中國股市機構一致性預期評級研究︰群體獨立性與價值

Research on the Consensus Expectation Rating in Chinese Stock Market: Group Independence and Value

Student thesis: Doctoral Thesis

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Award date26 Feb 2018

Abstract

隨著我國證券市場的不斷發展,股票投資者在做投資決策時越來越重視證券分析師的研究報告,其中,分析師的一致性預期評級益發顯得重要。一致性預期評級指的是所有賣方證券分析師在一段時期內對股票投資評級的平均值,反映了分析師群體對某一股票價值的判斷。

一般而言,投資者對分析師的基本要求是保持獨立性並且能夠較專業地給出研究報告和股票評級,但由於分析師身處微妙的利益關係網中,不僅要服務所屬機構,還要面向上市公司與投資者。在各方利益混合中,分析師的獨立性往往受到一定的壓力。一致性預期評級反映的是群體性行為,這種群體性行為是否具有獨立性?一致性預期評級對投資者有借鑒意義嗎?可否作為投資決策的參考維度?進一步,分析師的一致性預期評級若對投資具有價值,投資者應如何使用?

本文根據多年的市場實踐經驗,選擇了投資機構股票參與程度、股票公司中長期每股收益(EPS)作為引數,以分析師跟蹤度、股票公司的規模作為調節變數,以機構一致性預期評級及其變化作為因變數,研究了分析師評級的獨立性及其對投資的參考價值。

針對研究問題,本文選取了2010年到2015年末A股市場的資料進行實證分析。通過分層抽樣的方式分別從主機板、中小板、創業板選取股票,統計每一檔股票一定時期內的評級,並使用CSMAR打分系統後得到每檔股票的一致性預期評級。然後,通過構建多元回歸模型進行實證分析,研究結果表明:(1)評級機構一致性預期與投資機構的股票參與程度具有顯著正相關性,並且該相關性與分析師跟蹤度和公司規模相關:分析師跟蹤度較高的股票一致性預期評級更高,而跟蹤度較低的股票則一致性預期評級較低;規模越大的公司,投資機構參與程度對一致性預期的影響越顯著。該結果意味著分析師的一致性預期評級受到了投資機構的影響,缺乏獨立性。(2)評級機構一致性預期評級的變化與股票公司實際EPS變化具有相關性:當股票公司中長期EPS正向變化時,一致性預期評級變動呈正向變化,當中長期EPS負向變化時,一致性預期評級無顯著變化。該相關性也與分析師跟蹤度和公司規模具有一定相關性:分析師跟蹤度對一致性預期評級變化有一定影響,但並不顯著;公司規模對評級機構的一致性預期評級變化有一定影響,但並不顯著。該結果意味著分析師的一致性預期能夠一定程度上反映股票公司的未來發展情況,即對於分析股票公司的價值具有一定參考意義。

根據上述實證分析結果,本文認為機構一致性預期評級的有效性是“期限型”的,市場上不同類型的投資者——動量型投資者與價值型投資者應有選擇地利用一致性預期評級。對動量投資者而言,可將其視為“噪音”,而對價值投資者而言,可將其作為投資決策的一個參考維度。
With the continuous development of China's security market, stock investors are paying more and more attention to the research report delivered by the security analyst, especially the consensus expectation rating, which refers to the average value of the stock investment rating of all seller securities analysts over a period of time. It reflects the judgment of the analyst group on the value of a stock.

In general, the basic requirements of analyst from investors is to remain independent and give more professional research report and stock rating, but analysts are not only to serve belonging institutions, but also responsible for the stock companies and investors. Analysts often face pressure in independence when they are in the subtle relationships. Consensus expectation rating reflect group behavior, and does this independence behave as a group? Can Consensus expectation rating serve as a reference for investors? Can it be used as a reference dimension for investment decisions? Furthermore, if analysts' Consensus expectation rating are valuable for investment, how should investors use it?

Based on many years of practice experience in the security market, this paper select the stock investment institutions participation, stock company long-term earnings per share (EPS) as independent variables, and analysts tracking, stock company scale as adjustment variables, and consensus expectation rating and change as the dependent variable to research the independence of analysts’ rating and its reference value on investment.

This paper selects the data of Chinese stock market from 2010 to the end of 2015 for empirical analysis. Through stratified sampling, it selects stocks from the main board, small and medium-sized board, and start up board, then it counts the rating of each stock for a certain period, and gets the consensus expectation rating of each stock through using CSMAR scoring system. The analysis results show that: (1) the consensus expectation rating and investment institutions stock participation has significant positive correlation, and the correlation relates to the analyst tracking and firm size: the higher degree of tracking, the higher degree involve of the investment institutions; the smaller the size of the company, the more significant influence on the consensus expectation rating. This result implies that the analysts' consensus expectations rating is influenced by investment institutions and lacks independence. (2) The consensus expectation rating’s change is correlated with the actual EPS change of the stock company: the former is positively change when the latter grows up, but the former is not significant change when the latter grows down. This correlation is also related to the analyst tracking and firm size: the higher degree of tracking, the more significant influence on the consensus expectation rating change; the smaller the company, the greater impact of the medium and long term EPS changes on the consensus expectation rating. This result implies that the consensus expectation rating can reflect the future development of stock companies to a certain extent, so it has some reference value for the analysis of the value of stock companies

Based on the above analysis, this paper argues that the validity of the consensus expectation rating is "period type". Different types of investors in the market should choose to use the consensus expectation rating. For momentum investors, it can be regarded as "noise", but for value investors, it can be used as a reference dimension of investment decision-making.

    Research areas

  • consensus expectation rating, independence, momentum investment, value investment