Stock index adjustments and analysts’ forecast optimism: A quasi-natural experiment on the CSI 300 Index

IF 1.9 Q2 BUSINESS, FINANCE China Journal of Accounting Research Pub Date : 2022-09-01 DOI:10.1016/j.cjar.2022.100246
Shangkun Liang, Huaigu Cui, Chun Yuan
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引用次数: 5

Abstract

As stock index adjustments comprise a basic system of capital market, their potential influence on analysts’ earnings forecasts is worthy of research. Based on a research sample of 23 adjustments to the CSI 300 Index from June 2007 to June 2018 and the backup stocks announced during the same period, this study examines the impact of additions to stock index on analysts’ forecast optimism using a staggered difference-in-differences model. The research results show that after stocks are added to the stock index, analysts’ earnings forecast optimism about these stocks increases significantly. Cross-sectional analysis indicates that this increase is more significant when the market is bullish, institutional ownership is low, the ratio of listed brokerage firms is low, star analyst coverage is low, firms show seasoned equity offering activity, the ratio of analysts from the top five brokerage firms ranked by commission income is high, and the analysts’ brokerage firms are shareholders. However, analyst-level tests find that analysts’ ability helps to reduce the impact of additions to stock index on earnings forecast optimism. Furthermore, additions to stock index significantly increase analyst coverage and forecast divergence. Economic consequences tests find additions to stock index significantly increases stock price synchronization, which is partly mediated by analysts’ earnings forecast optimism. This study enriches the literature on the impact of basic capital market systems and analyst behavior. The findings suggest that investors should rationally evaluate analysts’ earnings forecasts for stocks added to the stock index and obtain further information from various channels to improve asset allocation efficiency.

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股指调整与分析师乐观预测:沪深300指数的准自然实验
由于股指调整是资本市场的一项基本制度,其对分析师收益预测的潜在影响值得研究。本研究以2007年6月至2018年6月沪深300指数23次调整和同期公布的备用股票为研究样本,采用交错差中差模型检验了股指加成对分析师预测乐观度的影响。研究结果表明,股票被纳入股指后,分析师对这些股票的盈利预测乐观度显著增加。横断面分析表明,当市场看涨、机构持股比例低、上市经纪公司比例低、明星分析师覆盖率低、公司表现出丰富的股票发行活动、佣金收入排名前五家经纪公司的分析师比例高、分析师所在经纪公司为股东时,这种增长更为显著。然而,分析师水平的检验发现,分析师的能力有助于降低股票指数的增加对盈利预测乐观度的影响。此外,股票指数的增加显著增加了分析师覆盖率和预测差异。经济后果检验发现,股票指数的增加显著增加了股价的同步性,这在一定程度上是由于分析师对盈利预测的乐观情绪所介导的。本研究丰富了有关基本资本市场制度与分析师行为影响的文献。研究结果提示,投资者应理性评估分析师对成分股的盈利预测,并从多种渠道获取更多信息,以提高资产配置效率。
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来源期刊
CiteScore
4.70
自引率
0.00%
发文量
295
审稿时长
15 weeks
期刊介绍: The focus of the China Journal of Accounting Research is to publish theoretical and empirical research papers that use contemporary research methodologies to investigate issues about accounting, corporate finance, auditing and corporate governance in the Greater China region, countries related to the Belt and Road Initiative, and other emerging and developed markets. The Journal encourages the applications of economic and sociological theories to analyze and explain accounting issues within the legal and institutional framework, and to explore accounting issues under different capital markets accurately and succinctly. The published research articles of the Journal will enable scholars to extract relevant issues about accounting, corporate finance, auditing and corporate governance related to the capital markets and institutional environment.
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