發(fā)布時間：2018-04-02 14:37

  本文選題：證券分析師　切入點：研究報告　出處：《西南財經(jīng)大學(xué)》2014年碩士論文

【摘要】：隨著證券市場的快速,上市公司不斷增加,市場參與者越來越多,然而面對日益復(fù)雜的交易,投資者沒有時間對大量上市公司進(jìn)行研究,而且廣大投資者也并不具備專業(yè)的分析能力及信息搜集能力,而證券分析師作為證券市場上的信息中介,銜接著上市公司與投資者,通過對上市公司進(jìn)行詳盡調(diào)查,分析其真實價值,并通過研究報告向投資者提供投資建議,因此證券分析師發(fā)布的研究報告一直以來都是投資者進(jìn)行證券投資重要的參考依據(jù)。不過近年來分析師研究報告“烏龍”事件不斷被曝光,分析師研報的參考價值受到前所未有的質(zhì)疑,那么分析師研究報告提供的投資建議還有參考價值嗎?按照分析師的建議進(jìn)行操作能否獲得超額收益?這個問題在國內(nèi)外學(xué)術(shù)界已經(jīng)爭論了數(shù)十年了。我們認(rèn)為分析師作為一個職業(yè),其本身是具備存在的價值的,盡管有些分析師弄虛作假、妄下結(jié)論而誤導(dǎo)投資者,但是這個行業(yè)必然存在一些“慧眼識金”的分析師,那么哪些分析師提供的研究報告具有更高的參考價值呢?本文試圖解答這個問題。 全文分為七章,各章內(nèi)容如下： 第一章,引言 本章介紹了本文的研究背景、研究選題及意義并簡要介紹了本文的研究思路與框架。首先簡要的介紹了分析師工作內(nèi)容及其向投資者提供投資建議的方式。然后我們從有效市場假設(shè)論證了分析師存在的價值。但是最近幾年隨著研究報告“烏龍”事件不斷被報道,分析師研究報告也不斷被推到輿論的風(fēng)口浪尖,受到廣大公眾前所未有的質(zhì)疑。從而提出問題：分析師提供的投資建議能否給投資者帶來超額收益呢?對于這個問題國內(nèi)外學(xué)者都做過大量的研究,但并沒有取得一致的結(jié)論。因此本文對這個問題做進(jìn)一步的研究無論對學(xué)術(shù)研究、廣大投資者還是監(jiān)管部門來說都是很有意義的。 第二章,文獻(xiàn)綜述 本章首先對國內(nèi)外關(guān)于證券分析師推薦股票的投資價值的相關(guān)文獻(xiàn)進(jìn)行了回顧。國外學(xué)者對這個問題得到了大量的實證研究成果,但得出的結(jié)論并不一致。美國學(xué)者Cowles認(rèn)為推薦的股票推薦后并不能產(chǎn)生超額收益。而Llovd-Davies、Canes卻得到了相反的結(jié)論。由于我國股市與國外成熟的資本市場有著較大的差距,國外同類的研究成果對于本文的參考價值可能不大,故而我們很有必要了解國內(nèi)相關(guān)的研究,國內(nèi)最早開展此類研究的是林翔,他認(rèn)為證券分析師的投資建議不具有投資價值,然而朱寶憲和王怡凱、唐俊和宋逢明的研究觀點有所不同,他們認(rèn)為分析師推薦的股票具有短線投資價值,不過從中長期來看并不能為投資者帶來超額收益。后來的學(xué)者的研究也基本上維持著這一觀點。為了了解影響證券分析師預(yù)測能力的因素,我們對以往的相關(guān)文獻(xiàn)進(jìn)行總結(jié)后發(fā)現(xiàn)分析師所在券商的規(guī)模、分析師從業(yè)經(jīng)驗、自信度、聲譽(yù)度、分析師獨立性、經(jīng)濟(jì)不確定性、上市公司信息披露程度都會影響其預(yù)測能力。 第三章,中國證券分析師行業(yè)發(fā)展概述。 分為三個小節(jié)對分析師行業(yè)進(jìn)行簡單介紹。第一小節(jié)介紹了我國證券分析師的發(fā)展歷程,其歷史可以追溯到中國股票市場成立之初,我們以監(jiān)管部門實現(xiàn)監(jiān)管為標(biāo)準(zhǔn)劃分為四個階段：萌芽階段、自發(fā)階段、規(guī)范發(fā)展階段及高速發(fā)展階段。第二小節(jié)我們介紹了證券分析師行業(yè)發(fā)展過程中暴露出的問題及原因分析。第三小節(jié)介紹了行業(yè)的發(fā)展趨勢,隨著我國經(jīng)濟(jì)的快速發(fā)展,證券行業(yè)必然能夠迅速成長起來,大量的優(yōu)秀人才將加入這個行業(yè)。 第四章,證券分析師薦股價值的理論分析。主要介紹了與分析師有關(guān)的三個理論：行為金融學(xué)、有效市場假說、不對稱經(jīng)濟(jì)信息學(xué)。 第五章,證券分析師的預(yù)測能力影響因素分析。外部因素包括：分析師獨立性、分析師聲譽(yù)、券商研究實力、分析師面臨的各種不確定性；內(nèi)部因素包括：分析師自身素質(zhì)、從業(yè)年限。之前的學(xué)者對分析師獨立性、分析師聲譽(yù)、券商研究實力、分析師面臨的各種不確定性進(jìn)行過大量的實證研究發(fā)現(xiàn),分析師越獨立,聲譽(yù)越高,券商研究實力越強(qiáng),其預(yù)測能力越強(qiáng)。但是對于內(nèi)部因素進(jìn)行研究的文獻(xiàn)很少,特別是對于分析師從業(yè)年限對其預(yù)測能力的影響這個問題前人還沒有研究過,而本文接下來的部分試圖對這個問題進(jìn)行實證檢驗。 第六章,分析師預(yù)測能力實證研究。本章分五節(jié)。第一節(jié)對研究主體進(jìn)行界定。本文的研究主體是賣方分析師發(fā)布的公司研究報告中的股票評級。第二節(jié)介紹了數(shù)據(jù)的來源及樣本的處理。本文的數(shù)據(jù)選擇是分析師發(fā)布的全部A股評級。我們將所有評級進(jìn)行重新定義：積極評級(A級、B級)、消極評級(C級、D級)、不做評級為E級。