本文關(guān)鍵詞：證券分析師過度自信問題研究　出處：《浙江大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：證券分析師一直以來被認(rèn)為是資本市場中的信息中介,擔(dān)當(dāng)著投資者與上市公司之間信息溝通的橋梁。他們綜合宏觀經(jīng)濟(jì)運行狀況、行業(yè)發(fā)展趨勢,以及企業(yè)的經(jīng)營狀況和發(fā)展?jié)摿?對企業(yè)未來的盈利狀況進(jìn)行預(yù)測。他們的研究報告是投資者進(jìn)行投資決策的重要依據(jù)。但是,學(xué)術(shù)界逐漸發(fā)現(xiàn),證券分析師在進(jìn)行盈余預(yù)測時并不完全“中性”,來自分析師所在券商、被分析公司管理層和分析師自身的各種因素都會影響分析師行為,進(jìn)而扭曲分析師作出的盈余預(yù)測。 過度自信認(rèn)知偏差是證券分析師行為扭曲的原因之一。本文以2001-2010年間美國證券市場中分析師盈利預(yù)測的季度數(shù)據(jù)為研究對象,通過理清認(rèn)知偏差對分析師預(yù)測行為的動態(tài)影響機(jī)制,對證券分析師過度自信問題做了實證研究。本文探討的兩個主要問題是：第一,證券分析師在對上市公司進(jìn)行盈余預(yù)測時,是否存在過度自信心理偏差?第二,如果存在的話,什么因素可能會對分析師過度自信的程度產(chǎn)生影響? 在Hilary和Menzly(2006)模型的基礎(chǔ)上,本文首先對證券分析師過度自信認(rèn)知偏差的存在性進(jìn)行檢驗。結(jié)果表明,分析師在經(jīng)歷一系列成功預(yù)測后,在接下來的預(yù)測中,雖然其預(yù)測偏離市場共識的程度沒有明顯增加,但預(yù)測的實際誤差顯著增大。過度自信理論在一定程度上得到了實證的支持。 其次,從金融危機(jī)的視角,本文進(jìn)一步探究宏觀的信息、決策環(huán)境對分析師過度自信認(rèn)知偏差的影響。結(jié)果表明,在金融危機(jī)的沖擊下,分析師過去的成功預(yù)測經(jīng)歷與其當(dāng)前預(yù)測中實際誤差之間的關(guān)聯(lián)度顯著增強(qiáng)。在經(jīng)歷一系列成功預(yù)測后,分析師過度自信的認(rèn)知偏差依然存在,且程度較危機(jī)前進(jìn)一步加重。 最后,考慮到證券分析師過度自信的認(rèn)知偏差可能受其預(yù)測行為連續(xù)性的影響,同時為了保證實證結(jié)果的可靠性,本文對上述研究結(jié)果做了穩(wěn)健性檢驗。檢驗結(jié)果證實了之前的發(fā)現(xiàn)。
[Abstract]:Securities analysts have been regarded as information intermediaries in the capital market , acting as a bridge between investors and listed companies . Their research report is an important basis for investors to make investment decisions . Based on the quarterly data of analyst ' s earnings forecast in the US security market from 2001 to 2010 , this paper studies the dynamic influence mechanism of the analyst ' s forecast behavior in the US stock market in 2001 - 2010 . The two main problems are as follows : First , when the securities analyst estimates the earnings forecast of the listed company , there is a psychological deviation of overconfidence ? Secondly , if any , what factors may affect the degree of overconfidence of the analyst ? On the basis of Hilary and Menzly ( 2006 ) models , this paper first examines the existence of excessive self - confidence cognitive biases in securities analysts . The results show that , after a series of successful predictions , analysts have seen a significant increase in the forecast deviation from the market consensus , but the actual error of the prediction is significantly increased . The overconfidence theory has been supported to some extent . Secondly , from the perspective of financial crisis , this paper further explores the impact of macro - information and decision - making environment on analysts ' overconfidence . The results show that , under the impact of the financial crisis , the correlation between analysts ' past success forecast experiences and actual errors in the current forecast is significantly enhanced . After a series of successful predictions , the cognitive bias of analysts ' overconfidence still exists , and the degree is further aggravated before the crisis . Finally , taking into consideration that the perceived deviation of the overconfidence of the securities analyst is likely to be influenced by the continuity of the predicted behavior , and in order to ensure the reliability of the empirical results , this paper makes a steady test on the above research results . The results of the test confirm the previous findings .

【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F837.12;F224

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本文編號：1412725