THE JOURNAL OF FINANCIAL ECONOMICS· VOL.121, ISSUE.3 · SEPTEMBER 2016

分析师能够评估基本面风险和价值的不确定性吗？基于不同情景下的价值估计实证分析

作者：Peter Joos (INSEAD, Asia Campus), Joseph D. Piotroski (Stanford University), Suraj Srinivasan (Harvard Business School)

摘要：我们使用了一套卖方分析师的基于情景分析的估值数据，检验分析师是否能够评估一个公司基本面上价值的状态依存风险。我们发现分析师得出的不同情景下的估值范围能够捕捉营运风险和预测公司基本面上估值误差的长期绝对维度和未来变化情况。我们还展示了分析师对基本面风险的评估，并且展示了该评估的预测能力在金融风险之后会得到系统性地提升。这也与宏观经济冲击能够增强分析师对公司所暴露的系统性风险的意识相一致。

关键字：分析师，基本面风险评估，基于情景的价值估计，目标价

Can analysts assess fundamental risk and valuation uncertainty? An empirical analysis of scenario-based value estimates

Peter Joos (INSEAD, Asia Campus), Joseph D. Piotroski (Stanford University), Suraj Srinivasan (Harvard Business School)

ABSTRACT

We use a data set of sell-side analysts' scenario-based equity valuation estimates to examine whether analysts can assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts’ scenario-based valuations captures the riskiness of operations and predicts the absolute magnitude of long-run valuation errors and future changes in firm fundamentals. We also show that analysts’ assessment of fundamental risk and its predictive ability systematically improved after the financial crisis, consistent with the macroeconomic shock raising analysts’ awareness of firms’ systematic risk exposures.

Keywords: Analysts, Fundamental risk assessment, Scenario-based valuations, Target prices

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X16300836

翻译：吴雨玲