| As an important information intermediary,the securities analysts have been aroused high attentions by researchers. The overseas research literature reveals that securities analyst is an important part of the efficient capital market, the link between listed companies and market investors, and important transmitters and interpreters of company information. To improve the forecast quality and provide valuable information to the market, they will pay close attention to the companies under forecasting,and collect and collate macroeconomic information, market information and company information that may impact the trend of stock prices by means of investigation analysis,industry study or reading performance report, and apply certain valuation method to carry out corresponding investment analysis on systematic understanding or technical superiority of the industry and companies. Lastly, they will issue the research report containing investment proposals and earning forecast information to the investors so as to increase the depth and range of investor’s knowledge, Alleviate information asymmetries between the investors and company, promote the regression of stock prices to its intrinsic value, guide the resources to move freely, and improve the resource allocation efficiency of capital market.Nevertheless, the analyst industry in our country starts later than that in foreign countries. Imperfect relevant systems, inadequate supervision and immature market participants lead to relatively large gap of development of analyst industry between C hina and foreign countries. Therefore, we should not simply copy the overseas research results and blindly apply them to Chinese capital market. Furthermore, short development history of analyst industry in our country and lack in data required by academic researches limit the systematic researches focusing on analysts. In addition, most existing studies attach importance to the predicative accuracy and effectiveness of analysts and analyze the investment value of the stocks recommended by the analysts, and there are a few studies on analyst forecast behavior motivation or impact on the capital market. Thus, it is necessary to develop researches on analysis of analyst forecast behaviors and the economic consequences as well as relationship between analyst prediction and market efficiency to increase knowledge and understanding of market participants on the analyst behaviors and know impacts of information with different sources on the capital market.The securities analysts grow out of stock analysts. At the initial stage of development, due to imperfect legal systems and weak industry supervision, there were some analysts with poor professional ethics on the market. To pursue personal gains, they colluded with bankers, spread false information across the market, manipulated the stock prices, and misled the investors, resulting in serious damage of investor interests, disturbance of capital market order and negative influence on sustainable and sound development of capital market. After a range of accounting scandal and insider transactions came to light, the stock analysts were labeled as ―stock market manipulators‖ and were pushed to the forefront again and again. In middle and late 1990 s, with successive establishment of self-regulatory industry associations and introduction of industry standards and norms, the securities consulting was promoted to rapidly grow. In particular, development of institutional investors and introduction of QFII System boosted the investment philosophy to converse to value investment, thus greatly increasing market investor’s demands in fundamental information of listed companies. Meanwhile, analyst’s transformation of functions was also driven to change from traditional ―stock analyst‖ to real information intermediary on capital market —securities analyst. In recent years, the implementation of Practice Standards on Issuance of Securities Research Report and Code of Practicing Conduct of Securities Analyst introduced by Securities Association of C hina standardized the practicing of securities analysts, stimulated booming of analyst industry and was entrusted with an important task to promote sound development of securities market. With new policy systems and market environment, have the label of ―stock market manipulator‖ been removed from the analysts? Have they provided valuable incremental information and improved the market efficiency? Can they undertake the important task to promote sustainable and sound development of capital market as expected by the government, associations or investors?In this dissertation, qualitative and quantitative, and normative and empirical research methods are adopted to systematically summarize and draw lessons from the existing domestic and overseas research achievements. Furthermore, based on related theoretical analysis, the data of A-share companies in Shanghai and Shenzhen securities market from 2004-2013 is utilized to probe into the causes for analyst forecast revisions and the relationship between each forecast revision from the view of information firstly. Next, the data is employed to determine if the analysts spread incremental information to the market and if the market can make full response timely as well as which factors which impact the reflection of analyst’s predictive information on the stock price. Lastly, the relationship between analyst forecast information and company’s periodical report information is examined, which may be mutually discovery or interpretation?For the above issues, the dissertation firstly tests the forecast ability of analysts, discusses why the analysts will revise published earning forecast and if there is significant difference in the forecast revision quality; secondly, the issuing date of analyst’s forecast report is regarded as the event research date to analyze if the information content is contained in the analyst forecast within long and short window phase before and after the issuing date of forecast report, and tests the impacts caused by revision quality, revision period and information environment