券商盈餘預測修正行為之研究-以臺灣五十指數成分股為例

A Study on the Behavior of Broker's Earnings Forecast Correction : Evidence from the Constituents of the FTSE TWSE Taiwan 50 Index

魏婉婷(Wan-Ting Wei)

指導教授 ： 黃志祥

國立虎尾科技大學/管理學院/財務金融系碩士班/碩士(2017年)

摘要

本研究主要在探討券商盈餘預測修正相關行為。以臺灣證券交易所臺灣五十指數成分股公司為研究對象，從2003年6月1日至2015年12月31之每月月底資料，共計12年又7個月。
實證結果顯示與券商盈餘預測修正行為，呈現正向關係的變數有公司規模、淨值股價比、市場風險、落後一期的盈餘預測修正值；而呈現反向關係的變數有權益風險溢酬；以產業類別來看，有不同影響結果分別有全部變數對金融類股無顯著影響、公司規模和股價淨值對傳產類股無顯著影響外，其餘結果皆相同。在前一期非預期性的事件，對電子類股與傳產類股有短期正向影響，但其波動性大小不同，傳產類股大於電子類股；在長期持久性的事件，對各產業類股皆有長期正向影響，但其波動性大小不同，最大為金融類股，依序為傳產類股、電子類股。另外券商是否有盈餘預測偏誤的行為，發現除了2003年度未達顯著水準外，各年度與產業分類，皆有顯著的盈餘預測樂觀的偏誤現象，但產業類別的樂觀偏誤大小不同，最大為金融類股，依序為電子類股、傳產類股，並且在2014年與2015年盈餘預測樂觀行為發佈後的一週與兩週內，券商有顯著的反向操作行為，證實券商有其他經濟誘因而產生利益衝突的現象。

關鍵字

券商盈餘預測修正 ； 臺灣五十指數成分股 ； 盈餘預測偏誤

並列摘要

This study was to investigate the brokerage earnings forecast related corrective actions. FTSE TWSE Taiwan 50 Index constituent stocks as the object of study, from June 1, 2003 to December 31, 2015, monthly information at the end of a total of 12 years and 7 months.
The empirical results show that the variables that present the positive relationship are the firm size, the net price ratio, the market risk, the surplus forecast correction value. The variables with the reverse relationship are the risk premium. In terms of industry categories, there are all the variables that have different effects on the financial category have no significant impact, the production category has no significant impact on the size of the company and the net price of the stock, the remaining results are the same.
In the previous issue of unanticipated events, there was a short-term positive impact on the electronic category and production category, but the volatility of different sizes, the production category more than electronic category; In the long-term persistent events, there are long-term positive effects on all categories, but the volatility of different sizes, the largest financial category, followed by the production category, electronic category. Whether the broker has the behavior of the earnings forecast bias, and found that in addition to 2003 did not reach a significant level, the annual and industrial categories, there are significant earnings forecast optimistic bias phenomenon, but the industry categories of optimistic bias different size, the largest financial category followed by electronic category, production category. Furthermore, in 2014 and 2015 earnings forecast optimism after the release of first week and second week, the broker has a significant reverse operation, confirmed that the broker has other economic incentives and the phenomenon of conflict of interest.

並列關鍵字

Brokerage earnings forecast correction ； Taiwan 50 index constituent stocks ； Earnings forecast bias

參考文獻

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