A Comparison of Alternative Dividend Forecasting Techniques

股利預測方法之比較

徐守德(David Shyu)

《中國財務學刊》 2卷1期 (1994/07) Pp. 33-55

https://doi.org/10.6545/JoFS.1994.2(1).3

摘要

有關市場對股利宣告之情報效果之事件研究中，股利的預測扮演極重要的角色。本研究比較四種股利預測模式，即天真預測法、單一時間數列法、向量自我迴歸法、及證券分析師預測法。本研究自價值線調查中隨機抽取50家樣本，觀察1989年到1991年上述四種方法之預測績效，實證結果顯示證券分析師之預測顯著優於其他三種預測法，故在相關之事件研究中，應以證券分析師之股利預測作為市場之預期股利之代理數據，此一結果亦解釋市場仍僱用證券分析師之理由。

並列摘要

Dividend forecasting is a primary element in event-type studies which examine the market's reaction to information conveyed by dividend announcements. This study compares four dividend forecasting models, the naive model, the univariate time series model, the vector autoregressive model, and an analyst forecast, for a random sample of 50 firms for each of three years 1989-1991 and for forecast horizons of one to four quarters. The empirical results indicate that Valueline forecast makes significantly better dividend forecasts than the rest of three models. These results are consistent with rationality in the market for analyst forecast.