分析师的分歧,自我选择,和股票回报

IF 2.6 3区 经济学 Q1 Business, Management and Accounting
Liang Wu, Yunshen Long, Wenyue Li, Bingyan Wu
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引用次数: 0

摘要

本文引入两个事前变量来表征分析师的偏见行为,即分析师对收益预测的不同意和自我选择。本研究考察了分析师的意见分歧和自我选择对股票收益的影响。理论分析得出股票收益如何与这两个变量相关。根据分析师的不同意见,股票有两种定价渠道。第一个是风险渠道,因为分析师的分歧与盈利不确定性有关。股票价格将在实际收益公布之前进行贴现。第二个是乐观偏差通道。乐观偏见通道意味着如果投资者不纠正分析师的偏见,股票就会被高估。自我选择通过乐观偏差通道与股票收益呈负相关,因为自我选择越多意味着乐观偏差越大,因为低预测值不会显示出来。利用中国股市数据进行的实证分析支持了理论结论。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
ANALYSTS’ DISAGREEMENT, SELF-SELECTION, AND STOCK RETURNS
Two ex-ante variables are introduced to characterize the analysts’ biased behavior, namely the analysts’ disagreement and self-selection in analysts’ earnings forecasts. The study investigates the impact of the analysts’ disagreement and self-selection on the stock returns. A theoretical analysis derives how the stock returns are correlated with the two variables. There are two channels through which the stocks are priced according to the analysts’ disagreement. The first one is the risk channel as the analysts’ disagreement is associated with earnings uncertainty. The stock price will be discounted before the actual earnings announcement. The second one is the optimistic bias channel. The optimistic bias channel means that the stock is overpriced if the investors do not correct the analysts’ bias. The self-selection is negatively correlated with the stock return through the optimistic bias channel as more self-selection means more optimistic bias as low forecasting values are not revealed. The empirical analysis using data from the Chinese stock market supports the theoretical conclusion.
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来源期刊
CiteScore
5.80
自引率
3.80%
发文量
48
审稿时长
15 weeks
期刊介绍: The Journal of Business Economics and Management is a peer-reviewed journal which publishes original research papers. The objective of the journal is to provide insights into business and strategic management issues through the publication of high quality research from around the world. We particularly focus on research undertaken in Western Europe but welcome perspectives from other regions of the world that enhance our knowledge in this area. The journal publishes in the following areas of research: Global Business Transition Issues Economic Growth and Development Economics of Organizations and Industries Finance and Investment Strategic Management Marketing Innovations Public Administration.
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