作　　者： (张龑）; (王竹泉）; ;

机构地区： 中国海洋大学管理学院

出　　处： 《财经研究》 2021年第9期63-77,共15页

摘　　要： 我国资本市场改革步入深水区,强化证券分析师作用是缓解市场专业化水平提升与投资者素养不足间矛盾的利器;同时,单边主义思想抬头,我国政府确定了"国内大循环"的发展战略。在此双重背景下,文章探讨了反映国内大循环的生产网络如何影响分析师盈余预测准确性问题。文章以影响分析师最重要的、组成生产网络的行业为基础,采用行业间投入产出数据和复杂网络方法,测度了分析师跟踪组合的生产网络关联程度,并检验了其对分析师预测的作用。研究发现,生产网络对分析师存在信息溢出效应,能够显著降低其盈余预测偏差,而且由分析师跟踪的主要行业溢出至次要行业。机制分析表明,分析师的生产网络关联能够缓解行业与公司层面的信息不对称,降低其盈余预测偏差。以产业政策作为行业冲击的截面分析发现,生产网络关联对分析师预测的作用在政策不够透明时以及不确定性高的非重点支持行业中更加明显,这进一步验证了信息溢出效应假设。经济后果分析表明,生产网络关联分析师能够将特质性、行业层面的信息融入股价,降低标的公司与市场组合的股价同步性。 As China’s capital market reform enters the deep-water zone, strengthening the role of security analysts is an excellent way to alleviate the contradiction between the sharply increased market specialization level and the backward literacy of investors. At the same time, unilateralism is on the rise, and the Chinese government has set the “domestic circulation” development strategy. In this dual context, this paper mainly discusses how the production network reflecting the domestic circulation affects the accuracy of analysts’ earnings forecasts.Based on the earnings forecast of listed companies released by security analysts during 2007-2018 and industry input-output data, this paper explores the impact of production networks on analysts’ earnings forecasts.It is found that the production network has an information spillover effect on analysts’ earnings forecasts. That is, when the industry of analyst-following companies is closely related in the production network, the deviation of the earnings forecast issued by analyst-following companies is lower. After measuring primary and secondary industries by tracking ratio, it is found that the spillover direction is from primary to secondary. The mitigating effect of production network correlation and its spillover effect on the information asymmetry at the industry and firm levels faced by analysts provide a specific explanation for the reduction of forecast bias. In addition, the cross-sectional analysis based on industrial policy shows that the marginal effect of production network correlation on analysts’ forecasts is more obvious in non-key supporting industries. Further analysis shows that the role of production network correlation analyst is effective, which promotes the integration of specific production network information into stock prices and reduces the synchronization between the firm and the market portfolio. After classifying the information hierarchy, it is found that analysts mainly increase the interpretation intensity of information at

关 键 词： 生产网络 投入产出表 分析师预测 信息溢出 国内循环

领　　域： [经济管理—金融学]