公平信息披露与分析师预测精度和分歧度.pdfVIP

摘 要 本文以2003 年至2009 年国泰安数据库（CSMAR ）中分析师对深圳主板A 股上市公 司的年度盈利预测数据为样本，研究了公平信息披露对分析师盈利预测精度和分歧度的影 响。实证检验发现：（1）分析师预测精度在规则实施后显著下降，其原因是公平信息披露 规则有效地限制了上市公司选择性信息披露行为，分析师私人信息减少了，并且由于中国 信息披露水平尚处于较低层次，分析师缺乏动力通过其他渠道弥补该信息缺口。同时随着 规则实施时间的推移，分析师预测精度在规则实施后期比初期有更显著的下降；与信息披 露质量及时准确的上市公司相比，对信息披露水平较差的公司，分析师盈利预测精度下降 幅度更大。（2 ）对于分析师盈利预测分歧度的变化，本文实证研究发现公平披露规则实施 后，分析师看法分歧程度显著增加了，原因在于公平披露规则导致分析师私人信息减少， 不同私人信息的获得渠道使得分析师拥有的信息差异程度增加了。本文的实证研究表明， 公平信息披露规则实施后，上市公司选择性信息披露数量减少了，分析师盈利预测质量下 降，分析师私人信息数量减少而信息环境的不确定性增加。 关键词：公平信息披露 证券分析师 信息环境 预测精度 预测分歧度 I Abstract On August 9,2006, Shenzhen Stock Exchange issued Regulation Fair Disclosure (hereafter Reg), which prohibits selective disclosure of material nonpublic information to certain financial analysts, institutional investors and other prior to making it available to the general public. Financial analysts are an important group of information intermediaries in the capital markets. Their reports, including both earnings forecasts and stock recommendations, are widely transmitted and have a significant impact on stock prices. The study empirically analyzes Reg’s impact on the accuracy and dispersion of sell-side analysts’ earnings forecasts using fixed-effects panel regressions that allow us to abstract from forecast seasonality and from analyst and company characteristics. Selecting a large number of yearly forecasts made over a nearly 7-year period surrounding FD’s adoption, I uncover two main sets of findings. First, individual forecasts become less accurate post-FD, particularly for early forecasts and for companies with poor information disclosure. Second, forecast dispersion increases post-FD. These results, which are quite robust to alternative empirical methodologies, suggest