分析師報導與股票報酬的關係：在不同層級之投資人心態下

Investor Sentiment, Analyst Following and Stock Returns

陳姿良(Chen Tzu-Liang)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2009年)

摘要

本研究探討在不同層級之投資人心態下，分析師報導與股價報酬之間的關係。本文預期，越少分析師報導、分析師意見越分歧、與分析師報導修正次數越多的股票，會有較低的股票報酬，此現象會在高層級之投資人心態下越趨明顯。研究結果指出，在高層級之投資人心態下，分析師修正預測次數越多的股票，會有越低的股票報酬。

關鍵字

分析師報導、分析師意見分歧、分析師報導修正次數、投資人心態

並列摘要

The literature postulates that stocks tend to be overvalued when investors have greater differences of opinions. This research extends prior studies and examines the impact of investor sentiment on this overvaluation effect based on analyst forecasts. It is hypothesized that stocks with greater differences of opinions have lower future returns, and that this overvaluation effect becomes more pronounced when market sentiment is high. This study finds partial support to this hypothesis when the frequency of forecast revisions is used as the proxy for the heterogeneity of opinions.

並列關鍵字

Analyst coverage, Dispersion in Earnings Forecast, Number of Revisions, and market sentiment

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