分析师的估值模型会影响评级的信息含量吗?  

Does the Valuation Model Affect the Information Content of Analyst's Recommendation?

作　　者：刘璐 洪剑峭[1] 张新 LIU Lu;HONG Jian-qiao;ZHANG Xin(School of Management,Fudan University,Shanghai,200433,China)

机构地区：[1]复旦大学管理学院,上海200433

出　　处：《经济管理》2020年第5期158-172,共15页Business and Management Journal ( BMJ )

摘　　要：本文基于2014—2018年发布的沪深两市A股上市公司深度研究报告,考察了分析师报告中关于估值方法的描述,探究分析师估值模型的选择是否会对其投资意见的信息含量产生影响。研究发现,分析师采用绝对估值模型能够提高评级调整的市场反应,具有一定的增量价值。进一步分组检验发现,在公司成长性较高、不确定性较大、券商实力较弱、分析师之间的竞争程度较高的情况下,使用绝对估值模型对于提高分析师评级调整的信息含量作用更大。本文的研究结论对于理解分析师估值过程的价值和有效性以及分析师研究报告信息含量的影响因素具有重要意义,并为投资者如何使用和评价分析师研究报告提供了一定的参考。As an important information intermediary in the capital market,the analyst follows listed firms,collect,analyze and evaluate the information related to the firm's future performance and financial status,and pass the relevant information and conclusions to investors in the form of research reports.As the main conclusion of the report,the recommendation conveys the analyst's basic judgment on the investment value of the firm,which has information content.The valuation process is an important part of the analyst's report,which shows the entire analysis process of firm-related information.It is usually used as a basis for supporting the analysts'investment opinions and provides evidence of logical reasoning and detailed considerations for the valuation,which contains certain incremental information for investors.From this point of view,the use of appropriate valuation models is an important prerequisite for ensuring the validity of stock valuations,which is conducive to improving the quality of the analyst's recommendation.Using the in-depth research report published by analysts for Shanghai and Shenzhen A-share listed firms between 2015 and 2017,this paper extracts the description of the valuation method in analyst report and explores whether the choice of valuation model have an impact on the information content of analyst's investment opinion.Through the textual analysis of analyst's valuation process,this paper finds that the absolute valuation model or DCF model is not prevalent among Chinese analysts,with only 4.8%of the research reports mentioning the method of absolute valuation or DCF model.The empirical results show that the choice of the analyst valuation model does affect the information content of the analysts investment opinion.When the analyst adopts absolute valuation model or DCF model,the information content of the recommendation adjustment is relatively high,leading to greater market reaction,indicating that investors believe the investment opinion of the analyst drawing from the absolute valuation

关 键 词：分析师报告 估值 投资评级 股票收益 

分 类 号：F832.5[经济管理—金融学]