台股分析師報告在金融危機下預測準確度與影響因素

Target Price Accuracy and Determinants in Bad Times for Taiwan Stock Market

鄭力瑋(Li-Wei Zheng)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101166

摘要

本研究探討台股分析師報告在金融危機下目標價預測準確度與其影響因素。樣本使用14年共48,451份券商報告及其目標價，研究方法上本研究則以Bonini, Zanetti, Bianchini, and Salvi (2010) 所訂定之目標價預測誤差衡量方法，結合Loh and Stulz (2018) 加入金融危機期間分析之概念，對台灣證券市場之券商分析師報告進行實證研究。實證結果發現，分析師之目標價預測於金融危機期間除了過度預測(overshooting)問題外，確實存在準確度下降之現象，整體而言目標價預測在金融危機期間偏向過於樂觀；其他影響因素方面，過去研究覆蓋量越多之個股能夠對預測準確度有所提升，而分析師在報告發佈時目標價預測越樂觀將導致最終預測準確度越低。

關鍵字

預測準確度 ； 分析師報告 ； 目標價 ； 金融危機 ； 過度預測

並列摘要

This study investigates target price accuracy and determinants in bad times for Taiwan stock market, which is based on a total of 48,451 analyst reports and their target prices in 14 years. Following target price accuracy metric of Bonini, Zanetti, Bianchini, and Salvi (2010) and bad time concept of Loh and Stulz (2018), our empirical results found that besides the problem of target price overshooting, accuracy also declines in bad times. Overall, target price forecasts during bad times were too optimistic. For other determinants, we found that stocks with more research coverage can improve forecast accuracy, and the more optimistic the analyst forecasts at the releasing date were, the lower the accuracy will be.

並列關鍵字

Analyst Reports ； Target Price ； Bad times ； Overshooting ； Forecast Accuracy

參考文獻

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Bonini, S., L. Zanetti, R. Bianchini, and A. Salvi (2010). Target Price Accuracy in Equity Research. Journal of Business Finance Accounting, 37 (9-10), 1177-1217.