行业研报、公司研报与分析师乐观偏差

Industry Report,Firm Reports,and Analysts'Optimism Bias

分析师的股票评级和盈余预测为何往往过度乐观?本文对比分析师的公司研报和行业研报,发现研报的表达特征和发布周期是影响分析师乐观偏差的重要因素。本文对2010-2019年我国近27万份行业研报进行文本分析,发现分析师在行业研报中会择优推荐少数股票,与公司研报中普遍给出“买入”评级形成鲜明对比;同时,行业研报通常以固定频率定期发布,避免了分析师通过公司研报反映负面信息的主观择时。实证结果表明,行业研报“择优推荐”和“定期发布”的特征使其具有独特的信息价值:行业研报中的个股推荐强度,以及公司研报和行业研报间的推荐差异度能解释分析师的乐观偏差,且能预测公司的股票收益、基本面表现、分析师新增跟踪、盈余预测修正和评级调整。

Why are analysts overly optimistic in their stock recommendations?By comparing analysts'industry reports with firm reports,we find that the form of communication affects this overoptimism.We apply textual analysis to study 270 thousand industry reports in China between 2010 and 2019.We document that industry reports differ from firm reports in two regards:(1)they contain a short list of recommendations and(2)are published regularly and frequently(e.g.,every week).Consistent with these two features reducing analysts'optimism bias,we find that analysts recommend only a few"top picks"in industry reports,and these recommendations timely incorporate firm-level information.Compared to stocks recommended only in firm reports,these top picks subsequently earn higher abnormal stock returns,have better operating performances,and receive more coverage and upward revisions by analysts.