有限套利、投资者情绪与分析师盈利预测精度  

Limited Arbitrage, Investor Sentiment and Analyst Earnings Forecast Accuracy

作　　者：张超 伍燕然[1] 苏凇[1] 胡松明[1] Zhang Chao;Wu Yanran;Su Song;Hu Songming(Business School,Beijing Normal University,Beijing 100875,China)

机构地区：[1]北京师范大学经济与工商管理学院,北京100875

出　　处：《外国经济与管理》2021年第12期118-134,共17页Foreign Economics & Management

基　　金：国家自然科学基金(72073015);北京师范大学博一学科交叉基金项目(BNUXKJC1910)。

摘　　要：本文基于行为金融学的视角,研究了有限套利对分析师盈利预测精度的影响,并考察了有限套利与投资者情绪的交互效应以及不同分析师群体受上述效应影响的差异。研究发现:首先,上市公司在市场中受到的套利限制会显著降低分析师的盈利预测精度,而且这种影响并不能由理性因素(机构持股、佣金关系、声誉机制等利益冲突因素)和情绪因素所解释。其次,分析师套利限制不仅独立地影响分析师的预测精度,而且还会加剧情绪因素的影响,进一步降低分析师盈利预测精度。最后,无论是明星分析师、大券商分析师还是独立性较强的分析师均无法显著降低套利限制的影响,但大券商分析师则可以降低套利限制对情绪因素的加剧效应。本文的研究结论有助于从有限理性和有限套利相结合的角度去解释分析师盈利预测偏差的形成过程,拓宽了关于分析师盈利预测精度影响因素的认识。Theoretically, analysts, as professional investors, are supposed to provide unbiased forecasts. However, existing research has generally found an optimistic bias in analyst earnings forecasts. Analysts are playing an increasingly important role in the capital market, and the research on the reasons of analyst forecast bias or the influencing factors of analyst forecast accuracy has gradually become a hot topic in the field of accounting and finance. Existing studies mainly discuss the influencing factors of analyst forecast accuracy from the rational perspective of interest conflict and information asymmetry, and from the irrational perspective of psychological bias, but seldom investigate the impact of limited arbitrage factor on analyst forecast accuracy. The discussion of this paper can help to analyze the formation process of analyst earnings forecast bias from the perspective of limited rationality and limited arbitrage, and enrich the related literature on the influencing factors of analyst forecast accuracy.From the perspective of behavioral finance, this paper examines the impact of limited arbitrage factor on analyst earnings forecast accuracy, the interaction effect between limited arbitrage factor and investor sentiment, and whether the above effects have differential impacts among analysts with different characteristics. The conclusions are as follows:(1)Limited arbitrage factor significantly affects analyst forecast accuracy. The stronger the arbitrage restriction on companies, the lower the analyst forecast accuracy;and this effect cannot be explained by rational factors(institution shareholding,commission pressure, analyst reputation, and other interest conflicts)and sentiment.(2)Limited arbitrage factor not only affects analyst forecast accuracy directly, but also interacts with investor sentiment to intensify the impact of sentiment on analysts, further reducing analyst forecast accuracy.(3)Neither star analysts, large brokerage analysts nor those with strong independence can significantly reduce

关 键 词：投资者情绪 有限套利 分析师 预测精度 行为金融 

分 类 号：F270[经济管理—企业管理]