信息源、信息搜寻与市场吸收效率——基于证券分析师盈利预测修正的经验证据
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财经研究 2008 年 第 34 卷第 05 期, 页码：65 - 76
摘要
参考文献
摘要
文章研究了证券分析师盈利预测修正的信息源和信息含量以及市场对盈利预测修正所含信息的吸收效率。研究发现,证券分析师在进行盈利预测修正时不仅考虑了两次预测之间已为投资者所知的公开信息,而且能够为市场提供公司层面的增量信息,提高市场的定价效率。进一步的研究还发现,投资者对分析师盈利预测修正的反应与其调整的幅度呈正相关,同时他们还关注分析师作出盈利预测修正时的信息来源,当分析师在年报公布期间进行修正时,市场的反应要更为强烈。此外,研究结果也表明,投资者并没有及时地吸收分析师盈利预测修正所含的信息,即市场对盈利预测修正的反应存在着漂移的现象。
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[3]吴东辉,薛祖云.对中国A股市场上财务分析师盈利预测的实证分析[J].中国会计与财务研究,2005,(1):1-27.
[4]朱宝宪,王怡凯.证券媒体选股建议效果的实证分析[J].经济研究,2001,(2):51-57.
[5]朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场的效率吗?——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007,(2):110-121.
[6]Abarbanell J,BJ Bushee.Fundamental analysis,future earnings,and stock prices[J].Journal of Accounting Research,1997,(1):1-24.
[7]Bandyopadhyay S P,LD Brown,GD Richardson.Analysts’use of earnings forecasts inpredicting stock returns:Forecast horizon effects[J].International Journal of Forecas-ting,1995,(11):429-445.
[8]Brown Lawrence D,Michael S Rozeff.The superiority of ananlyst forecasts as meas-ures of expectations:Evidence from earnings[J].The Journal of Finance,1978.(1):1-16.
[9]Chan L K,NJegadeesh,J Lakonishok.Momentumstrategies[J].Journal of Finance,1996,51:1681-1713.
[10]Fernadez Frank A.The role and responsibilities of securities analysts[R].SecuritiesIndustry Association Research Report,2001.
[11]Givoly,Lakonishok.The formation of earnings expectations[J].The Accounting Re-view,1985,60:372-386.
[12]Gleason Cristi A,Charles M C Lee.Analyst forecast revisions and market price dis-covery[J].The Accounting Review,2003,78:193-225.
[13]Laderman J M.How much should youtrust your analyst?[J].Business Week,1990,23:54-56.
[14]O’Brien P C.Analysts’forecasts as earnings expectations[J].Journal of Accountingand Economics,1988,(10):53-83.
[15]Park Chul W,Earl K Stice.Analyst forecasting ability and the stock price reaction toforecast revisions[J].Reviewof Accounting Studies,2000,(5):259-272.
[16]Schipper K.Commentary on analysts’forecasts[J].Accounting Horizons,1991,(5):105-121.
[17]Stickel S E.Predictingindividual analyst earnings forecasts[J].Journal of AccountingResearch,1990,(3):157-179.
[18]Thomas LYS,Sungkyu SOHN.The association between revisions of financial ana-lysts’earnings forecasts and security-price changes[J].Journal of Accounting and Eco-nomics,1990,13:341-363.
引用本文
朱红军, 何贤杰, 陶林. 信息源、信息搜寻与市场吸收效率——基于证券分析师盈利预测修正的经验证据[J]. 财经研究, 2008, 34(5): 65–76.
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