分析師對於財務危機公司有預測能力嗎?

Do Analysts Anticipate Firms In Financial Distress?

王悅慧(Yueh-Hui Wang)

指導教授 ： 蔡湘萍

元智大學/管理學院/財務金融學系/碩士(2009年)

https://doi.org/10.6838/YZU.2009.00215

摘要

本文旨在檢測分析師對於財務危機公司是否具有偵測能力，並探討財務危機公司下市前分析師的二種行為變化。其一是調降買賣建議，其二是停止提供盈餘預測。經由分析美國1996~2008的財務危機公司資訊並建立三個模型後，結果如下。第一，針對下市前一年的資料將財務危機公司與正常公司配對比較，probit model結果顯示分析師藉由停止提供盈餘預測與調降買賣建議水準，向投資大眾透露警告訊息。第二，針對樣本財務危機公司下市前三年的資料進行order porbit model分析，結果發現較資深的分析師能較早嗅到異狀，並傾向採取提早停止盈餘預測來取代下調買賣建議的方式以暗示市場參與者。第三，經由存活分析(Cox(1972) model)發現，相較於經驗較少的分析師而言，較資深的分析師們對於財務危機公司調降買賣建議的速度較快，而停止提供盈餘預測的速度則較慢。最後，本文分析最狹義的財務危機公司－破產或公司自己要求下市的樣本公司，發現分析師同樣藉由停止提供盈餘預測來暗示負面評價。而較有經驗的分析師亦採取提早停止盈餘預測的方式暗示公司潛藏的財務危機。

關鍵字

美國財務危機公司 ； 停止提供盈餘預測 ； 調降買賣建議水準 ； 存活分析

並列摘要

This study aims to examine whether analysts have abilities to detect corporate financial distress and to discuss the changes in analysts’ behavior prior to the delisting dates of financial distress. Two analysts’ actions are considered. One is that analyst stop providing earnings forecasts (i.e., drop coverage) for a firm. The other is downgrading recommendations. Using financially distressed firms in U.S.A. from 1996 to 2008 and constructing three models, the results are as follows. First, comparing failing firms and normal ones one year prior to the delisting dates, the probit model results show that analysts send warning messages by dropping coverage and by downgrading recommendations for market participants. Second, focusing on analysts’ behavior three years prior to delisting dates, the order probit model results suggest that more experienced analysts tend to drop coverage instead of revising down recommendation on financially distressed firms earlier. Third, by survival analysis, more experienced analysts drop coverage more slowly but revise down recommendations more quickly than those who are less experienced.

並列關鍵字

Financial distress ； stop providing earnings forecasts ； revising down recommendation ； survival analysis

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