信息源、信息搜寻与市场吸收效率——基于证券分析师盈利预测修正的经验证据  

Information Sources,Information Searching and Market Efficiency:——Evidence Based on Analyst Forecast Revision

作　　者：朱红军[1] 何贤杰[2] 陶林[3] 

机构地区：[1]上海财经大学会计与财务研究院,上海200433 [2]上海财经大学会计学院,上海200433 [3]中国银行上海分行,上海200135

出　　处：《财经研究》2008年第5期63-74,共12页Journal of Finance and Economics

基　　金：上海财经大学会计与财务研究院的资助;教育部人文社会科学重点研究基地重大项目"转轨经济中的公司治理与控制权收益"(06JJD630016)的阶段性成果

摘　　要：文章研究了证券分析师盈利预测修正的信息源和信息含量以及市场对盈利预测修正所含信息的吸收效率。研究发现,证券分析师在进行盈利预测修正时不仅考虑了两次预测之间已为投资者所知的公开信息,而且能够为市场提供公司层面的增量信息,提高市场的定价效率。进一步的研究还发现,投资者对分析师盈利预测修正的反应与其调整的幅度呈正相关,同时他们还关注分析师作出盈利预测修正时的信息来源,当分析师在年报公布期间进行修正时,市场的反应要更为强烈。此外,研究结果也表明,投资者并没有及时地吸收分析师盈利预测修正所含的信息,即市场对盈利预测修正的反应存在着漂移的现象。This paper examines the information sources and information content of analyst forecast revision, as well as whether investors could use this information efficiently. The results show that analyst forecast revision not only contains the public information that investors have already known, but also provides additional firm level information. Further analysis shows that investors could reaction to the analyst forecast in the proper directions and they also care the information sources of this forecast. When analysts provide forecast revision during the period of earnings announcement, the market reaction is more intensity. However, the results show that there existing the phenomenon of drift after the analyst forecast revision, which means that investors fail to timely absorb the information the analysts provide.

关 键 词：证券分析师 盈利预测修正 信息含量 投资者反应 

分 类 号：F23[经济管理—会计学]