股票分析师报告有效吗?  

Are Rating Reports Written by Equity Analysts Effective?

作　　者：方先明[1] 汤泓[1] 

机构地区：[1]南京大学经济学院

出　　处：《中国经济问题》2016年第5期110-124,共15页China Economic Studies

基　　金：国家社会科学基金项目(14BGL031);江苏2011计划(编号:2015-11);中国特色社会主义经济建设协同创新中心资助

摘　　要：在中国股票市场,证券分析师所出具的股票评级报告是投资者进行投资决策的重要依据。论文采用事件研究法,分别对股票市场总体行情上升、下降和水平震荡三个阶段内分析师评级报告的价值进行检验。结果发现:评级报告的基础评级整体偏高,可信度不强;基础评级调整报告具有参考价值,能够据此捕捉异常收益率;相较于非明星分析师的报告,根据调整后的明星分析师报告进行操作,在上升和下降行情中可以获取更大的中期异常收益率,在震荡行情中则可以获取更大的短期异常收益率。In a developing capital market like China, equity research reports published by analysts are important informa- tion resource for investors. This essay use event study to test the value of these equity research reports in a bull, a bear and a vibrating market. We find： （1）standard rating is generally over rated and untrustworthy; （2）standard rating adjustment is of invest value and investors could capture abnormal return by investing according to adjusted standard ratings; （3）star analysts have better performance than non-star analysts in grabbing short-term abnormal return in vibrating market and long-term abnormal return in bull and bear market but their reports have no significant difference in other situation.

关 键 词：评级报告 基础评级 评级调整 价值检验 

分 类 号：F832.51[经济管理—金融学]