由於分析師擁有較優越的資訊管道且經過專業之訓練,其對於市場資訊的解讀與分析對於投資人具有一定的附加價值。過去已有眾多研究探討分析師投資建議對於股票市場之影響上,然而投資人由分析師所接收的資訊不僅限於投資建議的單項資訊,更包含整篇分析師報告的內容,因此分析師報告之文字資訊內容應會影響投資人之投資行為。 本研究以2007-2009年間分析師個股研究報告為樣本進行內容分析,將分析師報告中的文字資訊量化,藉以檢視分析師報告文字資訊是否與企業之權益資金成本、股價報酬波動性和分析師盈餘預測準確性存在關聯性。 . 本研究之實證結果顯示,分析師報告之文字資訊與資本市場行為和分析師盈餘預測準確性確實具有關聯性。當分析師報告負面文字訊號愈強,企業所需負擔的權益資金成本也就愈高。當分析師報告文字資訊不確定性愈高,分析師口吻愈含糊不清時,企業股價報酬波動性較大,分析師盈餘預測準確性則較低。
Because analysts usually own better information sources and professional training, their interpretation and analysis of market should contain value to investors. Prior studies have investigated the impact of analysts’ recommendation on stock market. However, other than the recommendation, the whole textual content of analyst reports could also affect investors’ behavior. This study uses content analysis to analyze the textual information contained in analyst reports issued between year 2007 and 2009. We quantify the sentiment as revealed by the textual information and investigate its relationship with cost of equity capital, stock return volatility, and analyst forecast accuracy. The empirical results show that textual information of analyst reports does have significant relationship with stock market behavior and forecast accuracy. When the reports contain more negative sentiment, the cost of equity capital is higher. In addition, when the degree of sentiment uncertainty is higher, stock return volatility is higher while forecast accuracy is lower.