Impact Of Equity Analyst's Forecast Revise On Stock Price Yield

Securities analysts,referred to as seller analysts in this article,are extremely important links to ease information asymmetry in the securities market and promote the healthy development of the securities market.Securities analysts indirectly or directly collect all kinds of information in the macro,industry,securities market,and company levels.Through professional analysis,they make profit forecasts and investment ratings for listed companies,guiding investors to make correct investment decisions.However,the investment rating and earnings forecasting data of securities analysts are not static,and they usually publish continuous follow-up research reports for the industries and companies covered.So we can find that at the same time node(cross-sectional angle),different analysts' earnings forecasting data and investment rating conclusions form the level value of a particular stock;however,as time progresses(in the perspective of time series),compared to The previous data,the analysts provided by the updated earnings forecast data and investment rating conclusions form a correction.Whether the analyst's correction value has an impact on stock price investment return is greater than the analyst's level value.Whether the analyst's correction factor can improve the explanatory power of the asset pricing model is the focus of this study.This paper takes the China A-share market as the research basis and empirically tests the relationship between China's securities analysts' earnings forecast,investment rating revision,and future stock price return in 2007-2017:(1)Check whether excess returns exist through combined univariate tests and pass The cross-sectional regression method tests whether the analyst's correction has more information content than the horizontal value.(2)Starting from the theory of effective information,using the surrogate variables of past stock prices,past fundamentals,and future fundamentals,study the source of value of analyst information.(3)Referring to Fama and French(2015)'s research results,using the calendar time method to construct the investment portfolio,the analyst's earnings forecast correction information is added as a stock factor to the Fama-French three-factor model to test whether it has improved.The explanatory power of the asset pricing model.The research results show that:(1)In the portfolio analysis,as the analyst's surplus forecast and the investment rating correction increase,the portfolio's yield gradually increases,and the arbitrage portfolio obtains positive excess returns.In the cross-section test,the analyst's earnings forecast and investment rating also have a certain impact on future share price returns,but the impact degree is not as large as analysts'correction information,and it has not achieved significant results in measurement.(2)The investment value of analysts' revised information is derived from the stock price information of the past and,on the other hand,from the judgment of fundamentals.The analyst investment rating correction information is more derived from the stock's past stock price changes,while the analyst earnings forecast revision information comes from past and future fundamental data.(3)Adding the analyst's earnings forecasting correction factor to the asset pricing model improves the explanatory power of the Fama-French model.Therefore,for the orderly development of China's securities market,we need to more standardize the development of China's securities analyst industry to ensure that it really play its due market value.Second,it is necessary to strengthen general education for general investors to help them move toward rational investment.