证券分析师预测“变脸”行为研究——基于分析师声誉的博弈模型与实证检验; "Changed face" phenomena of security analysts' forecasting behaviors:A reputation game model and evidences | |
游家兴 ; 邱世远 ; 刘淳 | |
2013-06-15 | |
关键词 | 迎合行为 盈余预测 股票推荐 声誉博弈 catering behavior earnings forecast stock recommendation reputation game |
英文摘要 | 在金融市场上,证券分析师的预测行为通常会发生偏差.在股市高涨时,分析师随波逐流,常常发表过度乐观的预测;而当泡沫消退时,分析师则会掉头转向,发布与之前形成强烈反差的盈余预期或股票推荐.对于这种分析师基于市场状态而发布忽高忽低预测的“变脸行为“,传统的理论观点无法做出完整清晰的解释.本文试图将行为金融理论中日渐兴起的迎合理论纳入分析框架,运用声誉博弈分析的方式建立分析师迎合行为模型.该理论模型表明:为了提高自己的声誉以获得更多的利益,分析师会迎合投资者的先验信念而故意发布有偏的信息.基于中国的实证研究则为上述理论预期提供了有力的证据,表明了该模型的合理性和有用性,有助于认识激励机制扭曲下分析师预测行为发生系统性偏差的现象.; The analysts' forecasting behavior often has bias.In the stock market bubble period,the analysts are often irrational and over-optimistic.When the bubble crashes,the analysts issue the opposite earnings forecasts and downgrade stock recommendations.Traditional theories can't explain this fact clearly.This paper tries to introduce the catering theory and applies a reputation game model to analyze the analysts' catering behavior.The theoretical model shows that,because investors can't obtain the feedback timely,they will infer analysts' reputation according to their prior beliefs and the analysts' forecasts.In order to build a good reputation,the analysts are likely to cater investors' prior beliefs and issue biased forecasts.The evidence based on China also shows that analysts' forecasts are affected by the investors' prior beliefs,i.e.,sentiment,which exhibits obvious catering behavior.This supports the theoretical expectations of the reputation game model.; 国家自然科学基金资助项目(71232005;71102060;71102061;71002041;71062003) |
语种 | zh_CN |
内容类型 | 期刊论文 |
源URL | [http://dspace.xmu.edu.cn/handle/2288/103023] ![]() |
专题 | 管理学院-已发表论文 |
推荐引用方式 GB/T 7714 | 游家兴,邱世远,刘淳. 证券分析师预测“变脸”行为研究——基于分析师声誉的博弈模型与实证检验, "Changed face" phenomena of security analysts' forecasting behaviors:A reputation game model and evidences[J],2013. |
APA | 游家兴,邱世远,&刘淳.(2013).证券分析师预测“变脸”行为研究——基于分析师声誉的博弈模型与实证检验.. |
MLA | 游家兴,et al."证券分析师预测“变脸”行为研究——基于分析师声誉的博弈模型与实证检验".(2013). |
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