摘要
中国证券交易市场发展至今已有三十余年，随着投资者数量的快速增长，
投资需求增强推动证券分析师行业不断发展。分析师作为重要的信息中介，是
连接上市企业与投资者之间的“桥梁”。分析师需要实时跟踪上市企业信息，
并对有效信息进行处理分析后，撰写成研究报告提供给投资者作为投资决策的
参考。这样有助于降低市场中信息不对称程度，提高资金配置效率。因此，证
券分析师发布的荐股报告直接关系到市场效率以及投资者利益，其评级有效性
是各监管机构以及学术界关注的重点。
本文运用事件研究法，以 2020年 11月至 2021年 10月我国 A股市场的股
票研报作为样本，从不同行业视角分别计算了三类不同评级的研究报告在短期
内和中期内的超额收益率情况，得到不同行业中企业的荐股报告有效性存在差
异。“买入”评级短期内在大部分行业有效，其中 J（金融业）行业和 R（文
化、体育和娱乐业）行业的有效性最显著，从中期看“买入”评价报告只在部
分行业中有限有效，大部分行业无效；“增持”评级短期内在部分行业有效，
同样在 J行业和 R行业中的有效性性更显著，中期内在大部分行业中无效，少
数行业中有限有效；“中性”评级短期内只在个别行业有效，中期内在个别行
业有限有效。
最后基于前文实证研究的结果，对投资者制定投资策略以及相关的监管机
构实施监管方面提出了一些建议，来维护证券市场秩序，提升市场效率，保护
投资者利益。
关键词：评级有效性；事件研究法；累计超额收益率
I

Research on the Effectiveness of Analysts' Stock Recommendation
Reports Based on Industry Perspective
Abstract
China's securities exchange market has been developed for more than 30 years.
With the rapid growth of the number of investors, the increased investment demand has
promoted the continuous development of the securities analyst industry. As an
important information intermediary, analysts are the "bridge" between listed companies
and investors. Analysts need to track the information of listed companies in real time,
process and analyze the effective information, then write a research report for investors
as a reference for investment decisions. In this way, the information asymmetry in the
market will be weakened and the efficiency of capital allocation in the market will be
improved. Therefore, the recommendation stock rating report issued by securities
analysts is directly related to market efficiency and investor interests, and its rating
effectiveness is the focus of attention of regulators and academics.
Applying event study method, we take the research reports released by securities
analysts from November 2020 to October 2021 as a sample, and calculate CAR three
types of research reports in different industry in the short and medium term. Based on
the results, this paper analyzes the effectiveness of the rating reports of enterprises in
different industries. The "buy" reports are effective in most industries in the short term
and the effectiveness of the J (financial industry) industry and the R (culture, sports and
entertainment industry) industry is the most significant. The "buy" reports are only
finitely effective in some industries in the medium term and most of which are
ineffective. The " outperform " rating is effective in some industries in the short term,
similarly effectiveness is more pronounced in the J and R industries. It is ineffective in
most industries in the medium term and also finitely effective in a few industries.
"Neutral" reports are only effective in a few industries in the short term. In the medium
term they are infinitely effective in a few industries.
Finally, according to the empirical results above, we put forward some suggestions
for investors to formulate investment strategies and the implementation of supervision
II

by relevant regulatory authorities to maintain the order of the securities market, improve
market efficiency, and protect the interests of investors.
Keywords: Effectiveness of stock rating ; Event study method ; CAR
III
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