【作者】 阮玮仕；

【导师】 廖理；

【作者基本信息】 清华大学 ， 应用经济学， 2010， 硕士

【摘要】 证券分析师一直以来被认为是解决现代公司制度委托代理问题的重要机制。分析师的作用类似于信息中介,通过各种途径搜集、分析公司信息,并以盈利预测、投资评级等方式将信息传递给投资者。但是,学术界逐渐发现,分析师在现实中的作用并不完全“中性”,反而来自上市公司管理层、分析师所在券商、分析师自身和投资者的影响因素都会“扭曲”分析师的行为。分析师羊群行为是分析师行为“扭曲”的表现之一。本文以2004年-2009年中国证券市场分析师盈利预测数据,以盈利预测大胆程度来衡量分析师羊群行为倾向,对分析师的羊群行为做了实证研究。本文想要探讨的三个主要问题是:首先,中国证券市场的分析师呈现怎样的羊群行为;其次,分析师羊群行为的驱动因素有哪些;最后,分析师的羊群行为对盈利预测的准确性有怎样的影响。研究发现,首先,分析师羊群行为的驱动因素主要包括市场氛围、预测时间长度、预测先发性等,这些影响因素同国外实证经验一致。但本文没有发现分析师能力/声誉是驱动羊群行为的主要因素,与国外实证经验不同。其次,分析师羊群行为会对其预测精准度有显著影响。但不同于国外的实证经验,本文发现羊群行为的预测往往更精准。更多还原

【Abstract】 Security analysts are traditionally considered to be an essential mechanism to solve the agency problems of modern corporation. Security analysts act as information intermediary as they collect and analyze company information and release the information via earnings forecasts and investment recommendations. However, the academy gradually finds that the role of analysts is not neutral in reality. Rather, influence from company management, security firms, analysts themselves and investors are all liable to distort analysts’behavior.Analysts’herding behavior is among the‘distortions’of behavior. This paper uses data of Chinese stock market spanning from 2004 to 2009 and examines the herding behavior of analysts’earnings forecasts (measured by earnings forecast boldness). The three main issues this paper tries to address is, firstly, what is the general picture of herding of Chinese stock analysts; secondly, what are the driving factors of analysts’herding behavior; lastly, how will analysts’herding behavior affects its influence on earnings forecasts accuracy.This paper finds that empirically, analysts’herding behavior is mainly driven by market atmosphere, forecast horizon, forecast timeliness, which is consistent with findings in US markets. But this paper fails to find the positive correlation between analysts’reputation and forecast boldness, which contradicts findings in the US market. Furthermore, the paper also finds the positive relationship between analysts’herding behavior and forecast accuracy, which contradicts findings in the US market.更多还原