管理评论

›› 2019, Vol. 31 ›› Issue (8): 14-25.

• 经济与金融管理 • 上一篇    下一篇

分析师评级预测价值的市态差异——来自2005-2016年中国股票市场数据实证

郭艳红, 蒋帅, 陈艳萍   

  1. 大连理工大学经济管理学院, 大连 116024
  • 收稿日期:2018-11-01 出版日期:2019-08-28 发布日期:2019-09-11
  • 通讯作者: 郭艳红(通讯作者),大连理工大学经济管理学院副教授,博士生导师,博士
  • 作者简介:蒋帅,大连理工大学经济管理学院博士研究生;陈艳萍,大连理工大学经济管理学院硕士研究生。
  • 基金资助:

    国家自然科学基金青年项目(71402014；71501023)；国家自然科学基金面上项目(71974031；71771034)；中央高校基本科研业务经费项目(DUT19RW216)。

Differences in the Predictive Value of Analyst Rating between Bull and Bear Markets——Based on Chinese Securities Market Data during 2005-2016

Guo Yanhong, Jiang Shuai, Chen Yanping   

  1. School of Economics and Management, Dalian University of Technology, Dalian 116024
  • Received:2018-11-01 Online:2019-08-28 Published:2019-09-11

PDF (PC)

324

摘要：

证券分析师在股票市场中扮演着关键的信息角色，其发布的股票评级对投资者的投资决策有着重要影响。本文以分析师股票评级为研究对象，运用事件研究法从市态差异的视角剖析其预测价值。实证研究表明：（1）在整体市场中，分析师发布的股票评级具有预测价值，股票评级越高，其收益表现越好；（2）市态是影响分析师股票评级发布行为的重要因素，分析师评级发布行为在不同市态下具有不同特征；（3）积极评级在熊市中的预测价值显著高于牛市阶段，中性评级在不同市态下的预测价值无显著差异，消极评级在熊市中的短期预测价值高于牛市阶段。本研究对于全面认识股票分析师在证券市场中扮演的信息角色以及辅助投资者进行投资决策具有理论与现实意义。

关键词: 证券分析师, 分析师评级, 预测价值, 牛熊市, 市态差异

Abstract:

Analyst recommendation is one of the most important information sources in the financial market. Stock ratings released by analysts have a significant impact on investors' decision-making and investment income. Based on Chinese securities market data during 2005 to 2016, we investigate the predictive value of analyst rating from the perspective of different market states. The empirical results indicate that:(1) Analyst rating is of predictive value in the market, as evidenced by the tendency that the higher rating analysts give to a stock, the better performance the stock will have; (2) Market condition is a key factor that affects the rating results of analysts, who give different ratings under different market conditions; (3) The positive ratings issued in the bear market have more predictive value than these in the bull market; the predictive value of neutral ratings is not significantly different between the bull market and bear market. In the short term, the negative ratings issued in the bear market have more predictive value than these issued in the bull market. This research has important theoretical and practical significance for investors to understand the information role of security analysts and make better-informed decisions on investment.

Key words: security analyst, analyst rating, predictive value, bull and bear market, market condition difference