分析师盈余预测修正与资本市场信息效率

摘要基于股票价格的“同涨同跌”现象,利用2002—2018年中国A股上市公司数据,以动态视角考察分析师盈余预测活动对资本市场信息效率的影响。研究发现:分析师正向盈余预测修正会显著降低公司股价同步性,并且这种影响在明星分析师、非承销商分析师和女性分析师中更为明显。进一步探究分析师盈余预测修正影响公司股价同步性的传导路径,结果发现分析师正向盈余预测修正可以通过减少其盈余预测偏差和预测分歧度来降低股价同步性。研究表明分析师盈余预测修正行为属于“自我更新”,能够提高资本市场信息效率。

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关键词：盈余预测修正资本市场信息效率预测分歧度自我更新

Abstract： Based on the phenomenon of “same rise and fall” of stock prices, this paper uses the data of China’s A-share listed companies from 2002 to 2018 to study the relationship between analysts’ forecast activities and capital market information efficiency from the perspective of analyst behavior dynamics. The study finds that analysts’ positive forecast revisions will significantly reduce the synchronicity of the company’s stock prices. And this effect is more obvious among star analysts, non-underwriter analysts and female analysts. After further studying the transmission path of analysts’ forecast revisions affecting stock price synchronization, it is found that analysts’ positive forecast revisions can decrease stock price synchronization by reducing their earnings forecast bias and forecast dispersion.The above results show that analysts’ earnings forecast revisions behavior belongs to “self-renewal”, which can improve the information efficiency of capital market.

Keywords： Analysts’ Forecast Revision Capital Market Information Efficiency Forecast Dispersion Self-renewal

收稿日期 2020-09-18; 接受日期 ;

基金资助:国家社会科学基金项目(20BJY258)

作者简介: 武翰章(1992— ),男,山西朔州人,博士,讲师,主要从事资本市场与资产定价研究;刘维奇(1963— ),男,山西忻州人,博士,教授,主要从事资产定价与行为金融研究。

引用本文:

武翰章, 刘维奇.分析师盈余预测修正与资本市场信息效率[J]. 经济经纬, 2022,1: 98-107

WU Hanzhang, LIU Weiqi.Analysts’ Forecast Revision and Capital Market Information Efficiency[J] Economic Survey, 2022,V39(1): 98-107

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2022/V39/I1/98

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