分析師目標價預測準確性及預測行為研究

The Research on Target Price Forecast Accuracy and Behavior of Analysts

林姿妤(Tzu-Yu Lin)

指導教授 ： 盧秋玲

國立臺灣大學/管理學院/國際企業學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201800180

摘要

本文以2007年至2016年間曾被湯森路透評選為最佳選股分析師做為獲獎分析師，未曾獲獎之分析師做為非獲獎分析師，並對兩者進行比較。本文先針對主要變數－目標價預測誤差、樂觀傾向、從眾傾向、超額報酬率進行獨立樣本T檢定，比較分析師獲獎與否在預測行為上是否有差異；接著依據外在因素及內在因素，利用多元迴歸模型分析影響分析師目標價預測準確度的因素為何，並檢驗獲獎與否是否顯著影響分析師目標價預測的準確性；然後針對分析師樂觀傾向及從眾傾向進行檢驗；最後檢驗超額報酬率和目標價預測正確性的關聯性為何。
根據本文分析結果，可以發現外在因素影響獲獎分析師預測準確性的程度較非獲獎分析師來的不顯著，代表獲獎分析師其本身分析能力優於非獲獎分析師，較不受外在因素干擾，整體而言，會顯著影響分析師預測準確性的外在因素有追蹤之分析師人數（NoAF）、公司規模（CZ）、資產負債率（Lev）、公開發行時間（Year）。另外，內在因素中隱含報酬率（Implicit）及報告期間（Horizon）也會顯著影響分析師預測之準確性。最後，本文實證出目標價預測之準確性確實會影響推薦股票的超額報酬率，預測能力好的分析師其亦有較佳的選股能力。

關鍵字

獲獎分析師 ； 目標價 ； 分析師特性 ； 從眾傾向 ； 樂觀傾向

並列摘要

This paper compared the performance of awarded analysts selected by Thomson Reuters during 2007–2016 with that of non-awarded analysts. First, we used the t-test to examine whether there were any significant differences in target price forecast accuracy, optimism, herding behavior, and excess return between awarded and non-awarded analysts. Second, we used OLS regression analysis to identify the external and internal factors and whether being awarded or not affects forecast accuracy. Subsequently, we used the same method to test whether there were significant differences in forecast behavior between awarded and non-awarded analysts. Finally, we tested whether there was a strong connection between excess return and target price forecast accuracy.
Among external factors, we found that the number of analysts following a company (NoAF), company size (CZ), debt-asset ratio (Lev), and published year (Year) significantly affected forecast accuracy. Besides external factors, we found that the implicit rate (Implicit) and horizon (Horizon) of the report also significantly affected forecast accuracy. Overall, awarded analysts were found to have better forecast abilities; hence, when their forecast behavior was compared with that of non-awarded analysts, the external factors did not significantly affect their performance. Last, we found that forecast accuracy also affected excess return, which means that the analysts with better forecast ability also have better stock-recommending ability.

並列關鍵字

awarded analyst ； target price ； analyst characters ； optimism ； herding

參考文獻

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