3 :?,? 2005 2007 856 1005 5522, Chen Jiang(2006), :,, ;, : () :,,, (Cheng et al., 2006),,,(Ramnath et al., 2008),,,,(,2008),, ( Ramnath et al., 2008),,,,,?, (Chen Jiang,2006),,,, 3,, :100872, :gjeconomics @yahoo. com. cn ;,, :hongjieying @gmail. com 985, 55
:, Chen Jiang(2006),, ( ), 1985 2001,Chen Jiang(2006) :,,,,?,Chen Jiang(2006),,,,,,Gervais Odean (2001),,,,,,,, : Avery Chevalier (1999), :,,,, Chen et al. (2005),,,, Irvine (2004),,,, :,,,,,,,,, Chen Jiang(2006),, 56
, :,,,,, Chen Jiang(2006) :, ;,,, 1996,,,,, (,2004 ;,2008),,, ;(Lam and Du, 2003), (Wu and Wang, 2008),,, Chen Jiang(2006),,,, Chen Jiang(2006),,,,,Chen Jiang(2006) :,,, Chen Jiang(2006),, Chen Jiang(2006) ( ), : r Chen Jiang(2006),, Chen Jiang(2006) 57
:, 0 ; r cf pf : cf N (0, 1 p cf ), r pf N (0, 1 p pf ), r cf = r + cf (1) pf = r + pf (2), : E[ r pf, cf ] = h pf + (1 - h) cf (3) (3) r h, f : f = k pf + (1 - k) cf (4) k k > h, ( ) ( ) ; k < h, ( ) ( ) ; k = h, ( ) (3) (4),: E[ ( f - r) pf, cf ] = E( FE pf, cf ) = ( k - h) k ( f - cf ) = Dev (5), FE = f - r,, Dev = f - cf = 1 - h k :, k h > 1, ( ) ( ) ;, k h < 1, ( ) ( ) ; 0, k h = 1, ( ) (5) : FE = + Dev + (6) (6), : N FE = + k X k Dev + (7) k = 1, X N ( ), k X k,, ( ) ( ) k, Chen Jiang(2006), h = p pf Π( p pf + p cf ) 58
, 856 2005 2007 1005,,,,,,, Chen Jiang(2006),, Clement (1999) Bolliger (2001),(6) (7),,,, Chen Jiang(2006) (6) (7), : FE i, j, t FE i, j, t = 0 + i, t + Dev i, j, t + i, j, t (8) = 0 + i, t N + k = 1 k X k Dev i, j, t + i, j, t (9), i j t 0, i, t, X k ( ), ; ( ), ; ( ),,, (8) (9), ( Greene, 1997), wind,, 2005, 2000,,,, 2005 2007,5522,856 1005 Chen Jiang(2006), : FE i, j, t, i j t Clement (1999),, http :ΠΠwww. szse. cnπmainπdisclosureπbullitenπcxdaπcxdayπ 59
: Dev i, j, t, i j t j t j t i j t, i j t t, Ability ( Dir) Ability ( Beat) Ability ( Dir) i, j = - 1 N i, j N i, j sign ( FE c i, j, t Dev i, j, t ),, sign t = 1, FE c i, j, t i j, cf - r, N i, j i j () Ability ( Dir) Ability ( Beat) i, j = 1 N i, j N i, j sign ( t = 1 FE c i, j, t - FE i, j, t ),,Ability ( Dir) sign FE c i, j, t, FE i, j, t, f - r ; Ability ( Beat),,, TR ( Dir) TR ( Beat) TR ( Dir) i, j, t = - 1 N i, j, t N i, j, t sign ( FE c i, j, k Dev i, j, k ), TR ( Beat) i, j, t = k = 1 1 N i, j, t N i, j, t sign ( k = 1 FE c i, j, k - FE i, j, k ),, t, N i, j, t t i j TR,,Ability TR,(9) Ability TR, TR Ability OLS TR,,,, Abnormaltra Abnormaltra i, j, t j,i t 50 50, Inf - dis - ranking j, t,j t Chen Jiang(2006),,,, 018345, 1 % Chen and Jiang(2006),,,,, 30 40, 60