on the information content; finally, the relationships between analyst forecast and information of corporate earning announcements before and after issuance of corporate earning announcements are examined respectively. The research conclusions mainly include:First, analyst earning forecast reports contain the information content, but the market fails to make full response timely. The researchers find that within long and short window phase before and after the issuing date of forecast report, the capital market has cumulative excess return which is significantly different from zero, indicating that the market investors accept analyst’s research reports and refer to analyst forecast results for investment decision making. However, impacted by the extent of analyst forecast revisions, revision quality and information environment, the market fails to timely respond to analyst forecast information, and will completely absorb the analyst forecast information around 50 t h day after the analyst forecast report is published.Second, the analyst forecast reports mainly contain the company information. First of all, the analysts will endow more specific company information in the stock prices through information collection, processing and passing to reduce synchronicity of stock price volatility. Next, analyst forecast is a dynamic process which will be continuously revised with increase and perfection of information. According to the study sample statistics in this dissertation, analysts will conduct 4.24 times of forecast revisions every year on the same company, and the maximum is 49 times, suggesting that the analysts should continue to revise previous forecast results so as to publish more accurate forecasts to the market. The reason for forecast revisions is the company information mastered by the analyst will be continuously upgraded and perfected with deepening researches. To deeply and comprehensively understand the practical situation of company and rationalize the forecasts on the development prospect of the company, the analyst should revise previous forecasts in order to maintain forecast quality and reputation. Simultaneously, as each forecast revision is based on mastering of full information, the forecast result will be more accurate than the previous one.Third, mutual competition or mutual complementation of information contained in the analyst earnings forecast reports and corporate earnings announcements are important information sources for the investors to make decisions. We find that before firms announce their earnings, analyst ea rnings forecasts information is negatively correlated to firms announce their earnings information, indicating that analyst’s research report will disclose part of valuable company information to the market in advance, resulting in relatively minor market response after firms announce their earnings, so these two kinds of information discovery with each other. After firms announce their earnings, analysts’ earnings forecasts information is positively correlated to corporate earnings announcements informatio n, suggesting that analyst earnings forecasts information can facilitate the investors to better understand and utilize corporate earnings announcements and accelerate the stock price to absorb the information contained in the periodical report, so these t wo kinds of information are mutually interpretation. Due to discovery or interpretation relation between analyst earnings forecasts information and publicly disclosed information of the company, the analyst’s research report is an important information source for investors to make decisions and will offer timely information to the investors or facilitate them to better understand the information disclosed by the company so that they are able to more rationally predict the company prospect and increase the investment incomes.Through comprehensive theoretical analysis and empirical testing, the dissertation of innovations including:First, the topic is novel. Among existing literatures about the analyst forecast, there is a few researches carried o ut for forecast revisions. This dissertation focuses on the fact that the analyst will issue multiple reports for the same company in the same forecast year to analyze the causes for multiple forecast revisions and it will be helpful for us to understand analysts’ forecast behavior.Second, the relationship among the analysts’ earnings forecasts is considered and analysts’ forecast activities are viewed as a dynamic process for research. Most existing researches only select the last forecast for study when an analyst issues multiple forecasts for the same company in a same forecast year(Bai Xiaoyu et al, 2007; Hong Jianqiao et al., 2009) and regard the analyst forecast as a static research result, and pay less attention the relationship among forecast revisions. This dissertation examines the impacts caused by the extent of the forecast revision, revision quality and information environment, and verify the conclusions of Gleason and Lee(2003). The empirical researches in this aspect are relatively rare domestically and it is more likely to develop certain innovations.Third, the relationship between analysts’ earnings forecasts and company’s periodical reports is investigated. The existing researches determine the analysts’ earnings forecasts to contain information content and increase total information supply of capital market( Brav et al., 2003; Huang Yuhong, 2013), but,in fact,analyst forecast is only one of information sources on the capital market. Except analyst’s research report, there are numero us information resources, but rare researches have been carried out for the relationship on information with different sources and the impact on the capital market. This dissertation studies the relation between analysts’ earnings forecasts and company’s quarterly profit report, and verifies the research conclusions reached by C hen et al.(2010), Xue Zuyun and Wang Chong(2011), and supplement empirical evidence to analysts’ earnings forecasts information.
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