分析師預測誤差與公司特性的關聯性

The Association Between Analysts'' Earnings Forecast Errors and Firm Characteristics

吳心儀(Hsin-Yi Wu)

指導教授 ： 鍾彩焱 博士

元智大學/管理學院/管理研究所/碩士(2002年)

摘要

本研究的目的在檢驗分析師盈餘預測誤差是否為分析師理性行為下的預測結果。由於過去對分析師盈餘預測研究的動機，皆出於假設分析師盈餘預測的標的是管理當局所聲明的會計盈餘，本研究則以「分析師的盈餘預測標的是比會計盈餘更有經濟價值攸關性的經濟盈餘」為假說，研究分析師盈餘預測誤差是否因公司價值的攸關因素及盈餘預測的難易環境所影響。以盈餘變異性、非系統風險及公司規模作為盈餘預測難易環境的衡量變數；以盈餘宣告前的累積超額報酬、市價淨值比、長期成長預測值、系統風險及異常應計金額作為影響公司經濟價值的相關變數；並探討季節別對分析師盈餘預測誤差的影響。
實證結果顯示：（1）影響盈餘預測難易程度之變數：盈餘變異性愈大、非系統風險愈高或規模愈小的公司，其所處的資訊環境愈不確定，分析師會作出愈樂觀的盈餘預測。（2）影響公司經濟價值之因素：盈餘宣告前累積超額報酬愈高、長期成長預測值愈高、系統風險愈小或異常應計金額愈大的公司，分析師預測的經濟盈餘與會計盈餘的差距愈小。（3）季節別與分析師盈餘預測誤差具有顯著的關聯性。

關鍵字

分析師預測誤差 ； 公司特質 ； 經濟盈餘

並列摘要

The purpose of this study is to examine whether financial analysts’ earnings forecasts are rational to the extent that the observed over-optimism can be explained by the assumption that the object of their forecasts is the underlying economic earnings rather than accounting earnings. We examine whether the forecast errors are due to the degree of difficulties in forecasting earnings, as proxied by earnings variability, unsystematic risk and firm size; pre-earnings announcement information as proxied by the 250- to 50-day abnormal returns prior to earnings announcement; and economic factors that affect firm value but have not been reflected in accounting earnings, including systematic risk, price-to-book ratio, and earnings’ long-term growth rate. In addition, we examined whether the level of discretionary accruals and fiscal quarters in which forecast is made are associated with financial analysts’ earnings forecast errors. Our results indicate that the degree of difficulties for financial analysts to forecast earnings is positively associated with the optimistic forecasts. In addition, discretionary accruals and fiscal quarters are associated with optimistic earnings forecast errors. However, no association between the forecast errors and the hypothesized factors that affect a firm’s economic value but have not been reflected in accounting earnings is found. Overall, the results are consistent with prior research in that financial analysts make optimistic earnings forecasts when it is difficult to forecast accounting earnings in order to access management’s private information.

並列關鍵字

forecast errors ； firm characteristics ； economicearnings

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