(2006), 2001,, Inf - Dis - Ranking 4 3 2 1,,,,, 1 1 25 % 75 % FE 010228 012720-313434 - 010400 010300 011150 315785 Dev - 010014 011197-113540 - 010247 010000 010100 211900 Ability ( Dir) 011672 019818-110000 - 110000 110000 110000 110000 Ability ( Beat) 010672 019380-110000 - 110000 010000 110000 110000 TR ( Dir) 010002 010620-019994 010006 010006 010007 110006 TR ( Beat) 010002 010613-019994 010005 010006 010007 110006 Abnormaltra 011496 112138-1114793 - 011484 010714 014388 1619971 Inf - Dis - Ranking 310039 016321 1 3 3 3 4 : Inf - Dis - Ranking 2033, 5522 ( )? (8),, (8) Dev 0,, 0, :,, ;,, 2,, (OLS), Chen Jiang(2006) Chen Jiang(2006),,,, (8) (9) 017 (Lind et al., 2002),,,,,, 2, 61
: ( 2005 2006 year2005 year2006), 2 (1) 221 OLS (2) Dev 0 (3) Dev < 0 222 223 (4) (5) Dev 0 (6) Dev < 0 (7) (8) Dev 0 (9) Dev < 0 Dev 0. 3994 333 0. 4138 333 0. 2133 33 0. 8642 333 0. 8851 333 0. 6440 333 0. 4267 333 0. 4750 333 0. 3569 33 (3. 75) (2. 64) (2. 04) (7. 19) (4. 16) (3. 90) (4. 12) (2. 92) (4. 07) year2005 0. 0141 0. 0014 0. 0158-0. 0343 333-0. 0172-0. 0547 333 (1. 07) (0. 07) (0. 84) ( - 2. 69) ( - 0. 74) ( - 3. 03) year2006 0. 0015-0. 0003-0. 0033 0. 0111 0. 0250 0. 0055 (0. 20) ( - 0. 02) ( - 0. 36) (1. 34) (1. 42) (0. 46) 0. 0098 0. 0216-0. 0008 0. 0461 333 0. 0004 0. 0771 333 (0. 69) (1. 03) ( - 0. 04) (3. 14) (0. 02) (3. 62) R 2 0. 0313 0. 0444 0. 0054 0. 0354 0. 0501 0. 0210 within R 2 0. 2391 0. 1328 0. 0956 between R 2 0. 0627 0. 0210 0. 0026 overall R 2 0. 0299 0. 0437 0. 0036 t = 1. 14 t = 0. 97 t = 0. 68 5522 2637 2885 5522 2637 2885 5522 2702 2820 : 333 ( 33 3 ) 1 %(5 % 10 %) t Huber2Sandwich 222,,Hausman Dev 0 Dev < 0 Dev 2,,, Dev,,, Chen Jiang (2006) (1) (4) (7) Dev,OLS (1), (4), (7),Chen Jiang (2006),,, 42167 %, Dev Chen Jiang(2006), ( Dev > 0) ( Dev < 0), Dev, t,,(2) (3) (5) (6) (8) (9) Dev, (8) (9), :,, 47150 % ;, 35169 % 62
2,,,, Chen Jiang(2006) ;,,,, Chen Jiang(2006) ( )?,,?,,?, Chen Jiang(2006), (9), :, X k ( TR ( Dir) TR (Beat) ) ( Ability ( Dir) Ability ( Beat ) ) ( Abnormaltra) ( Inf - Dis - Ranking) ( Dev),,,, 2, 3 4 ( TR ( Dir) Ability ( Dir) ) ( TR ( Beat) Ability ( Beat) ), (OLS),, Chen Jiang(2006) 3,, Ability ( Dir) Dev,,,,,, :,,, ( ) Ability ( Dir) 25 %75 % 2, (7) (8) (9) : (7),,,25 %, 75 % 230152 %( = - 111526 3 2) ; (8),,,,,,,,,Ability ( Dir) 25 % - 1,75 % 1 63
:,25 %, 75 % 208180 %( = - 110440 3 2) ;,25 %, 75 % 297110 %( = - 114855 3 2) 3 ( TR ( Dir) Ability ( Dir) ) (1) 321 OLS (2) Dev 0 (3) Dev < 0 322 323 (4) (5) Dev 0 (6) Dev < 0 2 (7) (8) Dev 0 (9) Dev < 0 Ability ( dir) 3 Dev - 1. 1883 333-1. 0053 333-1. 8479 333-0. 7041 333-0. 6424 333-1. 4121 333-1. 1526 333-1. 0440 333-1. 4855 333 ( - 11. 06) ( - 8. 38) ( - 7. 64) ( - 9. 00) ( - 6. 80) ( - 8. 08) ( - 11. 08) ( - 7. 30) ( - 9. 57) TR ( dir) 3 Dev - 2. 4025-2. 3247-3. 5341 33-4. 2156-0. 9061-6. 1268 3-1. 4087 33-1. 5377 33-1. 9046 333 ( - 1. 54) ( - 1. 32) ( - 2. 19) ( - 1. 51) ( - 0. 55) ( - 1. 78) ( - 2. 06) ( - 2. 13) ( - 3. 45) Abnormaltra 3 Dev - 0. 0305 0. 0288-0. 2189 333-0. 