06 Capital Market Expectation from sell-side analysts’ View 资产组合PPT 金融系，研究生课程课件.pptVIP

Capital Market Expectation from sell-side analysts’ View With Grinold theory’s application Preview Signal and forecast Forecasting rule of thumb IC of fundamental analysis What does CFA society think informative for sell-side analysts? IC of technical analysis Bollinger’s rational analysis AHP and stock rating How to determine weight Optimal membership decision Research difference among Analysts Sell-side analyst and other non-buy side Capital market expectation by fundamental or technical analysis, or both Broker, IMF, Economist, Professor Buy-side analyst mainly forecast through information from sell-side analyst forecasting rule of thumb Active management is forecasting. Raw forecast Θηare standard normal N(0,1), Θ is signal and η is noise, Correlation between r and g. Signal and noise are distinguished among information [Reference: Qiao’s model] Refined forecast By Grinold Alpha=E(r|g)-E(r)=Cov(r,g) )/Var(g) *{g-E(g}=IC*σ(r) *Score(g) Example: r is individual stock i’s return, g is its rating by 中金. In average, stock will beat market (positive alpha), if 1)IC is high, 2)stock volatility is high, 3)stock i’s rating, or, score is high forecasting rule of thumb Alpha = Volatility * IC * Score **公司对不同评级的预期(平均)异常收益=股票标准差×特定证券公司评级的信息系数×股票级别 IC：公司评级g与事后异常收益的相关系数 Zack Their strong-buy will beat the market by over 30% forecasting rule of thumb---two forecasts theory Refined forecasts: one asset and two forecasts What kind of information will be significant positive? Fundamental and technical analysis under EMH If independent Significant positive IC by CFAINSTITUTE---Methods for CME, Level III demonstrate the application of formal tools for setting capital market expectations, including statistical tools, discounted cash flow models, the risk premium approach, and financial equilibrium models; explain the use of survey and panel methods and judgment in setting capital market expectations; the inventory and business cycles, the impact of consume