台股外資分析師報告預測目標價之正確性與影響因素分析

Target Price Accuracy in Foreign Analysts' Reports for Taiwan Stocks

謝文良(Wen-Liang G. Hsieh) ； 李進生(Chin-Shen Lee) ； 王芊儒(Chien-Ju Wang)

《臺大管理論叢》 24卷1期 (2013/12) Pp. 43-70

https://doi.org/10.6226/NTURM2013.AUG.R13005

摘要

本文探究台灣市場外資分析師報告對目標價格預測之可信度，及影響目標價誤差的因素。文中使用五年共11,446份報告，觀察不同評估期間下的目標價達成率和目標價高估與低估的程度。主要發現有四點：一、目標價平均達成率不到五成，發布後三個月內即達成的比率高於更晚才達成的比例，負向評等的達成率高於正向評等。二、正向評等報告傾向過度樂觀，目標價誤差大於負向評等。三、外資機構的持股部位與分析師報告建議相符，傾向持有目標價過度樂觀的股票，這顯示分析師報告具有影響力，且使用者不易判別報告中的預測誤差。四、目標價格有系統性的高估或低估現象，包括高估中間評等的大型公司股價、高估分析師報告較少關注的股票、對高市價淨值比股票過度樂觀、以及對低市價淨值比股票過度悲觀。

關鍵字

分析師報告 ； 目標價 ； 投資評等

並列摘要

The study analyzes the accuracy of target price forecasts published by foreign analysts for listed Taiwan stocks. Using data in 11,446 analysts reports issued over the period of 2006 to 2010, we measure whether target prices are achieved and to what extent the target prices over- or under-estimate the actual stock prices. For the overall sample, less than 50% of target prices were achieved by the actual prices within one year, of which, a dominant proportion was achieved in 3 months after report issuing. Reports with favorable recommendation have lower percentage of achievement and tend to be over optimistic in target forecasts. The study finds that foreign institutions held relatively more shares of stocks that analysts over-forecasted. This suggests that the target prices do affect the portfolio decision of the buy-side clients, who were unable to tell the systematic bias in the forecasts. We also find that target price forecasts tend to overvalue large firms receiving modest recommendations, stocks with fewer analyst reports, high price-to-book ratio stocks, but under-estimate low price-to-book ratio stocks.

並列關鍵字

analysts' reports ； target price forecasts ； stock recommendation

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