分析师修正信息、基本面分析与未来股票收益

分析师修正信息、基本面分析与未来股票收益北京大学光华管理学院,北京 100871;
江苏汇鸿汇升投资管理有限公司,江苏南京 210000Analysts' Revisions, Fundamental Analysis and Future Stock ReturnsZHANG Ran, WANG Rongfei, WANG ShenghuaGuanghua School of Management, Peking University;
Jiangsu Highhope Wisdom Capital 摘要参考文献 相关文章推荐阅读 摘要 本文基于日历时间组合方法检验中国A股市场分析师修正信息的投资价值。研究发现,分析师发布的盈余预测修正和投资评级修正最具信息含量,投资者既未充分意识到两类修正的信息含量,也未充分意识到明星分析师和普通分析师能力的差别。根据分析师盈余预测修正和投资评级修正构建套利组合,能分别获得月均1.34%和0.92%的经三因子模型调整的超额收益。本文进一步指出,分析师修正信息的投资价值来源于其基本面分析的能力。分析师盈余预测修正和投资评级修正能够显著预测公司未来的盈利能力、标准化未预期盈余和盈余公告窗口期超额收益,并且套利组合的超额收益集中在盈余公告窗口期。本文的结论对于理解分析师在资本市场中发挥的作用、提高市场有效性具有重要意义。服务把本文推荐给朋友加入引用管理器 E-mail AlertRSS收藏文章（0）作者相关文章张然 汪荣飞 王胜华关键词: 分析师 基本面分析 股票收益 投资策略   Abstract: This paper investigates the investment value of revisions provided by security analysts. Using calendar time portfolios based on public available data, we find both earnings revisions and recommendation revisions have incremental information, and the market prices fail to fully reflect the information content as well as the differences in abilities between star analysts and ordinary analysts. Hedge portfolios based on earnings revisions and recommendation revisions can earn monthly three-factor model adjusted returns of 1.34% and 0.92%, respectively. Furthermore, we find the investment value of analyst revisions derives from their ability of fundamental analysis. Both earnings revisions and recommendation revisions can predict future profitability, unexpected earnings, and abnormal returns around earnings announcement days. 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