| With the extensive application of computers and the continuous improvement of big data processing,quantitative investment is in the ascendant and the quantitative fund has become a force that can not be neglected in the market.From the perspective of quantitative investment,the target price forecast is an estimate of the company's value based on the company's future fundamentals and is an important treasury for quantitative investors to explore excess returns.As security market intermediaries,analysts collect,evaluate and disseminate information about the future performance of the different firms they cover.Target price is a more granular measure for testing the profitability analysts' investment opinions because target price provides an objective indication of the profit potential from trading in recommended firms' shares.Whether analysts exhibit persistent forecasting abilities? Whether investors will recognize the target price correction made by analysts whose forecasts are more accurate in the past.This paper attempts to answer this question.Empirically analyze the Shanghai and Shenzhen Stock Market from 2005 to2014,this paper examines the overall and individual analyst performance of12-month-ahead target price forecasts over the 10-years.Implied absolute target price forecast errors average 45%.At the end of the 12-month forecast horizon,only 38%of target prices are met,but 64% are met at some time during the forecast horizon.This paper finds statistically evidence of persistent differential abilities by analysts to forecast target prices.Target price announcement period return analyses indicate differential market reactions to analyst's target price revisions conditional on their recent target price forecast performance.Finally,this paper builds a strategy of high potential growth stocks based on the analysis of the target price by using Multi-factor Model.Portfolio annualized return rate of 32.24%,Sharpe ratio of 1.21,winning rate of 64.64%. |
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