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基于Fama-French三因子模型求得股票价格极端变化后不同时期的异常收益率,通过引入虚拟变量考察分析师报告以及个股推荐评级内容对异常收益的影响。实证研究发现:(1)公司研究报告与个股推荐均会对价格极端变化后收益产生影响,但个股推荐的影响程度不如公司研究报告。(2)公司研究报告与个股推荐能够一定程度上分别独立影响股票价格极端变化后的收益。(3)当分析师给予不赞同价格极端变化评级或中性评级时,对价格极端变化后收益不产生额外影响,当分析师给予赞同价格极端变化评级时,对价格极端变化后收益产生额外影响。
Based on the Fama-French three-factor model, we obtain the abnormal return rates in different periods after the extreme changes of the stock prices. By introducing the dummy variables, we examine the impact of the analysts’ reports and the recommendation content of individual stocks on the abnormal returns. The empirical research shows that: (1) Both the company research report and the stock recommendation will have an impact on the earnings after the extreme price changes, but the impact of individual stock recommendation is not as good as the company research report. (2) The Company’s research report and stock recommendation can, to a certain extent, independently affect the earnings after the extreme changes of stock prices. (3) When an analyst does not give an endorsement of an extreme change in price or a neutral one, it does not have an additional effect on the earnings after the extreme price changes. When the analyst grants an endorsement of the extreme change in price, it has an additional effect on the earnings after the extreme price changes .