綜合券商附屬分析師預測偏誤 與利益衝突關聯之研究

The Relation Between Forecast Biases of Affiliated Analysts in Full-Service Securities Firms and Conflict of Interests

黃姿婷(TZU-TING HUANG)

指導教授 ： 林維珩

中原大學/商學院/會計研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300249

摘要

摘要
在學術的研究領域中，財務分析師的預測值會被拿來作為市場上預期的代理變數，但美國相關實證研究及近來SEC對華爾街券商展開之大規模調查均證實，賣方分析師會因利益衝突的趨使，而發佈出偏誤的預測值。因此本研究以附屬於綜合券商之財務分析師(簡稱券商分析師)預測的偏誤與其自營商投資策略間的關連性，來探討賣方分析師之利益衝突。
本研究以2000年及2001年券商分析師對其自營商首次買進及全部賣出股發佈之預測值，分別就自營商首次買進及全部賣出的前期、同期及後期，來驗證：
一、券商分析師是否會對其自營商首次買進及全部賣出股發佈較其他分析師(平均數及中位數)樂觀或悲觀的預測值。
二、券商分析師對其自營商首次買進及全部賣出股預測之正確性是否較其他分
析師低。
本研究實證結果如下：
一、 券商分析師相對樂觀或悲觀性預測之實證結果
在自營商首次買進的各期間，券商分析師並不會隨著其自營商首次買進股之持股比例的增加而發佈較樂觀的預測值；在自營商全部賣出的前期(同期及後期)，券商分析師亦不會隨著其自營商全部賣出股之持股比例的增加而發佈較樂觀(悲觀)的預測值。此外，承銷關係、經紀商手續費收入佔營收比例、經紀業務市佔率及財務分析師預測次數與券商分析師相對樂觀或悲觀性預測間亦無關連性。
二、 券商分析師預測之相對正確性的實證結果
在自營商首次買進的各期間與全部賣出的前期及後期，券商分析師與其他分析師對該首次買進及全部賣出股之預測正確性並不具差異性，僅於全部賣出的同期具差異性。與券商分析師相對樂觀或悲觀性預測之實證結果比較之，發現券商分析師預測偏誤與自營商的投資策略間並不具關連性。

關鍵字

賣方分析師 ； 預測偏誤 ； 利益衝突

並列摘要

Abstract
Analysts’ forecasts are used as proxies for the market expectations of financial performance. However, the empirical results in the U.S.A. and the investigations into the full-service securities firms in Wall Street carried out by the SEC have indicated that analysts’ forecasts are biased because of conflict of interests. Therefore, this study examines the relation between the trade decisions of dealers and earnings forecasts of sell-side analysts employed by the same firm.
We examine forecasts biases of sell-side analysts conditioned on the securities that their dealer’s trade over periods prior to (PRIOR), concurrent with (CONC), and subsequent to (POST) the trade decisions. Also, we examine the ex-post accuracy of affiliated analyst earnings relative to other analysts (mean and median of forecasts) estimates in order to find if affiliated analyst forecast biases are driven by incentives.
From the empirical evidence, we find that sell-side analysts are not optimistic for securities that represent new investments for the portfolio composition of their dealer in each of the forecast periods and not optimistic (pessimistic) for those divested in the PRIOR (CONC and POST) period. Forecast accuracy deteriorates during periods coincident with the security complete divestiture. But for new investments (complete divestitures), forecasts accuracy doesn’t decline in each of the periods (PRIOR and POST) under investigation. It represents that dealer’s trade decisions have no relationship with forecasts biases of their affiliated analysts. In addition, the underwriting relationship, brokerage commissions, share of brokerage revenue and numbers that analysts forecast have no relationship with the forecast biases of sell-side analysts.

並列關鍵字

Conflict of Interests. ； Sell-Side Analysts ； Forecast Biases

參考文獻

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