Research On The Effectiveness Of Analyst Signal In Chinese Stock Market

The information content of analysts' signals has been concerned by many scholars at home and abroad.However,due to the different measures,research methods and data sources of analysts' forecasts,there are still differences on whether there is a significant independent excess return in the prediction signals of analysts in the Chinese stock market.In addition,studies which focus on directly sources of analyst forecasts are less.Existing research has more used the residual regression method of indirect proof.But for small-sized investors,it is not so practical.For the reason that the majority of investors can be more intuitive to understand the analyst' forecast,based on the data of CSMAR analyst forecast in Chinese stock market between January 2007 and December 2018,this paper builds analysts predict index and forecast differences index monthly,through the method of univariate and bivariate portfolio to test the validity and independence of the index and through the Fama-French regression analysis to verify the mechanism.Thus,it is proved that the analyst's forecast index and forecast divergence index have certain validity and independent information in Chinese stock market.In addition,this paper further proposes that the information content of the analyst's prediction index may be affected by the abnormal factors,such as reversal factor,turnover rate factor,maximum rate of return factor,market rate factor,size factor.