Predictive Study Of Stock Expected Returns

As an important information intermediary and professional researcher in the capital market,securities analysts have a certain investment reference value.We use the securities analyst investment rating as a proxy variable for the analyst's report to study whether the analyst's investment rating is predictive of the company's future market returns and whether it can provide investors with investment reference value.Our assumption is that the securities analyst's investment rating decision is driven by company characteristics information and analysts' expected information about the company's future performance and returns;when resource-constrained analysts decide how to allocate their time and effort,they There is a strong preference for companies that perform better;resource-constrained analysts tend to report companies with good prospects because they tend to have higher valuation companies,larger trading companies,and more predictable Revenue and hope to share positive news.We use the comprehensive database of wind database analysts and various financial data of CSI 800 stocks as empirical basis data,from September 2009 to July 2018.We use the wind database comprehensive rating and the number of analysts to construct the securities analyst investment rating index,and then divide the analyst investment rating into the expected part and the abnormal part based on observable company characteristics.We believe that the anomaly is driven by analysts' expectations of the company's future returns and proposes a model based on company characteristics.The anomaly is based on the analyst's investment rating,which will inevitably consider the four company characteristics when the four analysts are rating(the company's scale at the same time,the company's 12-month lag,the company's lag in December's cumulative yield,the company)The 12-month monthly yield standard deviation)The residual obtained after the regression,the abnormal part of the decomposition is named as the abnormal analyst investment rating(ATOT)in this paper.After deriving the model results and descriptively statistic the company's characteristics based on the abnormal analyst investment rating,based on the assumption that the analyst is rating the company's future financial reporting underlying performance.The abnormal analyst investment rating and the company's future performance forecast relationship were tested and found that the abnormal analyst investment rating has a continuous predictive ability for the company's future performance.Finally,we focus on whether the predictive ability of abnormal analyst investment rating on financial performance can be derived from forecasting returns.We have established a simple hedging portfolio investment strategy to conduct research.Without considering transaction costs,the strategy benefits far.It is much larger than the benchmark income of the CSI 800 Index.We demonstrate that the abnormal analyst investment rating has a predictive effect on the company's earnings and that the forecast is sustainable.At the same time,after controlling the standard monthly asset pricing factors for each portfolio,the relationship between the abnormal analyst investment rating and the company's future earnings is examined.In summary,we analyzed the investment reference value of the securities analyst investment rating and reached a positive conclusion.But the core of our research is the anomaly,and using only the original analyst investment rating does not achieve the desired results.The abnormal investment rating contains more accurate forecast information from securities analysts,which helps investors to invest.Our research helps us understand the role of analysts as information brokers,indicating that analysts allocate a range of abnormal investment ratings based on the company's expected earnings.Through a simple company-based model,it reveals the expected revenue information embedded in the analyst's investment rating,which represents a model with strong predictive power on corporate earnings and investments.Methodologically,our research demonstrates that analyst reporting agent variables in a capital market environment reflect expected returns.