分析師報導與股價報酬波動性

Analyst Coverage and Stock Return Volatility

林佩霞(Lim Pey Shya)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

本研究探討分析師報導及分析師之間的意見分歧對各股特徵性風險的影響。本文預期，具有較多分析師報導的各股，其個別資訊較能被反應在股價上，因此其特徵性風險應較高。研究結果拒絕此一假說。從過去文獻中可歸納其原因為，分析師所報導的資訊，通常隱含較大量市場及產業資訊，反而造成該股價與市場同步性較強、特徵性風險較低。此外本研究也發現，當眾分析師對於某一股票有較大的意見分歧時，將導致其股價波動、增加其特徵性風險。

關鍵字

分析師報導 ； 分析師意見分歧 ； 特徵性風險

並列摘要

This paper investigates the impact of analyst coverage and the dispersion in analyst's earnings forecast on a stock's idiosyncratic volatility. Stocks with higher analyst coverage are expected to reveal more firm-specific information and are therefore hypothesized to increase the idiosyncratic volatility. The study finds results rejecting this hypothesis. The evidence however can be reconciled with the argument that information provided by financial analysts contains more industry-wide or market-wide information as well, resulting higher stock price synchronicity or lower idiosyncratic risk. I also find that a larger disagreement about a stock tend to destabilize its stock price, leading to higher idiosyncratic volatility.

並列關鍵字

Analyst Coverage ； Idiosyncratic Volatility

參考文獻

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