台股目標價預測準確度之探討

Target Price Accuracy in Taiwan Stock Market

林美珍(Mei-Chen Lin) ； 張文菖(Wen-Chang Chang)

《證券市場發展季刊》 28卷2期 (2016/06) Pp. 1-36

https://doi.org/10.6529/RSFM.2016.28(2).1

摘要

本研究檢視台股目標價預測準確度及影響因素。實證結果顯示，目標價預測達成率在一年預測期間內為56.17%。負面與中立評等達成率優於正面評等；降級評等達成率優於重申與升級評等。當標的個股公司規模越大、證券商成立時間越短與預測經驗越多時，對於目標價的預測有過度預測的傾向。預測價格上漲時，分析師愈樂觀，過度高估目標價預測情形愈顯著；當目標價發佈前90日標的個股的累積報酬率越高、發佈目標價上漲預測之後大盤愈上漲時，分析師預測價格會上漲時對於公司目標價之預測往往偏向保守。預測價格下跌時，分析師愈悲觀，過度調低目標價預測情形愈顯著；目標價發佈前標的個股跌幅很大、發佈目標價下跌預測之後大盤下跌，分析師對於公司目標價之預測呈現過度保守。最後，分析師目標價預測存在持續性。

關鍵字

目標價 ； 推薦評等 ； 預測準確度 ； 證券分析師

並列摘要

This study explores the accuracy of forecasted target prices and its determinants. We find that 56.17% of target price is met at some time during the forecast horizon. The achievement rate of target price is higher for sell and hold recommendations than buy ones. The achievement rates for downgrade ratings are also higher than those of upgrade than reiterate ratings. Analysts overshoot the target price of larger firms, and when they work in a young and more experienced security firms. In the case of positive implicit returns, target price overshooting is greater when predicting strong price increases, and analysts conservatively estimate target prices when stock prices increase before the prediction and market returns rise during the forecasting period. In the case of negative implicit returns, analysts are over pessimistic about target prices, but conservatively estimate target prices when stock prices decrease before predicting and market returns decline during the forecasting period. Finally, analysts exhibit persistent ability to forecast accurate target price.

並列關鍵字

Target Prices ； Recommendation ； Forecast Accuracy ； Security Analysts

參考文獻

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