第三節(jié)我們對證券分析師從業(yè)年限、研究報告股票評級樣本進(jìn)行了描述性統(tǒng)計。我國的分析師最長的從業(yè)年限是10年,但大部分分析師從業(yè)年限較短。分析師發(fā)布的股票評級具有樂觀傾向。第四節(jié)研究設(shè)計。我們使用Excel軟件對分析師發(fā)布的研究報告進(jìn)行整理,并使用SAS軟件進(jìn)行統(tǒng)計分析,采用事件研究法進(jìn)行實證檢驗。本文通過兩個層次對分析師的預(yù)測能力進(jìn)行檢驗。首先是分析師整體預(yù)測能力接著按從業(yè)年限分組檢驗各組分析師預(yù)測能力。研究結(jié)果表明：總體上來說,分析師具有較強(qiáng)的預(yù)測能力。分析師發(fā)布評級后,被評級公司的股價走勢與分析師所做出的評級的方向大體一致。從業(yè)年限越長的分析師與從業(yè)年限越短的分析師相比,可以給投資者帶來更高的異常收益。因此,我們認(rèn)為分析師從業(yè)年限越長,其預(yù)測能力越強(qiáng)。從業(yè)年限長的分析師已經(jīng)經(jīng)歷過一兩個完整的行業(yè)周期的洗禮,對公司及行業(yè)有深刻而正確的理解,并且由于在該行業(yè)中并積累了大量的人脈資源,其獲取全面、及時的信息的能力明顯較強(qiáng),因此他的選股能力也應(yīng)該會相應(yīng)的增強(qiáng)。如果投資者希望獲得更高的超額收益,那么就應(yīng)該更多的聽取從業(yè)年限更長的分析師提供的投資建議,特別是其給出的強(qiáng)烈推薦的建議。 第六章,研究結(jié)論與展望 本章基于實證研究的結(jié)果得出本文的研究結(jié)論并對證券分析師、投資者、監(jiān)管部門提出政策建議。對分析師的建議是提高專業(yè)能力,重視行業(yè)經(jīng)驗的積累；對投資者我們建議理性看待分析師研究報告；對監(jiān)管部門我們建議完善證券分析師制度,加強(qiáng)行業(yè)監(jiān)管,加大對違法行為的打擊力度。 本文的創(chuàng)新點：對于影響分析師預(yù)測能力的因素,之前的學(xué)者主要研究了外部因素,包括：分析師獨立性、分析師聲譽(yù)、券商研究實力、分析師面臨的各種不確定性；但是對于內(nèi)部因素進(jìn)行研究的文獻(xiàn)很少,特別是分析師從業(yè)年限對其預(yù)測能力的影響這個問題前人還沒有研究過,本文從證券分析師從業(yè)年限這個角度對分析師預(yù)測能力進(jìn)行了實證研究,這是對之前學(xué)者研究的一個重要補(bǔ)充。
[Abstract]:With the stock market, listed companies increased, more and more market participants, but the face of increasingly complex transactions, investors do not have the time to study a large number of listed companies, and investors do not have the ability to analyze and collect information of professional ability, and securities analysts as the stock market information intermediary, linking listed companies with investors of listed companies through detailed investigation, analysis of the true value, and through the research report to investors to provide investment advice, so the research report issued by securities analysts has always been an important reference for investors. But in recent years the analyst Research Report "Oolong" events continue to be exposed, the analyst research report the reference value is hitherto unknown challenge, then the analyst Research Report provides investment advice and reference The value of excess return? Can operate according to analysts' recommendations? This problem in the academic circles at home and abroad have been debated for decades. We believe that analysts as an occupation, which is itself have the value of existence, although some analysts resort to deceit, jump to conclusions and misleading investors, but this industry there must be some "eye general gold analyst, the report which analysts provide has higher reference value? This paper tries to answer this question.