0860 3 0. 0040-0. 1450 333-0. 0101 0. 0235-0. 1051 ( - 0. 43) (0. 32) ( - 3. 35) ( - 1. 88) (0. 09) ( - 2. 88) ( - 0. 12) (0. 20) ( - 1. 17) Inf - Dis - ranking 3 Dev - 0. 1429 33-0. 0467 33-0. 3027 33-0. 0459 333-0. 2351 333-0. 1534 3-0. 0305 333-0. 0690 333-0. 1973 333 ( - 2. 32) ( - 2. 31) ( - 2. 15) ( - 2. 57) ( - 2. 54) ( - 1. 96) ( - 2. 29) ( - 2. 43) ( - 2. 31) Constant 3 Dev 1. 4243 333 1. 0259 33 2. 5338 333 1. 0972 333 0. 4889 33 2. 2645 333 0. 9338 333 0. 5443 33 1. 7335 333 (4. 07) (2. 19) (4. 53) (4. 46) (2. 08) (4. 36) (2. 93) (2. 21) (3. 29) year2005 0. 0129 0. 0010 0. 0296 33-0. 0564 333-0. 0751 333-0. 0124 (1. 64) (0. 09) (2. 17) ( - 3. 14) ( - 3. 05) ( - 0. 47) year2006 0. 0161 0. 0269 33 0. 0155-0. 0027 0. 0061 0. 0150 (1. 60) (2. 14) (1. 12) ( - 0. 27) (0. 43) (0. 96) R 2 0. 1998 0. 2419 0. 1970 0. 1767 0. 2054 0. 1636 within R 2 0. 3054 0. 3322 0. 2378 between R 2 0. 0111 0. 0598 0. 1004 overall R 2 0. 1145 0. 1445 0. 1522 2033 961 1072 2033 961 1072 1589 755 834 : 333 ( 33 3 ) 1 %(5 % 10 %) t Huber2Sandwich,Hausman,, Inf - Dis - Ranking Dev,,,,, :,,,, :,, ;,,, Inf - Dis - Ranking 25 %90 % 1, Inf - Dis - Ranking 25 % 3,75 % 3,90 % 4 64
(7) (8) (9) : (7),,,25 %, 90 %, 3105 %( = - 010305 3 1) ; (8),,,25 %, 90 %, 6190 %( = - 010690 3 1) ; (9),,,25 %, 90 %, 19173 %( = - 011973 3 1) Chen Jiang(2006),OLS (3) (6) (7) (8) (9), TR ( Dir) Dev,,,,,, :,, ;,, :,,, TR ( Dir) 25 % 75 % 010001, (7) (8) (9) : (7),,,25 %, 75 % 0101 %( = - 114087 3 010001) ; (8),,,25 %, 75 % 0102 %( = - 115377 3 010001) ;,25 %, 75 % 0102 %( = - 119046 3 010001),OLS (2) (4) (6), Abnormaltra Dev,, (7) (8) (9), TR ( Dir) 25 % 010006,75 % 010007 65
: Dev, 4 3 4 ( TR ( Beat) Ability ( Beat) ) 421 OLS Dev 0 Dev < 0 422 423 2 Dev 0 Dev < 0 Dev 0 Dev < 0 Ability ( Beat) 3 Dev - 1. 0711 333-1. 0519 333-1. 3621 333-0. 5137 333-0. 5436 333-0. 7638 333-1. 0659 333-1. 0097 333-1. 2916 333 ( - 15. 92) ( - 11. 94) ( - 8. 58) ( - 7. 22) ( - 4. 67) ( - 5. 64) ( - 14. 92) ( - 11. 00) ( - 10. 72) TR ( Beat) 3 Dev - 0. 2791-0. 1606-2. 4188-0. 4208-0. 0050-4. 7760-0. 5931 3-0. 0290 33-3. 3210 3 ( - 0. 75) ( - 1. 36) ( - 1. 20) ( - 0. 61) ( - 0. 03) ( - 0. 92) ( - 1. 89) ( - 2. 05) ( - 1. 83) Abnormaltra 3 Dev - 0. 1272 333-0. 1426 333-0. 0492-0. 1337 33-0. 1021 33-0. 0192-0. 1172-0. 1432-0. 0357 ( - 3. 00) ( - 2. 72) ( - 0. 52) ( - 2. 43) ( - 2. 09) ( - 0. 24) ( - 1. 76) ( - 1. 54) ( - 0. 50) Inf - Dis - ranking 3 Dev - 0. 1288 33-0. 0679 333-0. 2046 33-0. 0644 333-0. 1729 333-0. 0736 33-0. 1207 33-0. 1563 333-0. 1691 33 ( - 1. 99) ( - 2. 48) ( - 2. 34) ( - 2. 75) ( - 2. 81) ( - 2. 33) ( - 2. 01) ( - 2. 87) ( - 2. 04) Constant 3 Dev 0. 9494 333 0. 5844 33 1. 6934 333 0. 8146 333 0. 3806 333 1. 5376 33 0. 8669 333 0. 8454 333 1. 3232 33 (3. 12) (2. 33) (3. 