摘要
在我国,证券分析师是一个新兴职业,其主要职责是收集和分析上市公司信息,对上市公司的盈利和投投资价值进行预测和判断,以满足投资者对上市公司价值相关信息的需求。可是,由于信息不对称、证券分析师面临利益冲突等因素的影响,市场存在各种摩擦,使得证券分析师与投资者之间的目标并不一致,导致证券分析师发布的盈余预测报告存在系统性的乐观倾向,从而在一定程度上误导了投资者,扭曲了市场价格。从2001年起,国内券商研究所掀起了以国际领先投资银行和经纪券商分析师报告为标准、以基本分析为主导的分析师行业转型的浪潮,国内券商的研究所从成本中心向利润中心转型,服务模式也开始从对内服务转向为对投资者服务的模式,盈利模式也确立为“研究换分仓佣金”的模式,这些变化更是加剧了证券分析师独立性丧失的情况。最终在近年连续爆出多起负面新闻,证券分析师行业的道德也受到广泛质疑。
尽管证券分析师盈余预测存在普遍的乐观倾向,但是证券分析师盈余预测的准确性仍然高于时间序列统计模型的预测,这就启发本文从市场机制的角度重新审视证券分析师行业。证券分析师固然面对巨大的利益冲突,但证券分析师同样受到市场的正面激励,如良好声誉带来的个人收益的提高。正是这两种不同方向的力量同时作用于证券分析师,使得一部分证券分析师的盈余预测具有稳健的倾向,而另一部分证券分析师的盈余预测具有过度乐观的倾向。而具有稳健倾向的证券分析师,构成了证券分析师行业的自律机制,保证了证券分析师信息中介功能和治理功能的发挥。
基于这些背景,本文将对具有稳健倾向的证券分析师及其经济后果展开研究。具体来说,本文首先研究如何定义证券分析师盈余预测的稳健倾向；接着,本文研究具有稳健倾向的证券分析师的动机；然后,就具有稳健倾向的证券分析师在中介作用上的表现进行研究,将从稳健倾向证券分析师盈余预测修正的市场反应、盈余预测准确性以及盈余预测准确性差异的原因等角度展开论述；最后,本文研究具有稳健倾向的证券分析师的治理功能,检验具有稳健倾向的证券分析师是否具有外部治理作用。
本文综合运用规范分析和实证分析的方法,就证券分析师盈余预测倾向的划分方法及其动机、稳健倾向对证券分析师中介功能和治理功能的影响进行了研究,其中,实证分析方法除了使用最小二乘法,还结合使用了Logit回归、Probit回归以及为减小内生性问题影响而使用的两阶段最小二乘法。
本文在内容结构上共分为七大部分：
第一部分,导论。该部分主要介绍本研究的研究背景、研究目的、研究的理论意义和现实意义、研究使用的方法；然后,利用研究思路图和论文的结构安排,就本研究的基本思路进行介绍；最后,对本研究可能产生的创新进行介绍。
第二部分,文献综述。首先,是有关证券分析师资本市场中介作用的文献回顾,包括证券分析师盈余预测准确性、盈余预测的信息含量、证券分析师特征、证券分析师跟踪的效果等。其次,是有关证券分析师乐观倾向及其成因方面的文献回顾。接着,是有关证券分析师治理作用方面的文献回顾。最后,是文献评述,在总结本部分回顾的已有研究的特点的基础上,分析及提出了证券分析师相关领域存在的研究机会。
第三部分,行业背景与理论分析。该部分首先就证券分析师的分类和证券分析师的工作内容进行了介绍。然后,该部分着眼于构建证券分析师盈余预测倾向的理论研究框架：从证券分析师不同盈余预测倾向的形成机理展开论述,通过代理理论和声誉理论,分析了不同证券分析师预测倾向的成因；然后从证券分析师的中介功能的角度,结合有效市场假说、市场微观结构理论和治理理论,论述证券分析师盈余预测倾向对证券分析师中介作用的影响；最后,从证券分析师的治理功能的角度,通过分析证券分析师在缓解逆向选择问题和道德风险问题上的作用,论述证券分析师盈余预测倾向对其治理作用的影响。
第四部分,证券分析师盈余预测倾向的界定。该部分是全文实证分析的基础。该部分首先就如何界定证券分析师盈余预测的稳健倾向,进行了分析,将具有盈余预测稳健倾向的证券分析师定义为：面对不利消息做出的反应比面对有利消息时做出的反应更强烈的证券分析师。通过使用Hugon和Muslu(2010)的模型,本研究可以通过使用客观经验数据,用数量分析的方法对证券分析师的盈余预测倾向进行区分。接着,该部分就稳健倾向证券分析师的动机进行了研究,发现稳健倾向的证券分析师更有可能供职于优质的证券公司,从而有利于稳健倾向的证券分析师获得更好的职业发展和更高的未来报酬,因此,本研究将具有稳健倾向的证券分析师的动机,归结为追求最大化个人利益。
第五部分,证券分析师盈余预测中介功能的分析。该部分研究盈余预测倾向对证券分析师中介作用的影响。首先,该部分就资本市场对证券分析师盈余预测倾向的识别进行研究,发现资本市场对稳健倾向的证券分析师做出的盈余预测修正的反应更为强烈。其次,该部分就稳健倾向证券分析师盈余预测的准确性进行了研究,发现稳健倾向证券分析师发布的盈余预测具有更高的准确性。然后,本文就稳健倾向证券分析师盈余预测准确性进行了分析,通过研究上市公司企业社会责任信息与稳健证券分析师盈余预测准确性之间的关系,发现稳健倾向证券师盈余预测的提高,是因为其信息渠道的拓宽,从而获得了一定程度的信息优势。最后,该部分还就稳健证券分析师传递增量信息的能力进行研究,发现稳健倾向证券分析师的跟踪,有助于市场将企业社会责任信息——这一非财务信息包含在公司的价值中。
