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证券分析师荐股评级:“乐观创造价值”
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TitleSecurity Analysts’ Rating Recommendations: Optimism Creates Value  
作者李少育 彭涛 刘冲  
AuthorLi Shaoyu,Peng Tao and Liu Chong  
作者单位西南财经大学;中山大学;上海财经大学 
OrganizationSchool of Securities and Futures, Southwestern University of Finance and Economics, Chengdu, China;International School of Business & Finance, Sun Yat-Sen University, Zhuhai, China;School of Finance, Shanghai University of Finance and Economics, Shanghai, China 
作者Emaillishaoyu2007@aliyun.com;zhansheng911@126.com;liu.chong@mail.shufe.edu.cn 
中文关键词荐股评级;投资价值;乐观性倾向;超额收益 
Key WordsRating Recommendation; Investment Value; Optimism; Excessive Return 
内容提要现有证券分析师荐股能力的研究结果与现代金融学有效市场理论假说存在明显的冲突。本文从分析师荐股评级的乐观性倾向角度对评级的投资价值进行了解释。研究发现:(1)证券分析师荐股评级基于迎合机构投资者、声誉、羊群效应等动机形成的乐观性倾向会影响荐股评级的投资价值;(2)针对分析师乐观性倾向与评级投资价值的内生驱动问题,本文利用半参数倾向匹配倍差法修正荐股评级的乐观性倾向。与事件研究的结果进行比较后,本文发现分析师荐股评级的投资价值在风险因素调整后的情形下变得不显著,分析师荐股评级的乐观倾向能够产生超额收益;(3)“买入”评级组合能产生稳健的正累积收益,“增持”评级组合只能获得负的累积收益,消极评级组合并不一定产生负的累积收益;(4)年报子样本的研究突显出“买入”评级组合的长期投资价值,而拜票月份的荐股评级只有微弱的投资价值。本研究不仅对证券分析师荐股的投资价值做了新解释,还为培养理性投资理念和规范分析师行业的中介作用提供了政策建议。 
AbstractPrevious studies on Chinese security analyst’s ability of stock recommendations have revealed that the recommendation portfolios have consistent direction and size of excessive returns with respects to the rating levels. The recent findings suggested that analysts’ rating recommendations and earning predictions become more optimistic, and the positive earnings predictions and rating recommendations have significant investment value. The current empirical findings are contrast to the fact of the rapid development of security market and more effective market information disclosure, and thus conflicts with the theory of market efficiency. Therefore, we suspect if the tendency of optimism induce investment value of analysts’ rating recommendations. Our empirical results show that, firstly, analyst forms optimistic tendency driven by the catering to institutional investor, reputation, herd behavior, etc., and thus the rating recommendations under the optimistic tendency affect the investment values. Second, based on the endogenous relationship between the optimism and investment value of rating recommendations, we apply semi-parametric propensity score matching difference-in-difference method to adjust the estimated investment values committed by optimism, and compare them with the results of case study. We find that the investment values loss significance in the cases of using risk-adjusted cumulative return, and the analyst optimisms do explain excessive return. Third, the “buy” rating portfolio induces robustly positive return, while the “increase holding” rating portfolio only achieves negative return. Four, we also reveal that the “buy” rating portfolio has long-term investment value under the subsample of annual report announcement, and the rating recommendations in the subsample of voting month show weak investment value. Our research not only provides new explanation on the investment value of security analysts’ rating recommendations, but also helps cultivate rational investment philosophy and regulate the industry of security analyst. 
文章编号WP1352 
登载时间2019-03-26 
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