14) (3. 13) (2. 57) (2. 36) (2. 42) (2. 62) (2. 43) year2005 0. 0106 0. 0102 0. 0321 33-0. 0822 333-0. 0925 333-0. 0504 3 (1. 33) (0. 95) (2. 31) ( - 4. 17) ( - 2. 74) ( - 1. 82) year2006 0. 0143 0. 0273 33 0. 0140-0. 0059 0. 0037 0. 0145 (1. 42) (2. 15) (0. 99) ( - 0. 46) (0. 18) (0. 64) R 2 0. 2026 0. 2639 0. 1676 0. 1797 0. 2098 0. 1702 within R 2 0. 2959 0. 3337 0. 2033 between R 2 0. 0000 0. 0406 0. 0296 overall R 2 0. 0919 0. 1416 0. 0866 2033 961 1072 2033 961 1072 1589 755 834 : 333 ( 33 3 ) 1 %(5 % 10 %) t Huber2Sandwich,Hausman 3 4,, Chen Jiang(2006),?,? 2005 2007 856 1005 5522, Chen Jiang(2006), : Chen Jiang(2006),,,,, Dev,3 Dev,, Dev,2, 66
Chen Jiang(2006),,, Chen Jiang(2006),,,,,,,,,,,,,,,,,,,,2004 :, 6,2008 : vs :, 8,2006 :, 2 Avery, C., and J. Chevalier, 1999, Herding over the Career, Economics Letters, 63, pp. 327 333. Bolliger, G., 2001, The Characteristics of Individual Analystsπ Forecasts in Europe, Working Paper, International Center for Financial Asset Management and Engineering. Chen, Q., J. Francis, and W. Jiang, 2005, Investor Learning about Analyst Predictive Ability, Journal of Accounting and Economics, 39, pp. 3 24. Chen, Q., and W. Jiang, 2006, Analystsπ Weighting of Private and Public Information, Review of Financial Studies, 19, pp. 319 355. Cheng, Y., M. H. Liu, and J. Qian, 2006, Buy2Side Analysts, Sell2Side Analysts, and Investment Decisions of Money Managers, Journal of Financial and Quantitative Analysis, 41, pp. 51 83. Clement, M., 1999, Analyst Forecast Accuracy : Do Ability, Resources and Portfolio Complexity Matter?, Journal of Accounting and Economics, 27, pp. 285 303. Gervais, S., and T. Odean, 2001, Learning to Be Overconfident, Review of Financial Studies, 14, pp. 1 27. Greene, W., 1997, Econometric Analysis, Third Edition, Prentice2Hall International. Irvine, P. J., 2004, Analystsπ Forecasts and Brokerage2Firm Trading, Accounting Review, 79, pp. 125 149. Lam, S., and J. Du, 2003, Information Asymmetry and Estimation Risk : Preliminary Evidence from Chinese Equity Market, Pacific Basin Finance Journal, 12, pp. 311 321. Lind, A., W. Marchal, and R. Mason, 2002, Statistical Techniques in Business and Economics, MaGraw2Hill, Irwin. Ramnath, S., S. Rock, and P. Shane, 2008, The Financial Analyst Forecasting Literature : A Taxonomy with Suggestions for Further Research, International Journal of Forecasting, 24, pp. 34 75. Wu, M. and X. Wang, 2008, The Quality of Financial Reporting in China, Working Paper, SSRN. ( 81 ) 67