第六部分,证券分析师盈余预测治理功能的分析。该部分研究盈余预测倾向对证券分析师治理作用的影响。该部分首先发现,稳健倾向的证券分析师的跟踪将有助于提高公司的价值。接着,该部分就稳健倾向证券分析师的跟踪是如何对公司价值起到促进作用的内部机理进行了研究,研究从稳健倾向证券分析师能否抑制公司管理层过度投资冲动的角度进行,发现稳健倾向的证券分析师的跟踪对公司管理层形成了压力,迫使其放弃净现值为负的投资项目,从而支持了稳健倾向证券分析师具有治理作用的观点。
第七部分,研究结论与研究展望。该部分首先总结本研究在之前章节取得的研究成果,接着分析本研究存在的不足之处,最后提出本研究进一步研究的方向。
本文的主要研究结论为：
(1)在对证券分析师盈余预测倾向进行界定之后,本文对证券分析师稳健倾向的动机进行了分析。研究结果表明,稳健证券分析师的动机是出于最大化个人利益的考虑。相比过于乐观的证券分析师,稳健倾向的证券分析师更可能就职于优质券商,从而获得更好的职业发展机会,在长期来看,能够获得更稳定、更丰厚的报酬。
(2)在中介功能方面,具有稳健倾向的证券分析师出于维护自身声誉的考虑,会对“坏消息”做出更强烈的反应,从而避免发布过于乐观的盈余预测。在证券分析师盈余预测普遍乐观的背景下,就使得稳健倾向的证券分析师的盈余预测更客观、更接近实际情况,因此,稳健倾向证券分析师做出的盈余预测调整会引起更大的市场反应,盈余预测也更为准确,能向市场传递更为有效的信息。此外,稳健倾向的证券分析师也更注重对非财务信息的使用,他们会更多关注和分析目标上市公司披露的企业社会责任信息,从中挖掘价值相关信息,有助于缓解企业社会责任信息的供需矛盾,增加资本市场对社会责任信息的认可。
(3)在治理功能方面,本文发现,证券分析师对目标上市公司的跟踪关注,可以起到一定的外部监督和治理作用,表现为证券分析师对上市公司的过度投资具有约束力。而稳健倾向的证券分析师能够在当中起到更积极的作用,凭借其良好的个人声誉,对上市公司的过度投资行为进行更有力的约束。
本文的创新点体现在如下几个方面：
首先,在研究的内容上,本文构建了研究证券分析师盈余预测倾向经济后果的理论分析框架。这一理论框架从证券分析师盈余预测具有不同倾向的原因作为逻辑起点,通过代理问题分析了证券分析师的盈余预测乐观倾向；声誉理论分析了证券分析师盈余预测的稳健倾向的动机。然后,通过市场微观结构理论和市场有效假说,对不同倾向的证券分析师所能发挥的中介功能进行了论述；最后,通过分析不同倾向证券分析师在缓解逆向选择和道德风险两种代理问题上的治理功能进行了分析。
其次,在研究角度上,本文着重分析了证券分析师的稳健倾向。不同于国内研究把重心都放在证券分析师乐观倾向和证券分析师利益冲突上,本文是对证券分析师的稳健倾向进行了深入分析：先建立证券分析师盈余预测倾向的分类标准,再对证券分析师不同盈余预测倾向的成因及其经济后果进行研究。因此,本文为构建完整的证券分析师研究框架提供了新的思路,本文所采用的分类标准实为抛砖引玉,希望能引起更多学者对证券分析师行业进行更细致的划分,以弥补现有研究框架的局限。
第三,在研究的具体操作层面上,本文对证券分析师信息来源进行了拓展。不同于已有研究更多地将证券分析师使用的信息局限在财务信息的做法,本文利用企业社会责任信息——这一非财务信息,对证券分析师的中介作用的发挥进行了探讨。非财务信息和财务信息都是上市公司信息披露的组成部分,因此,包括证券分析师在内的信息中介、投资者等,都应给予足够的关注,本文有关证券分析师如何使用非财务信息的研究,除了丰富证券分析师的相关研究之外,对上市公司非财务信息披露的实践也具有一定的参考价值。
The security analyst is an emerging profession in China. Its main responsibility is to meet investors' demand of value relevant information through distributing earnings forecasts and recommendations of listed companies. Due to asymmetric information, however, analysts face severe conflicts of interest and their independence is eroded. The presence of this market friction pushes interest between security analysts and investors inconsistent. Therefore, analysts