分析师的疲劳、预测质量与股票收益——来自中国资本市场的证据

Analysts’ Fatigue,Forecasting Quality and Stock Returns--The Evidence from China

分析师的决策疲劳是否导致预测质量下降是业界关注的问题,本文对中国A股市场中分析师疲劳与预测质量关系进行研究,经过对2006—2023年A股市场卖方分析师个股研究报告中的盈余预测进行数据统计和分析,研究发现:分析师的决策疲劳与盈余预测误差呈正向关系,即随着一周内发布预测的增加,分析师对公司盈余预测误差也在增大。分析师在决策疲劳严重时发布的预测会预示着未来个股中长期收益降低,盈余预测误差在这一关系中充当部分中介变量。决策疲劳引起的较低股票收益与市场信息不对称相关。

The decision fatigue of analysts and its impact on the decline in forecast quality is an issue worthy of attention in the industry.This study examines the relationship between analyst fatigue and forecast quality in the Chinese A-share market.Through statistical analysis of earnings forecasts in sell-side analyst’reports from 2006 to 2023 in the A-share market,the study found that analyst decision fatigue is positively related to earnings forecast errors.This means that as the number of forecasts issued by analysts increases within a week,their errors in forecasting company earnings also increase.Forecasts released by analysts with severe decision fatigue predict lower long-term returns for individual stocks,with earnings forecast errors acting as partial intermediary variables in this relationship.The lower stock returns caused by decision fatigue are related to market information asymmetry.