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使用WIND数据库2004~2013年分析师行业评级和公司评级数据,检验分析师行业评级和公司评级是否具有信息含量。研究发现,分析师一致行业评级组合和一致公司评级组合均能产生显著为正的超常回报,剔除动量因素后,超常回报仍显著为正。由一致行业评级和一致公司评级交叉组合能产生更高的超常回报。由公司评级模拟的一致行业评级组合不能产生显著的超常回报。结果表明,分析师拥有专门技术,行业评级和公司评级具有信息含量,对投资者有投资参考价值。
Using the WIND database 2004 to 2013 analyst industry ratings and company ratings data, test analysts’ industry ratings and company ratings for information content. The study found that analysts’ consistent industry rating portfolio and consensus company rating portfolio all produced significantly positive abnormal returns, with exceptionally positive returns after removing the momentum factor. A combination of consistent industry ratings and consistent company ratings produces higher abnormal returns. Consistent industry rating combinations moderated by company ratings do not produce significant abnormal returns. The results show that analysts have expertise, industry rating and company rating information content, investors have an investment value.