are inclined to release optimistic earnings forecasts, which mislead investors and distort market price. Since2001, domestic investment banks targeting leading international prestigious investment banks, set off a wave to restructuring the industry. Institutes of domestic investment banks transferred from a cost center to a profit center, which exacerbated the erosion of analysts' independence. In the end, analysts' morality has been widely questioned after continuous bursts of negative news were disclosed inside analyst industry.
Although there is widespread optimistic tendencyin analysts' earnings forecasts, the accuracy of analysts' earnings forecasts are still higher than the time-series statistical models. This inspired us to re-examine the analyst profession within market mechanisms. Though severe is the conflicts of interest analysts face, there are also positive incentive in the market, taking good reputation bringing long-term personal income for example. It is these two opposite forces acting on the securities analysts, making part of the analyst is more conservative, while another part of analysts is more aggressive. The conservative analystsconstitute an analyst profession self-regulatory mechanism, and hence assure analysts' information intermediaryfunction and corporate governance functions.
Based on this background, this article will study on conservative analysts and their economic consequences. Specifically, this paper first studies how to distinguish analysts' tendency, and then, explores the motive of conservative analysts. Second, we study the effect of conservative tendency on analysts' intermediary function from a broad view like the accuracy of earnings forecasts, reasons for the accuracy differences. Last but not the least, we examine whether analysts followings have a positive effect on corporate governance and what role do analysts'tendency play in this effect.
in this paper, we use both theoretical analysis and empirical analysis to fulfill research purposes. We use OLS method, Logit regression, Probit regression and Heckman2SLS method in empirical study.
