Research On The Relationship Between Institutional Analyst Rating And A-share Stock Returns

China's stock market has been developing for nearly 30 years.With the development of China's economy,the stock market plays an irreplaceable role as the most direct investment and financing channel.The rise and fall of the value of a stock reflects the financing ability of a company,and it also reflects a lot of information such as its operating results,development prospects,and the company's structure.In addition,as a barometer of the economy,the stock market also shows changes in the economic environment.The stock price responds to those large and small information.If you want to invest in stocks,the information and analysis capabilities are indispensable.In a period when information is not yet symmetrical,when data is the core,it takes a lot of time and energy,material and financial resources to evaluate the value of investment targets.Security analysts make up for this shortcoming,Owing to having professional knowledge and skills,a wide range of information access channels,they analyze the company's historical performance,future earnings,costs and risks,and even study stock trading statistics,a research report is formed and the rating is part of the research report.However,due to the more or less interest between analysts and companies or certain institutional investors,many scholars have begun to question the reliability of ratings.Based on this,this paper studies the impact of analyst ratings on stock returns.On the one hand,the ability of the rating consensus to predict stocks is studied.This ability is reflected in the income that can be brought about;on the other hand,the relationship between consistency and stock returns.In each aspect,the return impact analysis was performed on the two elements of the rating,the rating level and the rating change.In addition,this paper uses two different methods to calculate the two benefits-excess return(ER)and abnormal return(AR),from different perspectives to analyze the predictive ability of the rating.First,this paper studies the quantitative distribution of each rating.Among them,the distribution of the scores of the rating level is extremely skewed,while the rating changes tend to be normally distributed,and the spike phenomenon is obvious.Secondly,this paper studies the relationship between rating level consensus,rating change consensus and stock returns from two perspectives.Studies have shown that both excess returns and abnormal returns can be partially explained by rating levels and rating changes.However,there may be some correlation between the consensus of rating levels and the consensus of rating changes and other explanatory variables.Thirdly,the impact of rating consistency is still analyzed from the perspectives of excess returns and abnormal returns.This article assumes that the smaller the difference,the higher the stock returns that can be brought.The results show that from the excess return to the abnormal return,under the high rating level and high rating change,the consistency of the rating has a significant impact on the future earnings of the stock,and the higher the consistency,that is,the smaller the degree of dispersion of the rating,the lower the future earnings of the stock.Finally,the Fama-MacBeth regression is used to test the ability of analysts to rate and rate changes.The results show that the ability of both to explain stock returns is significant.