中国分析师报告有效性研究:特定信息与投资者有限关注  

A Study on Chinese Analyst Reports Validity:Specific Information and Limited Investor Attention

作　　者：马梦迪 李烁 王玉涛 Ma Mengdi;Li Shuo;Wang Yutao(School of Business,Renmin University of China,Beijing 100872,China)

机构地区：[1]中国人民大学商学院,北京100872

出　　处：《中国管理科学》2025年第2期38-49,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金项目(71972179);北京市自然科学基金项目(9202008)。

摘　　要：我国证券分析师行业虽然在短时间内发展迅速,但仍面临投资者对其报告有效性的质疑,一个可能的原因是投资者不能有效区分和理解分析师报告中提供的多种信息。分析师研究报告中有两类最重要和常用的信息:盈余预测和推荐评级。本文通过对两类信息进行理论分析和经济后果的检验,试图理解两类信息的差异。研究发现,相较于盈余预测修正,分析师推荐评级调整具有更多的信息含量。分析师的盈余预测修正可以在推荐评级调整的基础上提供增量信息。但在推荐评级调整方向不同的情况下,投资者对盈余预测修正的市场反应存在差异:短窗口期内,投资者在推荐评级变动出现评级下调(坏消息)时,更关注盈余预测修正相关信息,长窗口期内,投资者在推荐评级变化出现评级上调(好消息)时,更关注盈余预测修正相关信息。上述结果说明,对于分析师报告中提供的两类重要信息——盈余预测与推荐评级,投资者有限关注于较易理解的信息(推荐评级),且在推荐评级变动方向不同时,投资者有限关注行为在短期内存在,在长期内得到修正。本文研究发现在一定程度上回应了投资者对分析师报告有效性的质疑。Despite that Chinese financial analyst industry has grown rapidly in a short period of time,it still faces challenges by investors to the validity of analyst reports.One possible reason is that investors cannot effectively distinguish and understand the multiple types of information provided in analyst reports.There are two most important and commonly used types of information in analyst reports:earnings forecasts and stock recommenda⁃tions,which have different implications for investors.While existing research mainly focuses on only one type of information,it attempts to take two types of information together and understand their differences from inves⁃tors’perspective through theoretical analysis and examination of the economic consequences of these two types of information in a unified framework.To be more specific,it looks into how investors react to analysts’earn⁃ings forecast revision and change in stock recommendation using data of A-share listed companies in China dur⁃ing 2006-2018.It is found that analysts'recommendation changes have greater information contents than their earnings forecast revisions.Analysts'earnings forecast revisions can provide incremental information beyond the recommendation changes.However,market reactions to earnings forecast revisions vary when directions of recommendation changes are different.In the short window,investors react more strongly to earnings forecast revisions when there is‘bad news’(downgrade in recommendation).While,in the long window,investors react more strongly to earnings forecast revisions when there is‘good news’(upgrade in recommendation).The above results have several implications:(1)investors pay more attention to the more understandable information(recommendation changes)between earnings forecast and recommendations due to their limited attention;(2)investors'market reactions to earnings forecast revisions change along with the direction of recom⁃mendation changes;(3)Limited investor attention behavior exists in the short term and

关 键 词：分析师报告 盈余预测 推荐评级 有限关注 市场反应 

分 类 号：F830.91[经济管理—金融学]