作者：朱红军，何贤杰，陶林
摘要/Abstract
本文研究了证券分析师盈利预测修正的信息源和信息含量以及市场对盈利预测修正所含信息的吸收效率，并从证券分析师盈利预测信息披露的角度探讨了中国资本市场的有效性及其形成机制。研究发现，证券分析师在进行盈利预测修正时不仅考虑了两次预测之间市场层面和公司层面信息的变动，而且能够通过其信息收集和加工的活动为市场提供增量信息，从而提高市场的定价效率，并且这一增量的信息来自于公司的基本面而不是市场的层面。进一步的研究还发现，我国的投资者能够对分析师的盈利预测修正进行一定程度的反应，并且与预测调整的幅度呈正相关，同时投资者还关注分析师做出盈利预测修正时的信息来源，当分析师在年报公布期间进行修正时，市场的反应要更为强烈。此外，研究结果还表明，投资者并没有完全吸收分析师盈利预测修正所含的信息，市场对盈利预测修正的反应存在着漂移的现象，并且预测正向调整时，漂移更为明显，吸收效率更弱。
This paper examines the information sources and information content of analyst forecast revision, as well as whether investor could use this information efficiency. Our paper provides a channel to examine the market efficiency in the angle of analyst forecast revision. The results show that analyst forecast not only contain the information change of market level and firm level during the period of two forecasting, but also provide additional firm level information. Further analysis shows that investors could reaction to the analyst forecast in the proper directions and they also care the information sources of this forecast. When analysts provide forecast revision during the period of earnings announcement, the market reaction is more intensity. However, the results show that there existing the phenomenon of drift after the analyst forecast revision, especially at the time of positive revision, which means that investor failed to absorb all information the analyst provided.