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。

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.

【目　　　錄】
　　　　　　　　　　　　　　　　　　　　　　　　　　 頁　次
第一章　緒論
　第一節　研究動機 1
　第二節　研究目的 3
第三節　研究架構 4
第二章　文獻探討
　第一節　分析師盈餘預測誤差之統計特性 6
　第二節　分析師盈餘預測誤差之動機 9
　第三節　分析師盈餘預測誤差之影響因素 12
第三章　研究設計
　第一章　研究假說 19
　第二章　變數衡量 23
　第三章　資料來源及樣本選取標準 28
　第四章　研究模型之建立 35
第四章　實證結果與分析
　第一章　基本統計量 37
　第二章　統計分析 41
　第三章　多變量迴歸分析 47
第五章　結論與建議
　第一節　研究結論 55
　第二節　研究限制 57
　第三節　研究建議 58
參考文獻 59
【表　　　次】
　　　　　　　　　　　　　　　　　　　　　　　　　　 頁 次
表2-1 分析師盈餘預測誤差之影響因素國內外文獻彙整 16
表3-1 樣本依年度、季節別之分布情形 31
表3-2 樣本依產業別之分布情形 32
表3-3 分析師盈餘預測樂觀、悲觀家數分析 34
表4-1 各變數的敘述統計量 39
表4-2 自變數相關係數表 40
表4-3 分析師盈餘預測誤差平均數檢定 44
表4-4 分析師盈餘預測誤差中位數檢定
表4-5 公司特質與分析師盈餘預測誤差之關聯性－單變量分析46
表4-6-1 公司特質與分析師盈餘預測誤差之關聯性
－多變量迴歸分析（季樣本） 51
表4-6-2 公司特質與分析師盈餘預測誤差之關聯性
－多變量迴歸分析（年樣本） 54
【圖　　　次】
　　　　　　　　　　　　　　　　　　　　　　　　　　 頁　次
圖一、　研究架構 5