Zhang, W., 2006, Chinaπs SOE Reform : A Corporate Governance Perspective, Corporate Ownership and Control3 : 132 150. Zheng, Z., C. Chen, and Y. Sun, 2008, Legal Investor Protection, Corporate Governance and the Increasing Trend of Executive Compensations : Evidence from China, Woring paper, Peopleπs University of China. Market2oriented Reform, Firm Performance and Executive Compensation in Chinese State2o wned Enterprises Xin Qingquan and Tan Weiqiang (School of Economics and Business Administration,Chongqing Univesity ; Department of Economics and Finance, City University of Hong Kong) Abstract:Based on the institutional settings of recent market2oriented reform of Chinese state2owned enterprises ( SOEs), this paper analyses the impact of market force on the choice of executive compensation in SOEs. Using the data on stated2owned listed firms, we find that market2oriented reform increases the sensitivity of executive compensation to performance. Compared to the accounting performance, our evidence shows that stock returns play an increasing important role in executive incentive contracts. Our findings also show that government protection and government control level of SOEs influence the ability of market forces to shape the incentive contracts in SOEs. Moreover, SOEs located in the provinces with high degree of regional marketization have fewer perks. These results suggest that market force induces the adaptation of governance structure. Key Words : Market2oriented Reform ; SOEs ; Firm Performance ; Executive Compensation JEL Classification : G320, G380,J310 ( : ) ( : ) ( 67 ) A Study on the Effectiveness of Chinese Security Analystsπ Earnings Forecasting Behavior Guo Jie and Hong Jieying (Renmin University of China ; Universit Toulouse 1) Abstract :When Chinese security analysts make earnings forecasts, is their forecasting behavior efficient? If not, why? Utilizing a sample of 5522 earnings forecasts made by 856 domestic analysts for 1005 Chinese listed companies during 2005 2007 and following the research method proposed by Chen and Jiang ( 2006), we answered above two questions in this paper. First, regardless of analysts making more optimistic or pessimistic personal earnings forecasts than market consensus, their earnings forecasting behavior is inefficient which shows a pattern of overweighting private information. Second, the reasons behind this overweighting behavior include analystsπ incentives to gain higher perceived forecasting ability and poor quality of information disclosure by Chinese listed companies, while neither overconfidence psychological bias nor incentives to get high trading commissions has insignificant explanatory power. Our findings provide important policy implications for investors to use analysts earnings forecasts as reference and related parties to take proper measures to improve analystsπforecasting behavior. Key Words : Security Analyst ; Earnings Forecasting Behaviour ; Efficiency JEL Classification : G11, G23,Z19 ( : ) ( : ) 81