臺灣博碩士論文加值系統

本研究探討資訊不確定性是否會造成資本市場錯誤評價公司價值。同時本文進一步檢測證券分析師是否因資訊不確定性，而減損其增進市場效率之功能。本研究以北美上市公司為樣本，樣本期間選自1988年至2006年,並採用Rhodes-Kropf, Robinson, and Viswanathan (2005)之模型，判別公司錯價的程度及標準。並以盈餘品質認知做為衡量公司資訊不確性的代理變數。研究結果發現，當公司的資訊不確定性愈大的時候，公司被市場錯誤評價的可能性就愈高。此外，我們也發現當公司的資訊不確定性愈大的時候，分析師的預測精確性也顯著降低。

This thesis investigates whether information uncertainty leads to a firm’s misevaluation by the capital market. Further, we examine an analyst’s forecast biases increase due to the relative high level of information uncertainty. Our samples consist of companies in North America. The sample period is from 1988 to 2006. This study adopts the model in Rhodes-Kropf, Robinson, and Viswanathan’s (2005) to evaluate market mispricing. We use the perception of earnings quality to proxy information uncertainty. We find the positive association between information uncertainty and the possibility of being mispriced by the capital market. Moreover, an analyst’s forecast accuracy is significantly decreased when predicting the earnings of a firm with relative high information uncertainty.

CONTENT
ABSTRACT III
ACKNOWLEDGEMENTS IV
CONTENT V
LIST OF TABLE VII
LIST OF FIGURE VII
1. INTRODUCTION 1
1.1 Motivation and Objective 1
1.2 Research Framework 2
2. LITERATURE REVIEW 4
2.1 Information Uncertainty and Market Mispricing 4
2.2 Information Uncertainty and Analyst Forecast Accuracy 7
2.2.1 Role of Analyst 7
2.2.2 Analyst Forecast Inefficiency 7
2.2.3 Relationship between Analyst Forecast and Information Uncertainty 9
3. HYPOTHESES DEVELOPMENT 10
3.1 Information Uncertainty and Market Mispricing 10
3.2 Information Uncertainty and Analyst Forecast 10
4. RESEARCH DESIGN AND DATA SELECTION 12
4.1 Sample Selection 12
4.2 Measurement of Market Mispricing 14
4.3 Measurement of Information Uncertainty 16
4.4 Measurement of Analyst Forecast Accuracy 18
4.5 Measurement of Control Variables 18
5. EMPIRICAL RESULTS 21
5.1 Descriptive Statistics 21
5.2 Empirical Results 23
5.2.1 Test of Hypothesis 1 23
5.2.2 Test of Hypothesis 2 26
6. CONCLUSIONS 28
6.1 Empirical Conclusions 28
6.2 Research Limitations 28
REFERENCE 29

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