管理层业绩预告乐观偏差、分析师预测修正与市场反应

The Optimistic Bias of Management Earnings Forecast,Analyst Forecasts Revision and Market Reaction

与以前关注管理层业绩预告及其声誉对证券分析师预测的影响的研究不同,本文重点考察管理层业绩预告乐观偏差的持续性及其对证券分析师预测修正和投资者市场反应的影响。我们以A股公司2007—2012年的管理层业绩预告和证券分析师预测为样本考察上述问题。研究结果发现,本期业绩预告的乐观偏差与以往业绩预告的乐观偏差显著正相关;同时,以往业绩预告的乐观偏差与本期业绩预告引起的分析师预测修正和市场反应存在负相关关系,说明投资者和分析师能够识别管理层业绩预告中存在的乐观偏差,尤其是当乐观偏差持续发生时。本文不但推进了管理层业绩预告及其经济后果方面的研究成果,而且有助于市场参与者合理认识管理层业绩预告中的乐观偏差问题,以便做出合理的经济决策。

The prior studies investigate the effect of management earnings forecasts(hereafter as MEF) and their forecasts reputation on investors’ reaction and analysts forecasts. Different from these literature, this paper mainly examines the persistence of optimistic bias of management earnings forecast and its influence on analyst forecasts revision and investors’ response based on the A-stock listed firm during 2007-2012. The empirical evidences show that the optimistic bias of management earnings forecast in current year is positively related to the average value of optimistic bias during past several years. Investors and analysts can realize that persistence of optimistic bias and adjust their beliefs of the current MEF, Specifically, the relationship between the optimistic bias of MEF during past period and analysts forecast revision and investors’ reaction are significantly negative. Hence, this paper not only extends the research on relationship between management earnings forecasts and its economic consequence, but also helps market participants better understand the issue of optimistic bias of MEF and make their right decisions.