分析师跟进及其对股价同步性的影响

发布时间：2018-03-10 06:15

本文选题：分析师跟进　切入点：股价同步性　出处：《哈尔滨工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：证券分析师在市场和投资者之间起到重要的纽带和桥梁作用,帮助投资者获得相应的市场信息,以便于其能够做出正确的决策。证券分析师获取到的信息,有的来自于上市公司公布的公告和财务报表等对外公开的文件,有的则来自于分析师个人通过电话、采访、调研等多种渠道所了解到的属于私人的信息。证券分析师通过掌握的信息,根据个人专业素养做出分析和预测,并通过发布的报告向市场传递有效信息。可以说,证券分析师通过报告等方式,向市场投资者传递了信息,增加了投资者获取信息的渠道,确保信息的“质”和“量”同时提高,能够提高证券市场的信息利用效率和传递效率。因此,本文采用了2011年-2016年中国中小板企业的最新数据,从分析师跟进的角度,分析影响分析师行为的主要因素,并在此基础上,深入分析分析师跟进行为对于股价同步性方面的影响,希望本文的研究能够为证券市场的监管提供一定的思路,同时帮助监管机构和投资者认识到分析师的作用,以及提高资本市场的运行效率。本文构建了分析师跟进与股价同步性的关系模型、分析师跟进人数影响因素模型等,对于相关的样本数据进行统计性分析和实证分析,并对模型之间变量的多重共线性进行了检验,同时在回归分析中采用了内生性处理、并且采用增加样本量、变量替换、去掉极大值和极小值等方法进行了稳健性检验,从而确保实证分析结果的有效性。进一步的针对本文实证分析的结果,提出相应的政策建议。主要包括完善证券分析师相关规范制度、提高上市公司的信息披露质量、提高证券分析师的专业素养、理性选择跟踪的上市公司等。通过研究本文主要得出以下结论;一是分析师跟踪人数和上市企业规模,股票换手率,公司净资产回报率呈现出较为显著的正相关关系,与股权集中度呈负相关。上市企业规模越大,换手率越高,资产回报率好的获得的分析师关注度越高,分析师跟踪人数越多,而股权越集中,分析师跟进的人数相对来说越少。二是分析师预测偏差值则和企业规模,股票换手率,有着较为显著的负相关关系。即上市公司规模越大,股票换手率越高,则分析师预测偏差值越小,分析准确度越高。三是分析师跟进人数与股价同步性呈现出负相关的关系,即分析师跟进人数越多,股价同步性越低。四是分析师盈余预测准确度与股价同步性呈负相关的关系,即分析师盈余预测准确度越高,股价同步性则越低。
[Abstract]:Securities analysts play an important role as a bridge between the market and investors, helping investors to obtain the appropriate market information so that they can make the right decision. Some came from publicly published documents such as public announcements and financial statements issued by listed companies, and others came from individual analysts who spoke over the phone and interviewed them. Private information learned through research and other channels. Securities analysts make analyses and forecasts based on their personal expertise through the information they have, and transmit effective information to the market through the reports they publish. We can say that, Through reports and other means, securities analysts have passed on information to market investors, increasing the channels for investors to obtain information, and ensuring that the "quality" and "quantity" of information are improved at the same time. It can improve the efficiency of information utilization and transmission in the securities market. Therefore, this paper uses the latest data of Chinese small and medium-sized board enterprises from 2011 to 2016 to analyze the main factors that affect the behavior of analysts from the perspective of analysts' follow-up. And on this basis, in-depth analysis of the impact of analysts' follow-up behavior on the synchronization of stock prices, I hope this study can provide some ideas for the regulation of the securities market. At the same time, it helps regulators and investors realize the role of analysts and improve the efficiency of capital markets. The statistical analysis and empirical analysis of relevant sample data are carried out, and the multiple collinearity of variables between models is tested. At the same time, the endogenous treatment is adopted in regression analysis, and the sample size is increased and the variables are replaced. In order to ensure the validity of the empirical analysis results, the methods such as removing the maximum value and the minimum value are tested to ensure the validity of the empirical analysis results. Put forward corresponding policy recommendations. Mainly include perfecting the relevant normative system of securities analysts, improving the quality of information disclosure of listed companies, and improving the professional literacy of securities analysts. The main conclusions are as follows: first, there is a significant positive correlation between the number of listed companies tracked by analysts and the size of listed enterprises, stock turnover rate, and return on net assets of the company. The bigger the listed company is, the higher the turnover rate is, the higher the attention of the analysts who get the better return on assets, the more the number of analysts tracking, and the more concentrated the equity. The smaller the number of analysts following up, the less significant negative correlation exists between the deviation value of analysts' forecast and firm size, stock turnover rate, that is, the larger the listed company size, the higher the stock turnover rate. The smaller the deviation, the higher the analysis accuracy. Third, there is a negative correlation between the number of analyst followers and the synchronicity of stock prices, that is, the more analysts follow up, Fourth, there is a negative correlation between the accuracy of earnings forecast and the synchronicity of stock prices, that is, the higher the accuracy of forecasting earnings, the lower the synchronicity of stock prices.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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