看完券商报告再买入？你可能被套路了
<p><span style="font-size: 15px;color: rgb(123, 12, 0);">本公号作者：卫斯理，毕业自清华经管，擅长择时，精通量化。成功预测过3次股灾，2016年收益80%且回撤极小。</span></p><p><span style="font-size: 15px;">卫斯理去年写过一篇文章，</span><span style="font-size: 15px;">说说炒股的一些基本常识</span><span style="font-size: 15px;">，没有读过的朋友，可以再翻过去读读，阐述了很多对机构是常识，但是普通散户未必知道的事实。</span></p><p><span style="font-size: 15px;">文中我如是描述：</span></p><p style="text-align: justify;"><span style="font-size: 15px;">咱们国家的证券公司收入的大头还是佣金，散户的佣金比例是越来越低了，所以机构的佣金是很大的部分，那就说到证券公司的研究所存在的目的了。</span></p><p style="text-align: justify;"><span style="font-size: 15px;">所谓卖方，就是为买方服务的，买方就是基金呀保险啊这些要在证券公司交易的机构了，他们要查个什么数据，套点上市公司的资料，证券公司的研究员就得赶紧查赶紧写。研究员也会私底下做路演，去基金公司说这个票好，那个票好，如果基金经理信了，买了，赚了，那么就会感谢研究员，多在这个券商交易，这样研究员和销售对应的佣金就多拿。</span></p><p style="text-align: justify;"><span style="font-size: 15px;"><br/></span></p><p style="text-align: justify;"><span style="font-size: 15px;">所以基本是这个模式，所以写出来的报告，不是给散户看的，而是给机构看的。而且，经常是报告发出来之前，股票猛涨，发出来之后，股票就见顶回落了，这都是商量好了，研究员写报告之前就已经告诉买方的朋友了。</span></p><p style="text-align: justify;"><span style="font-size: 15px;">这个行业就是如此，不要大惊小怪，所有人都知道，所以研究报告能不能信，你就清楚了。</span></p><p style="text-align: justify;"><span style="font-size: 15px;">今天看到这样一篇文章，<span style="font-size: 15px;text-align: justify;">作者的公众号是紫荆十三，用数据的方法研究卫斯理说的这样一个事实，我最喜欢类似于这样喜欢刨根问底的人，</span>推荐给大家。</span></p><p style="text-align: justify;"><span style="font-size: 15px;"><br/></span></p><p style="text-align: justify;"><span style="font-size: 15px;">作者在文章的结尾表示，年轻人就应该好好撸管。卫斯理表示不太认同，我们应该还是有点追求。卫斯理的粉丝中有一位，据说依靠自己的功夫厉害，找到的妹子的身家是自己的十倍。</span></p><p style="text-align: justify;"><span style="font-size: 15px;"><br/></span></p><p style="text-align: justify;"><span style="font-size: 15px;">所以，券商研报看不看不打紧，泡妞还是要自己够硬，这样也能改变自己的财富命运。如果你也有这样的经历，欢迎私信卫斯理，说出你的故事。</span></p><p><span style="text-align: justify;color: rgb(62, 62, 62);font-size: 16px;background-color: rgb(255, 255, 255);"><br/></span></p><p><span style="text-align: justify;color: rgb(62, 62, 62);font-size: 16px;background-color: rgb(255, 255, 255);"></span></p><p></p><p>正文如下：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;line-height: 1.6;box-sizing: border-box !important;word-wrap: break-word !important;">经常会听人说“卖方研报主要看数据和框架，结论参考价值有限”、“卖方推票主要是赚吆喝，比的是谁声音大”；但另一方面，每到新财富评选，又会听到无数一举夺魁、名利双收的励志故事。A股分析师研究的价值是否在研报中有所体现？笔者分析了数万份A股公司研报，尝试探究这个问题的答案。</span><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">因为公司分析报告标的明确、便于分析，如无特别说明，本次研究所指“报告”为<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">公司分析报告</strong></span>。2016.11.25是新财富分析师颁奖日，所以我们把2016.11.26至今作为一个新的“新财富赛季”。截至2017.9.30，各家机构的分析师总共发布了43,146篇A股公司分析报告，平均每天140篇。其中，报告篇数在1,000篇以上的公司共有17家，海通证券以2,802篇报告雄居榜首，光大证券以2,742篇紧随其后：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图1：证券公司发布报告情况</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">如果认为第一作者是对应公司分析报告主要负责人，报告篇数在200篇以上的分析师共有11位，分布如下：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图2：分析师发布报告情况</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">分析师报告看多的公司，是否有超额回报？对此，笔者重点研究了发布日期在2016.11.26-2017.4.14这小半年的报告，分别将分析师发布报告前一日（一般为报告上的取价日）向前/向后推120个交易日，获取其股价走势。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">笔者排除了以下3类报告：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">1. 针对新股的报告、前120个交易日全都在停牌中的股票（反正也买不着）；</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">2. 前120个交易日内上市的次新股（对评价前120个交易日的回报有扰动）；</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">3. 所有诸如“回避”、“中性”、“谨慎/审慎推荐”等偏负面的评级和所有下调评级的报告。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">最后得到用于分析的<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">“正面的、能买的老股”</strong></span>报告共15,085篇。鉴于事件驱动分析应该剔除beta的影响，我们下面主要从超过沪深300的<strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;">相对回报</span></strong>进行分析，除特别说明外，下文所绘制曲线均为符合条件的所有研报的均值。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;font-size: 18px;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">一、 总体情况</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">先看全市场情况：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图3：全市场分析师发布报告后对应股票相对回报均值（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">这相对回报曲线，简直就是<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">接盘侠集结号</strong></span>嘛。研报发布之后相对回报一路走低，到100个交易日后（约5个月）<strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;">平均会输沪深300将近8%</span></strong>……顺便再看看绝对回报好了：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图4：全市场分析师发布报告后对应股票绝对回报均值（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">从<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">绝对回报</strong></span>来看，分析师推荐股票有以下规律：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">1. 