臺灣博碩士論文加值系統

分析師盈餘預測是投資大眾在作投資決策時用以參考的資訊。但根據過去的研究指出分析師有財務上的誘因，致使其所發佈的盈餘預測有所偏誤。因此本研究藉由探討長短期股票報酬對分析師盈餘預測誤差的反應，瞭解分析師盈餘預測的標的是會計盈餘或經濟盈餘。結果顯示（1）分析師樂觀盈餘預測值大於悲觀預測值﹔且分析師樂觀盈餘預測值有逐季增加的趨勢。在季與季之間分析師樂觀預測的差異，在愈接近年度盈餘宣告時，分析師樂觀盈餘預測值愈大。（2）長期異常報酬及短期股票異常報酬對分析師樂觀的盈餘預測相較於較悲觀的盈餘預測有較為負向的反應。（3）盈餘宣告時股票異常報酬對分析師樂悲觀預測的修正並不對稱，顯示分析師盈餘預測的標的應是會計盈餘。（4）長期股票異常報酬對分析師樂（悲）觀盈餘預測的反應為負（正），此亦顯示分析師盈餘預測的標的是會計盈餘。

Sell-side analysts forecasts are used as an input to investment decisions. Prior studies indicate that analysts are financially motivated to provide biased earnings forecasts. This study examines market reactions to analysts forecasts and infers whether analysts forecasts provide information about firms’ economic earnings and thus their economic values rather than simply provide predictions of accounting earnings. The results indicate the following: (1) Using accounting earnings as the benchmark, consensus forecasts are more optimistic than pessimistic, in addition, the degree of optimism increases as earnings announcement draws nearer; (2) Both the short-run and long-run market reactions are positively associated with analysts forecast errors; (3) Cumulative abnormal returns surrounding earnings announcements are positively associated with analysts forecast errors. Asymmetric short-run market reactions indicates that analysts provide information about firms’ accounting earnings rather than merely predict economic earnings; and (4) All one-, two- and three-year long-run returns are positively associated with analysts forecast errors, indicating that analysts forecasts provide information about firms’ accounting earnings rather than provide predictions of economic earnings. In addition, the delayed market reactions to analysts forecasts point to the possibility of market inefficiency. However, market reactions to optimistic earnings forecasts are not much different from zero, indicating that optimistic forecasts are noisier due to the incentive problems noted in the previous studies.

【目　　　錄】
　　　　　　　　　　　　　　　　　　　　　　　　　　 頁　次
第一章　緒論…………………………………………………………….01
　第一節　研究動機…………………………………………………….01
　第二節　研究目的…………………………………………………….03
　第三節　研究架構…………………………………………………….05
第二章　文獻探討……………………………………………………….07
　第一節　財務分析師盈餘預測誤差之動機………………………….07
　第二節　影響財務分析師盈餘預測誤差之因素…………………….12
　第三節　盈餘預測誤差之資訊內涵………………………………….15
第三章　研究設計……………………………………………………….19
　第一節　研究假說的建立…………………………………………….19
　第二節　實證設計…………………………………………………….24
　第三節　變數的衡量與樣本的形成………………………………….29
　
第四章　實證結果與分析……………………………………………….41
　第一節　樣本敘述性統計量………………………………………….41
　第二節　財務分析師盈餘預測誤差分組分析……………………….45
　第三節　財務分析師盈餘預測誤差與長短期股票報酬…………….51
第五章　結論與建議…………………………………………………….68
　第一節　研究結論…………………………………………………….68
　第二節　研究限制…………………………………………………….70
　第三節　研究建議…………………………………………………….71
參考文獻………………………………………………………………….72
【表　　　次】
　　　　　　　　　　　　　　　　　　　　　　　　　　 頁　次
表3-1　分析師預測標的及分析師樂悲觀盈餘預測…………………..22
表3-2　分析師盈餘預測誤差及市場效率……………………………..23
表3-3　控制變數與短期股票報酬的預期符號………………………..27
表3-4　樣本篩選過程…………………………………………………..37
表3-5　樣本分布情形…………………………………………………..38
表4-1　各變數敘述性統計量表………………………………………..43
表4-2　自變數相關係數表……………………………………………..44
表4-3　財務分析師盈餘預測誤差分組表－總樣本…………………..47
表4-4　財務分析師盈餘預測誤差分組表－分季樣本………………..48
表4-5　財務分析師盈餘預測誤差季差異分析………………………..50
表4-6　財務分析師盈餘預測誤差與短期股票異常報酬分組統計分
析……………………………………………………………… 53
表4-7　財務分析師盈餘預測誤差與短期股票異常報酬
之迴歸分析…………………………………………………… 57
表4-8　財務分析師盈餘預測誤差與長期股票異常報酬
分組統計分析………………………………………………… 61
表4-9　財務分析師盈餘預測誤差與長期股票異常報酬
之迴歸分析…………………………………………………… 65
【圖　　　次】
　　　　　　　　　　　　　　　　　　　　　　　　　　 頁　次
圖1-1　研究架構………………………………………………………….06
圖3-1　分析師預測標的為會計盈餘…………………………………….21
圖3-2　分析師預測標的為經濟盈餘…………………………………….21

