Research On The Impact Of Securities Analysts' Forecast Adjustment On Stock Price Changes

After more than 20 years of vigorous development,the market value of China's securities market continues to grow,there are more and more companies,and a lot of market participants.There are a large number of professional institutional investors,many ordinary investors,and many participants who do not participate in market transactions and only undertake information transmission functions——securities analysts.The job of a securities analyst is to research securities.An important way for them to deliver research value to the market is to publish research reports.In the research reports,the important information is the analyst's prediction of the securities.When analysts track a stock,they will continue to issue research reports,and research reports will contain information on forecast adjustments.Then,whether analysts' forecast adjustment will affect the fluctuation of stock prices has become a general concern of the market.This article combines the two methods of theoretical analysis and empirical analysis,mainly to study the impact of analysts' forecast adjustments on earnings forecast adjustments and investment rating adjustments on stock price changes.First of all,from the perspective of theoretical analysis,the research analyst issues the influencing factors and possible influencing mechanism of the research report.Then,using the event research method,based on several factors such as profit forecast adjustment and investment rating adjustment,respectively construct a portfolio model,calculate the performance of the portfolio during the event window period,and observe The impact of several types of forecast adjustments on stock excess returns.At the same time,the Fama-French model is expanded,and three key variables are added.The adjusted five-factor model is used to study the impact of forecast adjustments on stock price changes.By constructing multiple sets of Fama-Macbeth regression models,the variables are controlled and the profit Forecasts,earnings forecast adjustments,investment ratings,investment rating adjustments,market portfolio risk premium returns,market value factors,and book-to-market ratio factors have made detailed analyses of stock price changes.The final conclusion is as follows:In the research report issued by analysts,the key indicators of profit forecasts and investment ratings impact price fluctuations a little.But,in the two consecutive reports of analysts,the profit forecast adjustments made to the profit forecast and the investment ratings.The investment rating adjustments made have a significant influence on price changes;compared with investment rating adjustments,earnings forecast adjustments have a stronger impact on price changes;market portfolio risk premium returns,market value factors,and book market value ratio factors will effect stock price changes.Overall,the research conclusions of this paper are in line with the actual situation of China's securities market.For the purpose of maintaining the relationship with listed companies,analysts do not easily adjust investment ratings,so it is difficult to observe the obvious impact of investment rating adjustments on stock price fluctuations.However,analysts are keen to constantly revise earnings forecasts,and the market can respond sharply by capturing the information released by earnings forecast adjustments.