涨了才推；</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">2. 推完就快见顶了；</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">3. 跌了40个交易日左右（约2个月）见底开始反弹，但120个交易日（约6个月）才堪堪回本。</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;font-size: 18px;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">二、 “新财富神话”与“全市场首推”</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">前面提到，每次新财富评选，都会选出一批新的“A股之神”，那么<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">“是否新财富分析师”</strong></span>对结果影响如何？笔者按照2016年新财富评选结果，将报告分为3组：新财富第一、新财富上榜（非第一）和非新财富，分别考察对应股票相对回报，结果如下：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图5：分析师（按2016新财富分组）发布报告后对应股票相对回报均值（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"><img data-s="300,640" data-type="png" class="" data-ratio="0.6008316008316008" data-w="481" src="https://www.fqlook.cn/plugin.php?id=wcn_editor:wx_img&url=http://mmbiz.qpic.cn/mmbiz_png/OCRuu4Mib834fSfsLAG9A5txdIx1xmx4FfKA0ibKGxYW5vA1LVOcKH3iaBwt9pnfrghGQ7KhvNIdIShOx1WZhjX5A/0?wx_fmt=png" style="background-color: rgb(238, 237, 235);border-width: 1px;border-style: solid;border-color: rgb(238, 237, 235);background-size: 22px;background-position: center center;background-repeat: no-repeat;height: 289px !important;box-sizing: border-box !important;word-wrap: break-word !important;width: 481px !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">差别并不明显，新财富第一名的分析师推的股票，平均而言比其他分析师在推后的下跌幅度小一点，但似乎也没有别的alpha了。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">如果新财富也靠不住，那么“全市场首推”呢？我们按照在2016.11.26-2017.4.14的样本期内某股票第一次被分析师推荐进行筛选，得到报告1,860篇。而截至2017.9.30，沪深两市共有上市公司4,518家，换言之分析师们在小半年的时间里覆盖了全市场40%以上的股票，这其中还不包括推荐新股。考虑“首推”效应后的回报如下：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图6：“首推”报告后对应股票相对回报（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"><img data-s="300,640" data-type="png" class="" data-ratio="0.6008316008316008" data-w="481" src="https://www.fqlook.cn/plugin.php?id=wcn_editor:wx_img&url=http://mmbiz.qpic.cn/mmbiz_png/OCRuu4Mib834fSfsLAG9A5txdIx1xmx4FBW13u0UkPLnXyKnsF9CFE6ejnJbDxic9jYDgWnt8icJ5bokMWEL7B7xg/0?wx_fmt=png" style="background-color: rgb(238, 237, 235);border-width: 1px;border-style: solid;border-color: rgb(238, 237, 235);background-size: 22px;background-position: center center;background-repeat: no-repeat;height: 289px !important;box-sizing: border-box !important;word-wrap: break-word !important;width: 481px !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">“全市场首推”的结果比全体平均水平更差了，第一个吃螃蟹的人与其说是勇士，倒不如说是“烈士”。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;font-size: 18px;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">三、 行业差异</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">我们把筛选后的15,085份研报按中信行业划分进行分类，分布如下：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">图7：研报行业分布</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">医药以1,256份位列第一，机械以1,155份位居次席，这两个行业平均每天有近9份公司点评发表。我们以（推荐后最大涨幅/241个交易日振幅）来表示研报对应的“贡献”，将总共29个行业按这个指标从大到小排序，为方便展示分为6组：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图8：分行业研报发布后对应股票相对回报（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">从结果来看，<strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(255, 76, 65);box-sizing: border-box !important;word-wrap: break-word !important;">有色/煤炭</span></strong>行业相对较好。这可能是因为样本区间（2016.11.26-2017.4.14）刚好赶上了年初“煤飞色舞”的大行情所致。而在样本区间里，<strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(61, 167, 66);box-sizing: border-box !important;word-wrap: break-word !important;">纺服/军工/传媒</span></strong>等传统热门行业都表现不佳，推票后的相对回报显著低于平均水平。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;font-size: 18px;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">四、 预警指标：市值与换手率</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">从上面的行业分析，我们隐约可以发现，平均而言在研报发布后表现较差的行业，往往有以下两个特点：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">1.<span class="" style="max-width: 100%;white-space: pre;box-sizing: border-box !important;word-wrap: break-word !important;"> </span><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">“好运作”</strong></span>：只需少量资金即可拉动——<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">总市值</strong></span>相对较小；</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">2.<span class="" style="max-width: 100%;white-space: pre;box-sizing: border-box !important;word-wrap: break-word !important;"> </span><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">“有故事”</strong></span>：是最近的热门股——<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">换手率</strong></span>应该较大。