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」，
會計評論第三十期，253-269頁，民國八十六年三月。
2. 林嬋娟、林囿成，「由安隆案看分析師過度樂觀預測之後果」，會計
研究月刊第一九七期，20-25頁，民國九十一年四月。
3. 施岑佩，盈餘可預測性與財務分析師之可與測偏差性研究，政治大學
會計研究所未出版碩士論文，民國八十五年。
4. 許晁熙，管理當局盈餘測偏差性之研究，台北大學會計研究所未出版
碩士論文，民國八十九年。
5. 張婉姿，管理當局預測季盈餘資料有用性之研究，成功大學會計研究
所未出版碩士論文，民國八十九年。
二、英文部分
1. Abarbanell, J., and B. Bushee, “Fundamental Analysis,
Future Earnings, and Stock Prices”, Journal of Accounting
Research 35, pp.1-24, 1997.
2. 　　,and 　　,“Abnormal Returns to a Fundamental Analysis
Strategy”, Accounting Review 73, pp.19-45,1998.
3. 　　, and V. Bernard, “Is the U.S. Stock Market Myopic?”,
Journal of Accounting Research 38, pp.221-242, 2000.
4. 　　, and 　　, “Tests of Analysts’ Overreaction/
Underreaction to Earnings Information as an Explanation for
Anomalous Stock Price Behavior”, Journal of Finance 47,
pp.1181-1208, 1992.
5. Ackert, F. Luck, and G. Athanassakos, “Prior Uncertainty,
Analyst Bias and Subsequent Abnormal Returns” , Journal of
Financial Research, 20, pp.253-273, 1997.
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, 1990.
9. Carleton , T. Willard, C. Chen, and T. Steiner, “Optimism
Biases among Brokerage and Non-Brokerage Firms’ Equity
Recommendations：Agency Costs in The Investment Industry”,
Financial Management 27, pp.17-30, 1998.
10. DeBondt H., F. Warner, M. Thaler, “Do Security Analysts
Overreact?”, American Economic Review 80, pp.52-57, 1990.
11. 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.
12. Das S., C. Levine and K. Sivaramakrishnan, “Earnings
Predictability and Bias in Analysts’ Earnings forecasts”,
Accounting Review 73, pp.277-294, 1998.
13. Easterwood J., and S. Nutt, “Inefficiency in Analysts’
Earnings Forecasts: Systematic Misreaction or Systematic
Optimism?”, The Journal of Finance 54, pp.1777-1797, 1999.
14. Fama, E., “Efficient Capital Markets：Ⅱ”, The Journal of
Finance, pp.1575-1617, 1991.
15. Francis, J., and D. Philbrick, “Analysts’ Decisions as
Products of Multi-Task Environment”, Journal of Accounting
Research 31, pp.216-230, 1993.
16. Frankel R., and C. Lee, “Accounting Valuation, Market
Expectation, and Cross-Sectional Stock Returns”, Journal of
Accounting and Economics 25, pp.283-319, 1998.
17. Fried D., and D. Givoly, “Financial Analysts’ Forecasts
of Earnings”, Journal of Accounting and Economics 4, pp.85-
107, 1982.
18. Huberts L., and R. Fuller, “Predictability Bias in the
U.S. Equity Market”, Financial Analysts Journal, pp.12-28,
March-April 1995.
19. 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.
20. Keane, M., D. Runkle, “Are Financial Analysts’ Forecasts
of Corporate Profits Rational?”, Journal of Political
Economy 106, pp.768-805, 1998.
21. Kothari, S., “Discussion of ‘The Relation Between
Analysts’ Forecasts of Long-Term Earnings Growth and Stock
Price Performance Following Equity Officering”,
Contemporary Accounting Research 17, pp.33-39, 2000.
22. Lakonishok, J., A. Shleifer, R. Vishny, “Contrarian
Investment, Extrapolation, and Risk”, Journal of Finance
49, pp.1541-1578, 1994.
23. Lim T., “Rationality and Analysts’ Forecast Bias”, The
Journal of Finance 56, pp.369-385, 2001.
24. Lys, Thomas, and Sungkyu, Sohn, “The Association between
Revisions of Financial Analysts’ Earnings Forecasts and
Security-Price Changes”, Journal of Accounting and
Economic 13, pp.155-166, 1990.
25. McEwen, R., and J. Hunton,“Is Analyst Forecast Accuracy
Associated With Accounting Information Use?”, Accounting
Horizons 13, pp.1-16, 1999.
26. Nutt, S., J. Easterwood, and C. Easterwood,“New Evidence
on Serial Correlation in Analyst Forecast Errors”,
Financial Management 28, pp.106-117, 1999.
27. O’Brien, P.,“Analysts’ Forecasts as Earnings
Expectations”, Journal of Accounting and Economics 10,
pp.53-83, 1988.
28. Womack, L., “Do Brokerage Analysts’ Recommendations Have
Investment Value?”, Journal of Finance 51, pp.137-167,
1996.