參考文獻
一、中文部分
1、方智強、吳安妮，「台灣經理人員主動揭露盈餘預測之實證研究」，
會計評論，第30期，253-269頁，86年3月。
2、范玥琪，「財務預測誤差決定性因素之研究」，國立彰化師範大學商
業教育學系，碩士論文，民國87年。
3、施岑佩，「盈餘可預測性與財務分析師之預測偏差性研究」，國立政
治大學會計學系，碩士論文，民國85年。
4、許晁熙，「管理當局盈餘預測偏差性之研究」，國立台北大學會計學
系，碩士論文，民國89年。
5、陳啟文，「財務分析師盈餘預測行為分析與探討」，國立政治大學財
務管理研究所，碩士論文，民國90年。
6、鄭偉銘，「管理當局與財務分析師盈餘預測能力之實證研究」，國立
東華大學企業管理研究所，碩士論文，民國90年。
二、英文部分
1、Abarbanell, J., “Do Analysts’ Earnings Forecasts
Incorporate Information in Prior Stock Price Changes?”,
Journal of Accounting and Economics, 14, pp.147-165, 1991.
2、_____ , and V. Bernard, “Test of Analysts’
Overreaction/Underreaction to Earnings Information as an
Explanation for Anomalous Stock Price Behavior.”, Journal
of Finance, 47, pp.1181-1207, 1992.
3、______, and_____, “Is the U.S. Stock Market Myopic?”,
Journal of Accounting Research, 38, pp.221-242, Autumn 2000.
4、Ackert, Luck F., and George Athanassakos, “Prior
Uncertainty, Analyst Bias and Subsequent Abnormal
Returns.”, Journal of Financial Research, 20, pp.253-273,
1997.
5、Ali, A., A. Klein and J. Rosenfeld, “Analysts’ Use of
Information About Permanent and Transitory Earnings
Components in Forecasting Annual EPS.”, The Accounting
Review, 67, pp.183-198, January 1992.
6、Ball, R., and P. Brown, “An Empirical Evaluation of
Accounting Income Numbers.”, Journal of Accounting
Research, pp.159-178, Autumn 1968.
7、Beaver, W., R. Clarke, and W. Wright, “The Association
Between Unsystematic Security Returns and the Magnitude of
Earnings Forecast Errors”, Journal of Accounting Research,
pp.316-340,1979.
8、Bernard, V., and J. Thomas, “Evidence That Stock Prices Do
Not Fully Reflect The Implications of Current Earnings for
Future Earnings.”, Journal of Accounting and Economics, 13,
pp.305-340, December 1990.
9、Bhushan, R., “Firm Characteristics and Analyst
Following.”, Journal of Accounting and Economics, 11,
pp.255-274, 1989
10、Brown, L., “Analyst Forecasting Errors: Additional
Evidence.”, Financial Analysts Journal, 53, pp.81-88,
November-December 1997.
11、Clement, M., “Analyst Forecast Accuracy: Do Ability,
Resources, and Portfolio Complexity Matter?”, Journal of
Accounting and Economics, 27, pp.285-303, 1999.
12、Das, S., C. Levine and K. Sivaramakrishnan, “Earnings
Predictability and Bias in Analysts’ Earnings
Forecasts.”, The Accounting Review, 73, pp.277-294, April
1998
13、Dechow, P., A. Hutton, and R. Sloan, “The Relation Between
Analysts’ Forecast of Long-Term Earnings Growth and Stock
Price Performance Following Equity Offerings”,
Contemporary Accounting Research, 17, pp.1-32, 2000
14、DeBondt, H., F. Warner and M. Thaler, “Do Security
Analysts Overreact?”, American Economic Review, 80, pp.52-
57, 1990.
15、Easterwood, J., and S. Nutt, “Inefficiency in Analysts’
Earnings Forecasts: Systematic Misreaction or Systematic
Optimism?”, The Journal of Finance, 54, pp.1777-1797,
October 1999.
16、Fama E., and K. French, “Size and Book-to-Market Factors
in Earnings and Returns.”, The Journal of Finance, 50,
pp.131-155, March 1995.
17、Feltham, G., and J. Ohlson, “Valuation and Clean Surplus
Accounting for Operating and Financial Activities.”,
Contemporary Accounting Research, pp.689-731, Spring 1995.
18、Francis, J. , and D. Philbrick, “Analysts’ Decisions as
Products of a Multi-task Environment.”, Journal of
Accounting Research, 31, pp.216-230, 1993.
19、Frankel, R. and C. Lee, “Accounting Valuation, Market
Expectation and Cross-Sectional Stock Returns.”, Journal
of Accounting and Economics, 25, pp.283-319, 1998.
20、Fried, D., and D. Givoly, “Financial Analysts’ Forecasts
of Earnings: A Better Surrogate for Market Expectations.”,
Journal of Accounting and Economics, 4, pp.85-107, 1982.
21、Huberts, L., and R. Fuller, “Predictability Bias in the
U.S. Equity Market.”, Financial Analysts Journal, pp.12-
28, March-April 1995.
22、Kang, Sok-Hyon, J. O’Brien, and K. Sivaramakrishnan,
“Analysts’ Interim Earnings Forecasts: Evidence on the
Forecasting Process.”, Journal of Accounting Research, 32,
pp.103-112, 1994.
23、Keane, K., and D.Runkle, “Are Financial Analysts’
Forecasts of Corporate Profits Rational?”, Journal of
Political Economy, 106, pp.768-805, 1998.
24、Lakonishok, J., A. Shleifer, R. Vishny, “Contrarian
Investment, Extrapolation, and Risk”, Journal of Finance
49, pp.1541-1578,1994
25、Lim, T., “Rationality and Analysts’ Forecast Bias.”, The
Journal of Finance, 56, pp.369-385, February 2001.
26、Mendenhall, R., “Evidence on the Possible Underweighting
of Earnings-Related Information.”, Journal of Accounting
Research, 29, pp.170-179, spring 1991.
27、Nutt, S., J. Easterwood and C. Easterwood, “New Evidence
on Serial Correlation in Analyst Forecast Errors.”,
Financial Management, 28, pp.106-117, Winter 1999.
28、O’Brien, P., “Analysts’ Forecasts as Earnings
Expectations.”, Journal of Accounting and Economics, 10,
pp.53-83, 1988.
29、Philbrick, D., and W. Ricks, “Using Value Line and I/B/E/S
Analyst Forecasts in Accounting Reserarch.”, Journal of
Accounting Research, 29, pp.397-417, 1991.
30、Scott, W., Financial Accounting Theory, second edition,
Prentice Hall, Scarborough, Ontario, Canada, 2000.
31、Shipper, K., “Analysts’ Forecasts.”, Accounting
Horizons, 5, pp.105-121, December 1991.
32、Warfield, T., J. Wild and K. Wild, “Managerial Ownership,
Accounting Choices, and Informativeness of Earnings.”,
Journal of Accounting and Economics, 20, pp.61-91, 1995