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">报告发布前一日公司市值的分布如下：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图9：报告发布前一日公司市值分布</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"><img data-s="300,640" data-type="png" class="" data-ratio="0.7202970297029703" data-w="404" src="https://www.fqlook.cn/plugin.php?id=wcn_editor:wx_img&url=http://mmbiz.qpic.cn/mmbiz_png/OCRuu4Mib834fSfsLAG9A5txdIx1xmx4FKjf0Azo3aBH7ibnTWBmgsP8YbZtQ9b1I4bY0lde6CWtaZMurNmQRQSg/0?wx_fmt=png" style="background-color: rgb(238, 237, 235);border-width: 1px;border-style: solid;border-color: rgb(238, 237, 235);background-size: 22px;background-position: center center;background-repeat: no-repeat;height: 291px !important;box-sizing: border-box !important;word-wrap: break-word !important;width: 404px !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">上图中纵轴为报告篇数，横轴为市值，单位为亿元，每一小格代表100亿元，可以看到分析师最爱推荐300亿元以下的<strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;">小票</span></strong>，占全部报告的76%。我们按照市值将样本4等分：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">各组的推荐后表现如下：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">图10：不同市值区间公司在被推荐后的相对回报（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">确实如此！<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">推的票越小，越可能是在给你挖坑</strong>。</span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">以报告发布前120日的日均换手率作为股票“热度”的指标，其分布如下：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图11：报告发布前120日公司日均换手率分布</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">上图中纵轴为报告篇数，横轴为换手率，单位为百分比，每一小格代表1%，可以看到分析师爱推荐的股票换手率一般在2%以下，占全部报告的71%。同样地，我们按照换手率将样本4等分：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">各组的推荐后表现如下：</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;">图12：不同换手率区间公司在被推荐后的相对回报（%）</p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">结果也很明显！<span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">推的票越热门，是雷的可能性也越高。</strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);font-size: 18px;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 0, 0);box-sizing: border-box !important;word-wrap: break-word !important;">五、 总结</span></strong></span><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 0, 0);box-sizing: border-box !important;word-wrap: break-word !important;"></span><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;color: rgb(0, 82, 255);box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></strong></span></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">总结一下我们从研报中分析出的结论，笔者差不多明白了自己为啥赚不到钱：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">1.<span class="" style="max-width: 100%;white-space: pre;box-sizing: border-box !important;word-wrap: break-word !important;"> </span>无论是绝对回报还是相比沪深300的相对回报，“研报发布”都是反向指标；</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">2.<span class="" style="max-width: 100%;white-space: pre;box-sizing: border-box !important;word-wrap: break-word !important;"> </span>不要迷信“新财富分析师”、“全市场首推”等噱头；</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">3.<span class="" style="max-width: 100%;white-space: pre;box-sizing: border-box !important;word-wrap: break-word !important;"> </span>分行业来看，2016.11.26-2017.4.14，有色/煤炭相对较好，而纺服/军工/传媒是“反指重灾区”；</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">4.<span class="" style="max-width: 100%;white-space: pre;box-sizing: border-box !important;word-wrap: break-word !important;"> </span>研报推荐的公司市值越小、换手越频繁，越要谨慎对待。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">如果上面的结论还不够明白，还有个一句话的版本：</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;font-size: 20px;box-sizing: border-box !important;word-wrap: break-word !important;"><strong style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;">年轻人就好好撸管，不要做一夜暴富的白日梦了。</strong></span></p><p style="max-width: 100%;min-height: 1em;text-align: center;box-sizing: border-box !important;word-wrap: break-word !important;"></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;">完。</p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><br style="max-width: 100%;box-sizing: border-box !important;word-wrap: break-word !important;"/></p><p style="max-width: 100%;min-height: 1em;box-sizing: border-box !important;word-wrap: break-word !important;"><span style="max-width: 100%;font-size: 12px;box-sizing: border-box !important;word-wrap: break-word !important;">注：<span style="max-width: 100%;line-height: 25.6px;">数据来源：迈博汇金、万得、彭博。在本文完成过程中得到众多前辈指点，十分感激。</span></span></p><p><br/></p><link rel="stylesheet" href="//www.fqlook.cn/source/plugin/wcn_editor/public/wcn_editor_fit.css?v134_b5R" id="wcn_editor_css"/>
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