本研究檢視台股目標價預測準確度及影響因素之探討。過去文獻皆以資訊透明度較高的已開發國家為研究主題,結果顯示各國證券市場分析師目標價預測能力相對不足 (Asquith et al., 2005; Bilinski et al., 2012; Bonini et al., 2010; Bradshaw et al., 2012; Bradshaw et al., 2013; Kerl, 2011)。本文以2007年3月至2013年12月本國與外資證券商對台股上市公司所發佈之目標價預測資料為研究樣本,利用Bonini et al. (2010) 所建構之目標價預測準確度衡量方法,試圖探討資訊透明度較低之台灣市場分析師,其目標價預測能力是否較低。 實證結果顯示,目標價預測達成率在預測期間內為47.52%;在預測期間結束時下降為26.44%。負面與中立評等達成率優於正面評等;降級評等達成率優於重申與升級評等。分析師在預測期間結束時有過度預測目標價情形,且當推薦強力買進時,預測誤差最大。此外,不論在預測期間內與結束時,目標價預測誤差與預測樂觀程度呈顯著正相關,與標的個股動能因子及市場報酬呈顯著負相關,此顯示分析師預測目標價確實存在系統性偏誤。其次,當標的個股市值淨值比越高,目標價預測存在過度預測情形;當標的個股公司規模越大、有盈餘狀態與證券商預測經驗越多時,目標價預測存在過度保守情形。最後,外資證券商在預測期間內,相較於本國證券商目標價預測誤差較大,且存在過度預測目標價情形。
Past studies show that analysts’ target price accuracy has been very limited around the world. Using the sample of Taiwan stock market from 2007 to 2013, we examine the accuracy of forecasted target prices and its determinants. At some time during the forecast horizon, 47.52% of target price are met, but at the end of the forecast horizon only 26.44% target price are met, and analysts overestimate target price by an average of 28.51%. We find that target price forecast error is positively correlated with the predicted growth in stock price. However, target price forecast error is negatively correlated with the stock price momentum and overall market return. Furthermore, both stock- and broker-specific characteristics can explain the accuracy of target price. Our results indicate that target prices are systematically biased.