The arrangements of the paper are as follows:
Chapter One:Introduction. This section introduces the research background, theoretical and practical significance of the study, the research methods used, the logics of the research, overall framework and innovation of this study.
Chapter Two:Literature Review. This section first reviews analysts intermediary role in the capital market, including accuracy of earnings forecasts, information content of earnings forecasts, characteristics of analysts and the effect of analysts following. Then, this section reviews the reason of analysts' optimistic tendency. It also reviews analysts' corporate governance effect. At the end of this chapter, we summarize the research opportunities in analysts' research.
Chapter Three:Industry Background and Theoretical Analysis. This chapter briefly introduces the major responsibility of analysts. Then, this chapter builds a research framework for discussing the mechanism of analysts'tendencies. Agent theory and reputation theory provides insights about the causes of analysts' different tendencies. Efficient Market Hypothesis, Market Microstructure Theory, Governance theory provides insights about analysts' intermediary effect. The last part of this chapter discusses the corporate governance effect on mitigating adverse selection and moral hazard problems.
Chapter Four:Defining Analysts' Earnings Forecasts Tendencies. This chapter is the basis of the empirical analysis. It defines conservative analysts are those who make stronger revisions in response to bad news versus good news relative to their peers. The rest of this chapter mainly discusses on the motive of conservative analysts. The results suggest that conservative analysts' can be benefit from future career advancement.
Chapter five:Intermediary Effect of Earnings Forecasts. This chapter discusses how analysts' tendencies affect analysts'intermediary effect. In this section, we first test whether capital market can identify different tendencies of analysts. Then, we discusses whether conservative analysts can provide more accurate earnings forecasts. Taking advantage of nonfinancial information like corporate social responsibility information, we test whether analysts get a higher accuracy forecasts by using a broad information sources.
Chapter Six:Corporate Governance Effect of Earnings Forecasts. This chapter discusses how analysts' tendencies affect analysts' corporate governance effect. We first find a positive relation between analysts following and value of listed companies, and the more the conservative analysts follow, the higher the value of the listed company. Then we dig into how analysts followings affect company value by using an over invest analysis framework.
Chapter Seven:Conclusion. This chapter summarizes the conclusions and shortcomings of this study. It also points out future research opportunity.
The main findings of this paper are as follows:
First, the motive of conservative analysts is to maximize their personal gain. Comparing to those aggressive analysts, conservative analysts are more likely to be hired by prestigious investment banks and therefore, have a more promising career development.
Second, conservative analysts react more to bad news relative to good news, making their earnings forecast much closer to reality. Our empirical results suggest that earnings forecasts released by conservative analysts are more accurate, and can lead to stronger market reaction. Besides, the higher accuracy of conservative analysts' earnings forecasts can be attributed to a broad information sources used by conservative analysts. They not only dig in value relevant information from non-financial information like corporate social responsibility information, but also help the capital market to integrate information into price.
Third, we find that analysts followings have a positive effect on value of the listed company. Further research suggests that this is mainly because analyst following can limit company managers'opportunistic behavior by constraining their overinvestment. The more conservative the analyst is, the stronger their governance effect is.
The innovations of this paper are as follows:
First, we build a theoretical analysis framework to study on the economic consequences of analyst earnings forecasts. It derives of two basic theories:agent theory, which underlines analysts' optimistic tendency and reputation theory, which underlines analysts'conservative tendency. These two opposite tendency consists of the logic starting point of our research. Then, we put intermediary function and governance function on this cornerstone, by using efficient market hypothesis, market microstructure theory and governance theory.
Second, unlike most researches focus on analysts'optimistic tendency, we emphasizes on conservative tendency of analysts. We make a clear definition about conservative tendency, and then study on its cause and its economic consequences, which provides new perspective on analyst related researches.
Third, we use nonfinancial information to discuss analysts' intermediary effect. Because financial and nonfinancial information are both significant sources, our study can help market participants understand how analysts make use of all these kinds of information, which also have a practical value on how listed companies disclosing nonfinancial information.
引文
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