資本市場價量行為與分析師股票推薦關聯性之研究

Capital Market, Price Behavior and Security Analyst Recommendations

張竹萱(Chu-Hsuan Chang)

指導教授 ： 陳業寧 ； 林修葳

國立臺灣大學/管理學院/財務金融學研究所/博士(2005年)

https://doi.org/10.6342/NTU.2005.03005

摘要

無資料

關鍵字

分析師股票推薦 ； 資本市場反應 ； 裁決性應計項

並列摘要

Chapter I Does the Market React Differently to Lead versus Follow Analyst Recommendations?
Abstract
We identify lead and follow analysts based on the timeliness of their recommendations, documenting more pronounced market reactions to the buy/hold/sell ratings issued by the analysts who systematically provide their recommendations ahead of the others. In some ways, our methodology is similar to that of Cooper, Day, and Lewis (2001), who ranked analysts by the timeliness in their earnings forecasts. Nevertheless, it may be more challenging but equally as valuable to identify the leaders and followers among the analysts in terms of their recommendations.
Chapter II Do Analysts Adequately Incorporate Discretionary Accruals into Investment Recommendations?
Abstract
In this paper, we examine whether security analysts “adequately” incorporate discretionary accruals into their recommendations. Prior research documents that investors, as reflected by stock price behavior, tend to overestimate the persistence of accruals. This paper seeks to investigate whether analysts, as representatives of sophisticated market participants, help investors to assess the valuation implications of discretionary accruals. As consistent with the notion that analysts fail to fully incorporate the information of discretionary accruals into their investment recommendations, we demonstrate profitable investment strategies based upon both analyst recommendations and discretionary accruals. Moreover, we document pronounced long-run price reversals with firms in the first quartile for discretionary accruals regardless of the recommendations. Our sensitivity tests show that recommendations by analysts in the All-American group are also subject to such bias.

並列關鍵字

market reactions ； timeliness ； analyst recommendation ； discretionary accruals

參考文獻

Chapter I Does the Market React Differently to Lead versus Follow Analyst Recommendations?

Barber, B., R. Lehavy, M. McNichols, and B. Trueman. 2001. “Can Investors Profit from the Prophets? Security analyst recommendations and stock returns.” Journal of Finance 56: 531-563.

Clement, M. B., and S. Y. Tse. 2003. “Do Investors Respond Analysts’ Forecast Revisions as if Forecast Accuracy is All That Matters?” The Accounting Review 78: 227-249.

Cooper, R. A., T. E. Day, and C. M. Lewis. 2001. “Following the Leader: A Study of Individual Analysts’ Earnings Forecasts.” Journal of Financial Economics 61: 383-416.

Gleason, C. A., and C. M. C. Lee. 2003. “Analyst Forecast Revisions and Market Price Discovery.” The Accounting Review 78: 193-225.