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分析师乐观性偏差与个股暴跌风险的关系研究

Study on the Analyst Optimism and Individual Stock Price Crash

作者: 专业:金融 导师:包文彬 年度:2015 学位:硕士  院校: 南京理工大学

Keywords

Individual stock price crash, Analyst optimism, Earnings Forecasts

        个股暴跌(Crash)是指在没有任何预兆的情况下,公司股票价格迅速且大幅度下跌。这种证券市场上普遍存在的金融异象不仅让投资者财富遭受损失,更会严重阻碍市场效率的实现,如果个股股价普遍下跌,这种负面影响还会波及到实体经济。个股暴跌现象产生的一个重要原因就是信息不对称。由于我国股市成立时间不长,监管存在一定缺陷,市场上信息不对称情况比较严重。作为信息中介的重要组成部分,证券分析师收集信息并进行专业分析,提供有关公司投资价值的信息,理论上有利于缓解信息不对称。但实际上,受到外部制度环境和个人能力的限制,分析师的盈利预测往往存在着乐观性偏差,使得投资者无法及时识别负面消息,对公司进行不当估值,导致错误的股票定价,当股票价格长期且严重偏离公司内在价值,就会产生价格泡沫。负面消息积累过多,达到极限时,会最终传达到市场中,导致泡沫破灭,股价下跌,引发个股暴跌风险。本论文从信息不对称的角度出发,研究分析师进行盈利预测时存在的乐观性偏差与个股暴跌风险之间的关系,并进一步研究这种关系是否会受到市场行情和分析师声誉的影响。以2007年~2013年沪深A股市场上,存在分析师关注的上市公司为样本,进行实证分析,得到以下结论:(1)分析师乐观性偏差与上市公司未来股价暴跌风险显著正相关;(2)分析师的乐观程度因市场行情的变化而不同,牛市时,分析师乐观性偏差和个股暴跌之间的正向关系会加强,熊市时,分析师乐观性偏差和个股暴跌之间的正向关系会减弱;(3)分析师进行盈利预测时,会考虑个人声誉。拥有良好声誉的分析师比例越大,其乐观性偏差对个股暴跌风险的正向影响越小。本论文对个股暴跌现象提供了一种合理解释,有助于投资者更加客观全面的认识我国证券分析师,同时建议监管部门加强对分析师公正性和独立性的管理。
    Individual stock price crash is a phenomenon that the stock price collapses suddenly and sharply without a warning. The crash is an unusual phenomenon that widely exists in the market. If a stock price crashes, investors’ wealth will be decreased and the market efficiency will be lowered. What’s more, a large number of stock price crashes may hinder the normal development of the real economy. A main reason for stock price crash is the theory of information asymmetry. The stock market in China has a short history and the regulatory system is not perfect, which means the information asymmetry is severer in the market of China.As an important agent to transfer information, analysts usually collect information and analyze the fundamental situations about the listing company. They are supposed to alleviate the information asymmetry. In fact, being restricted by personal ability and external system environment, there’s always a tendency that analysts overvalue the earnings of the company, which is analyst optimism. An optimistic bias will prevent the spread of negative information to investors. Investors will make wrong valuation about the company and the price will be influenced. Once the stock is wrongly priced and deviates from the real value seriously, there will be a price bubble. As the negative information accumulates and reaches the limit, negative information will eventually come to the market. The bubble bursts and the individual stock price crash occurs.Based on the theory of information asymmetry, this paper mainly focuses on the relation between analyst optimism and individual stock price crash, and whether the market condition and personal reputation will influence the relation. An empirical research is conducted with the companies samples selected from the Shanghai and Shenzhen A share market from 2007 to 2013, and the sample only includes the companies that are followed by analysts. Several conclusions are made:(1)Analysts optimistic bias is positively related to the future price crash;(2)In the bull market, the positive relation between the analysts optimism and price crash is stronger, while in the bear market, the positive relation is weaker;(3)When forecasting the earnings about a company, analysts will take personal reputation into consideration. Analysts with good reputation will do the forecast with lower optimistic bias. And the positive effect of optimistic bias on stock price crash will be weaker. This paper gives a reasonable explanation of individual stock price crash, and helps investors gain a comprehensive understanding of analysts.
        

分析师乐观性偏差与个股暴跌风险的关系研究

摘要4-5
Abstract5
1 绪论8-11
    1.1 研究背景及意义8-9
    1.2 本文创新9
    1.3 研究框架9-11
2 国内外文献综述11-19
    2.1 关于个股暴跌成因的文献综述11-15
        2.1.1 基于完全信息理性预期均衡框架11
        2.1.2 基于行为金融学框架的崩盘现象理论11-13
        2.1.3 基于不完全信息理性预期均衡框架的暴跌现象理论13-14
        2.1.4 国内个股暴跌研究的文献综述14-15
    2.2 关于分析师乐观性的文献综述15-19
        2.2.1 国外分析师乐观性偏差研究的文献综述15-16
        2.2.2 国内分析师乐观性偏差研究的文献综述16-19
3 相关概念及理论研究19-30
    3.1 证券分析师的发展和现状19-21
    3.2 证券分析师盈利预测及乐观性偏差21-23
        3.2.1 证券分析师盈余预测21-22
        3.2.2 证券分析师乐观性偏差22-23
    3.3 乐观性偏差与个股暴跌的关系分析23-28
        3.3.1 相关理论回顾23-24
        3.3.2 个股暴跌的机理24-26
        3.3.3 分析师乐观性偏差造成股价暴跌的原因分析26-28
    3.4 假说提出28-30
4 实证研究30-45
    4.1 样本选取30-31
    4.2 变量定义31-35
        4.2.1 个股暴跌风险31-32
        4.2.2 乐观性偏差32-33
        4.2.3 分析师跟进33
        4.2.4 分析师声誉33-34
        4.2.5 控制变量34-35
    4.3 实证模型35-36
        4.3.1 分析师乐观偏差对个股暴跌风险的影响35
        4.3.2 考虑市场行情对分析师乐观偏差和个股股价暴跌关系的影响35-36
        4.3.3 考虑分析师声誉对分析师乐观偏差和个股股价暴跌关系的影响36
    4.4 变量描述性统计36-40
        4.4.1 分析师乐观性偏差的描述性统计36-38
        4.4.2 个股暴跌风险的描述性统计38-39
        4.4.3 其他变量的描述性统计39-40
    4.5 实证分析40-45
        4.5.1 相关性分析40-41
        4.5.2 分析师乐观性偏差对个股暴跌的影响41-42
        4.5.3 不同市场行情对分析师乐观性偏差和个股暴跌关系的影响42-43
        4.5.4 分析师声誉对分析师乐观性偏差和个股暴跌关系的影响43-45
5 研究结论、不足及启示45-48
    5.1 研究结论45
    5.2 研究不足和未来展望45-46
    5.3 研究启示46-48
致谢48-49
参考文献49-52
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