分析师是否在中国传播异常信息?

IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Fang Qiao
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引用次数: 0

摘要

本研究探讨了在中国,卖方分析师能否传播与异常处方一致的信息。我采用了 192 种基于交易和会计的异常信号来识别被低估和被高估的股票。结果显示,分析师倾向于对被低估(高估)的股票做出更有利(更不利)的推荐和盈利预测。在信息内容方面,分析师的建议和盈利预测符合会计信息而非交易信息。此外,分析师的建议和盈利预测与异常情况一致,尤其是对于信息环境相对较差的公司。这些结果表明,中国分析师可以缓解异常股的错误定价,提高市场效率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Do analysts disseminate anomaly information in China?

This study examines whether sell-side analysts can disseminate information consistent with anomaly prescriptions in China. I adopt 192 trading- and accounting-based anomaly signals to identify undervalued and overvalued stocks. Results show that analysts tend to make more (less) favorable recommendations and earnings forecasts for undervalued (overvalued) stocks. Regarding the information content, analyst recommendations and earnings forecasts are consistent with accounting- rather than trading-based information. Additionally, analyst recommendations and earnings forecasts are consistent with anomalies, especially for firms with a relatively poor information environment. These results indicate that Chinese analysts can mitigate anomaly mispricing and improve market efficiency.

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来源期刊
CiteScore
6.40
自引率
5.40%
发文量
262
期刊介绍: The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.
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