Chp4-2-参考－股票分析家报告的信息内容

InformationContentofEquityAnalystReportsPaulAsquithSloanSchoolofManagementMassachusettsInstituteofTechnologyCambridge,MA02142USAMichaelB.Mikhail*FuquaSchoolofBusinessDukeUniversityDurham,NC27708USAAndreaS.AuTheBrattleGroupCambridge,MA02138USA______________________________________________________________________________AbstractWecatalogthecompletecontentsofAll-AmericanAnalystreportsandexaminethemarketreactiontotheirrelease.Includingthejustificationssupportingananalyst’sopinionreduces,andinsomemodelseliminates,thesignificanceofearningsforecastsandrecommendationrevisions.Analystsbothprovidenewinformationandinterpretpreviouslyreleasedinformation.Theinformationinareportismostimportantfordowngrades;targetpricesandtheanalyst’sjustificationsaretheonlysignificantelementsforreiterations.Nocorrelationexistsbetweenvaluationmethodologyandeitheranalystaccuracyorthemarket’sreactiontoareport.OuradjustedR2saremuchlargerthanthoseofstudiesusingonlysummarymeasures.JELclassifications:G11;G14;G24;M41Keywords:Stockrecommendations;Pricetargets;Earningsforecasts;Securityanalysts.______________________________________________________________________________WethankJenniferFrancis,SPKothari,GracePownall,JayRitter,PhilipStocken,WandaWallace,BeverlyWalther,RichardWillis,therefereeforthisjournal,andworkshopparticipantsatMIT,PennState,TheCollegeofWilliamandMary,Wharton,SESARC,andtheAAAAnnualMeetingforhelpfulcommentsandsuggestions.WealsoacknowledgetheresearchassistanceofJeffBraun,KevinKadakia,RossanaIvanova,andXinWang.Ms.AuisemployedasaResearchAnalystwithTheBrattleGroup,Inc.TheviewsofthisarticledonotnecessarilyreflecttheviewsofTheBrattleGroup,Inc.*Correspondingauthor.Tel.:[phone];fax:[phone].E-mailaddress:[e-mail](M.B.Mikhail).11.IntroductionThispaperinvestigatestheassociationbetweenmarketreturnsandthecontentofsecurityanalysts’reports.Inaddition,itprovidesthefirstdetailedcatalogoftheelementsinatypicalanalystreport.Ananalyst’sreportistheculminationofaprocessthatincludesthecollection,evaluation,anddisseminationofinformationrelatedtoafirm’sfutureperformance.Themajorityofthesereportsincludethreekeysummarymeasures:earningsforecasts,astockrecommendation-suchasbuy,sell,orhold-andapricetarget.Inaddition,manyreportspresentextensivequantitativeandqualitativeanalysissupportingthesesummarymeasures.Mostpreviousresearchonanalystreportsexaminesrevisionsinonlytwosummaryelements:stockrecommendationsandearningsforecasts.Weextendthisresearchbyincorporatingthecontentsofanalystreportsintheirentiretyratherthanjusttheindividualsummaryelementssuchasthestockrecommendation.Oneprobleminevaluatingstockrecommendationsaloneisthattherearealimitednumberofrecommendationlevels.Morespecifically,althoughanalystshavefivedistinctrecommendations-strongbuy,buy,hold,sell,andstrongsell-attheirdisposal,theyaregenerallyreluctanttousethetwonegativeratings(see,e.g.,Barber,Lehavy,McNichols,andTrueman,2001;Mikhail,Walther,andWillis,2004).1Byalsoincorporatingthegradationsavailableintheanalysts’pricetargetsandthereports’contents,weovercomemanyofthedisadvantagescausedbytheuseofafewdiscreterecommendationcategories.Ourapproachtothisanalysisiscapturedbythequote“Intheend,stockratingsandtargetpricesarejusttheskinandbonesofanalysts’research.Themeatofsuchreportsisintheanalysis,detail,andtone”(seeTsao,2002).Thisisespeciallytrueforreiterations,whichrepresentalmosttwothirdsoftheanalystreportsinoursample.UsingadatabaseconstructedfromanalystreportsissuedbyInstitutionalInvestorAll-Americanteammembersduring1997-1999,ouranalysisshowsthatchangesinthesummaryearningsforecasts,stockrecommendations,andpricetargetsallprovideindependentinformation1Anoften-citedrationaleforthelackofnegativeratingsisthatananalyst’ssalaryandbonusarelinkedtoquantifiablemeasuressuchashisfirm’sunderwritingfeesorcommissionsgeneratedbyhisrecommendations,outcomesthatmaybefacilitatedbytheissuanceoffavorablereports.Inaddition,analystsrelyoncompanymanagementforinformationandthushaveareasontomaintaingoodrelationswiththem.SECRegulationFD,whichrequiresfirmstopubliclydisseminateallmaterialinformation,presumablyreducesthisincentive.2tothecapitalmarkets.Inparticular,incorporatingchangesinanalystpricetargetsdramaticallyincreasesthefitofourregressionresultsoverthatobtainedfromearningsforecastrevisionsanddiscreterecommendationsalone.Wethenshowthatotherinformationinareport,suchasthestrengthofthewrittenargumentsmadetosupportananalyst’sopinion,isalsosignificant.Thestrongerthejustificationsprovidedinthereport,thelargerthemarket’sreactiontothereport.Thisholdsforeitheraggregatestrengthofargumentmeasuresorseveralalternativesincludingindependentmeasuresforpositiveandnegativeargumentsaswellasmanydisaggregatedjustifications.However,ourresultsshowthatwhilethemarketstillreactsstronglytochangesinpricetargets,thesignificanceofearningsforecastandrecommendationrevisionsisreducedand,insomemodels,eliminated.Afteranalyzingalltheelementsofananalystreport(i.e.earningsforecast,analystrecommendation,pricetarget,andthejustificationsgiven),wenextex