分析师覆盖和预测偏差对会计盈余价值相关性的影响。实证结果发现:(1)分析师覆盖有利于将更多会计盈余信息并入股票价值,从而提高会计盈余价值相关性;(2)预测准确的分析师团队有利于将更多会计盈余(包括未预期盈余)信息并入股票价值。进一步考虑产权性质的异质性区分国有和民营企业研究上述结论不变,但发现证券分析师在挖掘国有和民营企业未预期盈余信息方面存在差异,分析师覆盖能够提高国有企业非预期盈余的价值相关性,但民营企业非预期盈余反而会削弱分析师覆盖发挥的作用。研究表明会计信息仍然是分析师预测的重要依据,高质量的分析师队伍有利于提升资本市场效率,但证券分析师在揭示民营企业非预期盈余所包含的信息方面还需要改善。

Do securities analysts improve the value relevance of accounting earnings through digging accounting information in self-media era?Taken 2007-2017 Shanghai and Shenzhen A-share listed companies as a sample,using OLS regression,this paper research the impact of analyst coverage and forecasting bias on the value relevance of accounting earnings utilizing return models of traditional and based on growth options.First,the empirical results find that analyst coverage is conducive to incorporate more accounting earnings information into stock values,thereby increase the value relevance of accounting earnings.Second,the analyst teams who can forecast more accurately are beneficial to mine the accounting earnings information and then improve the value relevance of accounting earnings.Further research found the above conclusions remain robust by using price model and distinguishing state-owned and private enterprises.However,we found that it is difference in how analysts mine the information between stated-owned and private enterprises.Analyst coverage can increase the value relevance of unexpected earnings of state-owned enterprises,but reduce the value relevance of unexpected earnings of private enterprises.Teams of analysts with large forecast error cannot use the information contained in unexpected earnings.The research conclusion shows that accounting information is still an important basis for analysts’predictions.High-quality analyst team is conducive to improving the efficiency of capital markets.Analysts still need to improve the ability of revealing the information of unexpected earnings in private enterprises.