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本文以国内303名候选证券分析师2005—2007年的15083篇研究报告为研究样本。依据事件期市场、规模和行业调整超额收益率模型定量,评选出了50名最佳证券分析师,并检验了这50名分析师战胜市场的能力。研究发现,最佳证券分析师推荐的股票具有三个月的投资价值,尤其是一个月的投资价值,并且推荐前股票没有超额收益率。这些实证结果表明最佳证券分析师兼具择股和择时的能力,也间接地表明了我国的证券市场还没有达到半强式有效。
In this paper, domestic 303 candidate securities analysts from 2005 to 2007, 15083 research reports for the study sample. Based on the market size of the event period and the industry adjusted excess return model, 50 best securities analysts were selected and the 50 analysts’ ability to beat the market was tested. The study found that stocks recommended by the best stock analysts have an investment value of three months, especially a one-month investment value, and recommend that there is no excess return before the shares. These empirical results show that the best securities analysts have the ability of both stock selection and timing, which indirectly shows that the securities market in our country has not yet reached the semi-strong level.