The full text is divided into seven chapters, and the contents of each chapter are as follows:
Chapter 1, introduction
This chapter introduces the research background and significance of research topic, and briefly introduces the research ideas and the framework of this paper. First briefly introduces the working contents and analysts to provide investors with investment advice. Then we from the efficient market hypothesis is demonstrated in the analyst's value. But in recent years with the Research Report "Oolong events continue to be reported, analyst Research Report has been pushed to the opinion of the majority of the public questioned in the teeth of the storm, hitherto unknown. So we question: analysts provide investment advice to investors excess returns? For this problem of domestic and foreign scholars have done a lot of research, but there is no consistent conclusion. This paper made a further study on this issue both for academic research, investors or regulators are very meaningful.
The second chapter, literature review
This chapter first related literature at home and abroad on the value of securities analysts recommend stocks investment are reviewed. Foreign scholars have a large number of empirical research results on this issue, but the conclusions are not consistent. The American scholar Cowles that recommended the stock recommendation does not produce excess returns. And Llovd-Davies, Canes has been the opposite conclusion. Because of China's stock market and the overseas mature capital market there is a large gap, research results abroad may not be for the reference value, so it is necessary for us to understand the domestic related research, the earliest of these studies is Lin Xiang, he believes that securities analyst recommendations do not have investment the value of Zhu Baoxian and Wang Yikai, however, on the view of Tang Jun and Song Fengming are different, they think that analysts recommended stocks with short-term investment price However, the excess revenue from the long term and not for investors. Later research scholars also basically maintained this view. In order to understand the effect factors of securities analysts forecast ability, we summarize that the scale of the broker analysts where the previous literatures, the analyst experience, confidence, reputation analysts, independence, economic uncertainty, information disclosure of listed companies will affect the prediction ability.
