中国股评家预测行为的实证研究.pdfVIP

中国股评家预测行为的实证研究 1 ( ) 文章编号 :1002 —1566 2003 03 —0001 —05 　　 中国股评家预测行为的实证研究 1 2 宋　军 , 　吴冲锋 (上海交通大学管理学院 ,上海 200030) 摘 　要 :本文以 2000 年在《中国证券报》上发表的股评家的预测文章为样本 ,建立了 3 组回归方程 来研究股评家对于大盘预测的准确性及影响预测的影响因素。研究结果发现 ,股评家的短期预测 平均而言是一个未来大盘收益率的一个反向指标。宠观的经济面信息、前一天的公众舆论和前 3 天的大盘平均收益率都对于股评家的预测有显著影响 ,其中以公众舆论的影响作用最大。在这些 因素中 ,宏观的经济面信息有助于提高股评家预测的准确性 ,而其他因素则降低了股评家预测的 准确性。 关键词 :股评家 ;正反馈 ;羊群行为 中图分类号:O212 文献标识码 :A The Empirical Research on the Forecasting Behaviors of Chinese Securities Ne wsletters SON G J un , 　WU Chongfeng (Management School , Shanghai Jiaotong University , Shanghai , 20030 ,China) Abstract :This paper takes the forecasting articles that appeared on China Securities in 2000 as the samples and es tablish 3 groups of regression equations to research the veracity of the index predictions by the securities newsletters and the factors that can influence the predictions. The results show that on average the shortterm prediction of the securities newsletters is a reverse index of the future movement of the index. All of the three factors , which are macroeconomics news , the consensus of the previous day and the average return of the previous three days , have sig nificant impact on the prediction of the newsletters and the consensus is the most predominant one. Among these factors , macroeconomics news are helpful to increase the correct probability of the predictions while others are nega tive. Key words :Securities ;Newsletters ; Positive feedback ; Herding