近年來愈來愈重視財務分析師的預測資料,財務分析師是否能如效率市場假說的能理性的進行預測,為行為財務學關切的課題。本研究旨在探討財務分析師因具備專業的知識,是否也會受其資訊的不確定,而其反應之行為有所偏誤。本研究基於此原因,探討此問題,希望更深入了解台灣財務分析師的預測資料。 本研究根據2000至2004 年台灣上市、櫃公司進行迴歸分析,結果支持財務分析師對於新資訊反應不足,是因較多的資訊不確定產生。此外,探討財務分析師對好、壞消息的行為反應,發現財務分析師對於好消息會有過度反應之現象,對於壞消息會有反應不足之現象。本研究更細緻之樣本分類方式,將公司與消息面均區分為好壞,實證結果顯示,若財務分析師使用代表性經驗法則進行盈餘預測,則對好公司之好消息而言,會出現過度反應之現象,但對壞公司壞消息出現過度反應與好(壞)公司壞(好)消息均會出現反應不足之假說未有所成立。
It is more and more important the financial analyst's prediction data in recent years, and whether the financial analysts could predict rationality as Efficiency Market Hypothesis that is the concerned issue in Behavioral Finance. The gist of this report is investigates whether the financial analysts will be inaccurate behavior that is affected by information uncertainty. Based on the reason, this study in order to understand the prediction data of the financial analysts in Taiwan. According to the forecasted data from year 2000 to 2004 in Taiwan security market, the result supports that the financial analysts under react to new information is due to information uncertainty. In addition, this report investigates the behavior about the financial analysts react to good or bad news. The results reveal the financial analysts over-react to good news, but under-react to bad news. And it divides the sample to detail further, differentiate between news and company into well or bad, and it reveals that if the financial analysts use representative heuristic to predict earnings, as for good news of the good company will reflect overreaction. But the hypothesis of the overreaction appears bad company with bad news and good (bad) company with bad (good) news has not been established.