分析師預測誤差與長短期股價的關聯性

The Relationship Between Analysts’ Forecast Errors and Long-Term and Short-Term Stock Price

林玟君(Wen-Chun Lin)

指導教授 ： 鍾彩焱

元智大學/管理學院/管理研究所/碩士(2002年)

摘要

分析師盈餘預測是投資大眾在作投資決策時用以參考的資訊。但根據過去的研究指出分析師有財務上的誘因，致使其所發佈的盈餘預測有所偏誤。因此本研究藉由探討長短期股票報酬對分析師盈餘預測誤差的反應，瞭解分析師盈餘預測的標的是會計盈餘或經濟盈餘。結果顯示（1）分析師樂觀盈餘預測值大於悲觀預測值﹔且分析師樂觀盈餘預測值有逐季增加的趨勢。在季與季之間分析師樂觀預測的差異，在愈接近年度盈餘宣告時，分析師樂觀盈餘預測值愈大。（2）長期異常報酬及短期股票異常報酬對分析師樂觀的盈餘預測相較於較悲觀的盈餘預測有較為負向的反應。（3）盈餘宣告時股票異常報酬對分析師樂悲觀預測的修正並不對稱，顯示分析師盈餘預測的標的應是會計盈餘。（4）長期股票異常報酬對分析師樂（悲）觀盈餘預測的反應為負（正），此亦顯示分析師盈餘預測的標的是會計盈餘。

關鍵字

分析師預測誤差 ； 股價報酬 ； 會計盈餘 ； 經濟盈餘

並列摘要

Sell-side analysts forecasts are used as an input to investment decisions. Prior studies indicate that analysts are financially motivated to provide biased earnings forecasts. This study examines market reactions to analysts forecasts and infers whether analysts forecasts provide information about firms’ economic earnings and thus their economic values rather than simply provide predictions of accounting earnings. The results indicate the following: (1) Using accounting earnings as the benchmark, consensus forecasts are more optimistic than pessimistic, in addition, the degree of optimism increases as earnings announcement draws nearer; (2) Both the short-run and long-run market reactions are positively associated with analysts forecast errors; (3) Cumulative abnormal returns surrounding earnings announcements are positively associated with analysts forecast errors. Asymmetric short-run market reactions indicates that analysts provide information about firms’ accounting earnings rather than merely predict economic earnings; and (4) All one-, two- and three-year long-run returns are positively associated with analysts forecast errors, indicating that analysts forecasts provide information about firms’ accounting earnings rather than provide predictions of economic earnings. In addition, the delayed market reactions to analysts forecasts point to the possibility of market inefficiency. However, market reactions to optimistic earnings forecasts are not much different from zero, indicating that optimistic forecasts are noisier due to the incentive problems noted in the previous studies.

並列關鍵字

HASH(0xaf7efc4)

參考文獻

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