The third chapter is an overview of the development of securities analysts in China.
Is divided into three sections: brief introduction on the analyst industry. The first section introduces the development process of China's securities analyst, its history can be traced back to the Chinese stock market at the beginning of the establishment of our regulatory authorities to achieve regulation as the standard is divided into four stages: embryonic stage, spontaneous stage, standardized development stage and the rapid development stage. The second section we introduced the problem and reason analysis revealed the securities industry analyst in the development process. The third section introduces the development trend of the industry, with the rapid development of China's economy, the securities industry will grow up quickly enough, a large number of outstanding talents to join the industry.
The fourth chapter, analysis of the value of the securities analysts recommendation theory. This part mainly introduces three theories and related analysts: behavioral finance, the efficient market hypothesis, asymmetric information economics.
The fifth chapter, analysis of the factors affecting the predictive ability of securities analysts. The external factors include: independent analysts, analysts reputation, brokerage research strength, various analysts face uncertainty; internal factors include: the analyst's own quality, working years. Previous scholars on analysts' independence, analysts' reputation, brokerage research strength, various analysts face the uncertainty had a large number of empirical studies have found that the more independent analysts, higher reputation, brokerage research strength is strong, the prediction ability is strong. But the study on the internal factors of the literature rarely, especially has not studied the influence on the ability to predict the analyst in the age of this problem and the previous, next try to make empirical test on this issue.
The sixth chapter, empirical research of analysts' forecasts. This chapter is divided into five sections. The first section of the study subjects were defined. The main research of this dissertation is the company research report issued by the seller analyst's stock rating. The second section introduces the origin and processing of the sample data. The data is released by analyst selection of all A shares we will all rating. Ratings were redefined: positive rating (a, B), negative rating (C, D), do not grade E. The third section of our securities analyst working years, research report stock rating sample descriptive statistics. In the age of China's longest analyst is 10 years, but most analysts working life is short. Analysts issued stock rating with the optimistic tendency. The fourth section on design. We use Excel software to research report released by analyst finishing, and use the SAS software A statistical analysis of the empirical test using the method of event study. This paper was tested through two levels of ability to predict analysts. The first is the overall predictive ability of analysts working years were followed by grouping test analyst forecast ability. The results show that: Overall, the analyst has a strong predictive ability. Analysts released after being make the stock price and the Rating firm analyst ratings have roughly the same direction. Compared with working years longer and shorter working years analyst analysts, can give investors a higher abnormal return. Therefore, we believe that analysts working years longer, the prediction ability is stronger. In the age long analysts have experienced one or two a complete cycle of baptism, has a deep and correct understanding of the company and the industry, and because in the industry and The accumulation of a large number of human resources, the ability to obtain comprehensive, timely information was strong, so his stock picking ability should be the corresponding enhancement. If investors want to obtain higher excess returns, so you should listen to more practitioners longer analysts provide investment advice, especially given the strongly recommend the advice.
The sixth chapter, the conclusion and Prospect of the research
This chapter is based on the results of empirical research conclusion of this paper and the investors in the securities analyst, and put forward the policy recommendations of regulatory authorities. Analysts suggest to improve the professional ability, pay attention to the accumulation of experience in the industry; to investors, we suggest a rational view of Analyst Research Report to the regulatory authorities; we suggest perfecting the securities analyst system, strengthen the supervision. To increase efforts to crack down on illegal activities.
The innovation of this paper. The influence of analyst forecast ability factors, previous scholars mainly study the external factors, including analysts' independence, analysts' reputation, brokerage research strength, various analysts face uncertainty; but the study on the internal factors of the literature rarely, especially the influence of analysts working years on the ability of the prediction the previous problem has not been studied, this paper from the angle of securities analysts in the age prediction ability makes an empirical study of the analyst, which is an important complement to previous scholars.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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