Research On The Performance Of Security Analysts During Market Cycles

As a bridge of information between listed companies and investors,security analysts play an important role in the secondary market.Analysts collate and analyze the information of the target companies and issue research reports,which include basic rating,rating adjustment,earnings forecast and other elements.These research reports constitute an important investment reference for institutional investors and an important source of information for individual investors.The research on the performance of these reports is helpful to understand the role of security analysts in the capital market and has practical significance for investors to better understand the value of research reports and reasonably set investment strategies.The paper uses the event study method to test whether the analysts' output has value in typical market situations by taking the research report issued by the security analysts of Wind financial database from April 1,2006 to December 31,2017.Furthermore,the relevant elements of the analyst's research report are taken as explanatory variables,and the cumulative excess earnings in the report release window are taken as explanatory variables to construct a regression model and analyze the relationship between different influencing factors and excess earnings.The results show that,when examining the influence of the research report of security analysts on the stock price,the basic rating and rating adjustment issued by the analysts on the stock are significantly positively correlated with the cumulative excess return of the stock in bull market,bear market and other market conditions;when examining the investment reference value of the research report of security analysts,the basic rating and rating adjustment issued by the analysts on the stock as a whole are positively correlated with the in bull market,bear market and other market conditions,the cumulative excess return of stock also shows a significant positive correlation.However,there is no significant relationship between the variables of star analysts and the cumulative excess return of stock in both tests,which means that compared with non-star analysts,the research report issued by star analysts has no significant advantage in stock price influence and stock price prediction ability.In addition,through Kruskal-Wallis test,this paper finds that there is no significant difference in the influence of security analysts' research reports on stock prices under different market conditions,but there is significant difference in investment reference value.