证券分析师报告市场反应研究综述
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外国经济与管理 2006 年 第 28 卷第 12 期, 页码：40 - 47
摘要
参考文献
摘要
自20世纪60年代美国证券分析师行业形成以来,对分析师报告市场反应的研究一直都是金融学界最活跃、最前沿的热点课题之一。本文对该领域的研究文献进行了系统梳理,回顾了该领域的四大热点问题,讨论了不同学术观点的论战,展望了该领域未来的研究方向,以期能为国内学者有的放矢地开展该领域的研究提供一个清晰的理论脉络。
[1]Elton,Edwin J,Martin J Gruber,and Seth Grossman.Discrete expectational data and portfolio performance[J].Journal ofFinance,1986,41(3):699-713.
[2]Stickel,S.The anatomy of the performance of buy and sell recommendations[J].Financial Analyst Journal,1995,Septem-ber/October:25-39.
[3]Wormack,Kent L.Do brokerage analysts’recommendations have investment values?[J].Journal of Finance,1996,51(1):137-167.
[4]Bidwell,Clinton M.How good is the institutional brokerage research?[J].Journal of Portfolio Management,1977,3(2):26-31.
[5]Holloway,C.A note on testing an aggressive investment strategy using Value Line ranks[J].Journal of Finance,1981,36(3):711-719.
[6]Copeland,T,and D Mayers.The Value Line enigma(1965-1978):a case study of performance evaluation issues[J].Journal of Financial Economics,1982,10:289-321.
[7]Barber,B,R Lehavy,M McNichols,and B Trueman.Can investors profit from the prophets?Security analyst recommen-dations and stock returns[J].Journal of Finance,2001,56(2):531-563.
[8]Givoly,D,and J Lakonishok.The information content of financial analysts’forecasts of earnings:some evidence on semi-strong inefficiency[J].Journal of Accounting and Economics,1979,1:165-185.
[9]Stickel,S.Common stock returns surrounding earnings forecast revisions:more puzzling evidence[J].The Accounting Re-view,1991,66(2):402-416.
[10]Francis,Jennifer,and Leonard Soffer.The relative informativeness of analysts’stock recommendations and earningsforecast revisions[J].Journal of Accounting Research,1997,35(2):193-211.
[11]Brav,A,and R Lehavy.An empirical analysis of analysts’target prices:short-term informativeness and long-term dy-namics[J].Journal of Finance,2003,58(5):1933-1967.
[12]Asquith,Paul,Michael B Mikhail,and Andrea S Au.Information content of equity analyst reports[J].Journal of Finan-cial Economics,2005,75:245-282.
[13]Stickel,S.Reputation and performance among security analysts[J].Journal of Finance,1992,47(5):1811-1836.
[14]Mikhail,M,B Walther,and R Willis.Do security analysts improve their performance with experience?[J].Journal ofAccounting Research,1997,35(Supplement):131-166.
[15]Loh,R,and G Mian.Do accurate earnings forecasts facilitate superior investment recommendations?[J].Journal of Fi-nancial Economics,2006,Forthcoming.
[16]Huberman,G,and S Kandel.Market efficiency and Value Line’s record[J].Journal of Business,1990,63(2):187-216.
[17]Affleck-Graves,J,and R Mendenhall.The relation between the Value Line enigma and post-earnings-announcement drift[J].Journal of Financial Economics,1992,31:75-96.
[18]Jagadeesh,N,J Kim,S Krische,and C Lee.Analyzing the analysts:when do recommendations add value?[J].Journal ofFinance,2004,59(3):1083-1124.
[19]Ivkovic,Zoran,and Narasimhan Jegadeesh.The timing and value of forecast and recommendation revisions[J].Journal ofFinancial Economics,2004,73:433-463.
[2]Stickel,S.The anatomy of the performance of buy and sell recommendations[J].Financial Analyst Journal,1995,Septem-ber/October:25-39.
[3]Wormack,Kent L.Do brokerage analysts’recommendations have investment values?[J].Journal of Finance,1996,51(1):137-167.
[4]Bidwell,Clinton M.How good is the institutional brokerage research?[J].Journal of Portfolio Management,1977,3(2):26-31.
[5]Holloway,C.A note on testing an aggressive investment strategy using Value Line ranks[J].Journal of Finance,1981,36(3):711-719.
[6]Copeland,T,and D Mayers.The Value Line enigma(1965-1978):a case study of performance evaluation issues[J].Journal of Financial Economics,1982,10:289-321.
[7]Barber,B,R Lehavy,M McNichols,and B Trueman.Can investors profit from the prophets?Security analyst recommen-dations and stock returns[J].Journal of Finance,2001,56(2):531-563.
[8]Givoly,D,and J Lakonishok.The information content of financial analysts’forecasts of earnings:some evidence on semi-strong inefficiency[J].Journal of Accounting and Economics,1979,1:165-185.
[9]Stickel,S.Common stock returns surrounding earnings forecast revisions:more puzzling evidence[J].The Accounting Re-view,1991,66(2):402-416.
[10]Francis,Jennifer,and Leonard Soffer.The relative informativeness of analysts’stock recommendations and earningsforecast revisions[J].Journal of Accounting Research,1997,35(2):193-211.
[11]Brav,A,and R Lehavy.An empirical analysis of analysts’target prices:short-term informativeness and long-term dy-namics[J].Journal of Finance,2003,58(5):1933-1967.
[12]Asquith,Paul,Michael B Mikhail,and Andrea S Au.Information content of equity analyst reports[J].Journal of Finan-cial Economics,2005,75:245-282.
[13]Stickel,S.Reputation and performance among security analysts[J].Journal of Finance,1992,47(5):1811-1836.
[14]Mikhail,M,B Walther,and R Willis.Do security analysts improve their performance with experience?[J].Journal ofAccounting Research,1997,35(Supplement):131-166.
[15]Loh,R,and G Mian.Do accurate earnings forecasts facilitate superior investment recommendations?[J].Journal of Fi-nancial Economics,2006,Forthcoming.
[16]Huberman,G,and S Kandel.Market efficiency and Value Line’s record[J].Journal of Business,1990,63(2):187-216.
[17]Affleck-Graves,J,and R Mendenhall.The relation between the Value Line enigma and post-earnings-announcement drift[J].Journal of Financial Economics,1992,31:75-96.
[18]Jagadeesh,N,J Kim,S Krische,and C Lee.Analyzing the analysts:when do recommendations add value?[J].Journal ofFinance,2004,59(3):1083-1124.
[19]Ivkovic,Zoran,and Narasimhan Jegadeesh.The timing and value of forecast and recommendation revisions[J].Journal ofFinancial Economics,2004,73:433-463.
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郑方镳, 吴超鹏. 证券分析师报告市场反应研究综述[J]. 外国经济与管理, 2006, 28(12): 40–47.
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