金融股票分析师的建议真的有投资价值吗？——来自中国证券市场的一个实证报告

Do the Analysts’ Recommendations Really Mean Something?——An Empirical Study from the Chinese Stock Market

摘要: 本文随机选取了中国证券市场30支1股票，就其2012年12月25日至2013年12月25日的投资评级报告和股票价格数据来对股票的收益率与投资评级间的关系进行了统计规律的研究。其中，为保证统计分析的有效性，采用了统计分析中著名的Box-Cox变换，并使用了最优化方法。通过极大化F统计量来构造股票收益率与投资评级、前一期收益率间的最优线性回归模型。实证分析结果表明，股票收益率的后续表现与相应前一期的收益率相关，而与分析师的投资评级无关。

Abstract: In this paper, we randomly selected 30 stocks from the Chinese securities market. We carried out research about the relation between the stock yield rate and the investment rate in the laws of the statistics, using its investment rate reports and stock prices from December 25th in 2012 to December 25th in 2013. Among them, in order to ensure the validity of the statistical analysis, we use the famous Box-Cox Transformation in the statistical analysis and adopt the optimization method. By maximizing the F-statistic, we could choose the optimal linear regression model among the stock yield rate, the investment rate and the previous stock yield. The empirical analysis results show the correlation between stock returns and its early returns; however, the analysts’ investment rate has nothing to do with the subsequent performance of the stock yield rate.