臺灣博碩士論文加值系統

本研究探討(1)證券分析師是否追蹤一家商業銀行的決策，(2)分析師能力與其追蹤該銀行決策的關連性，(3)分析師能力與盈餘預測型態及修正次數是否相關。現有國內外文獻尚無探討證券分析師能力對盈餘預測能力之影響者，亦缺少對分析師如何自我選擇以決定其欲報導企業之研究。銀行資產評價困難及財務槓桿運用，均為造成銀行股價波動之因素。而追蹤高股價波動銀行雖然能凸顯分析師的貢獻，但也會增加分析師追蹤該銀行的成本。因分析師間成本差異，或有選擇性報導問題。因此，本研究將分析師追蹤銀行成本分成來自資產衡量困難與槓桿運用兩部分。並以資產風險及資產成長作為資產衡量困難之變數，而以第一類資本比率作為槓桿運用之代理變數。
實證結果顯示，當銀行資產風險愈高，追蹤該銀行分析師人數愈多。而銀行資產成長所產生的困難性則與追蹤該銀行分析師人數無顯著相關性。此外，當銀行第一類資本比率愈高，追蹤該銀行之分析師的人數愈多。在分析師能力部分，無論商業銀行的總公司與分析師服務證券公司是否在同一區域，能力好的分析師均會選擇追蹤第一類資本比率低的銀行。然而，當商業銀行的總公司與分析師服務證券公司在同一區域時，能力好的分析師才會選擇研究高資產風險的公司。與我們預期不同的是，高能力的分析師並未選擇追蹤高資產成長的銀行。此外，如本研究的預期，分析師的能力與其預測型態有顯著正相關，即當分析師的能力愈好，愈願意發佈較長期預測。最後，研究結果顯示，因為能力好的分析師可以有效地收集並處理資訊。因此，相較於能力不好的分析師，能力好的分析師盈餘預測修正次數會比較頻繁。

This study examines sell-side analysts’ decisions to follow a bank. We specifically investigate whether analysts’ decision to follow a commercial bank is related to their characteristics. We also investigate whether the forecast horizon and coverage intensity associate with analysts’ characteristics. Both difficulty of assessing asset portfolio value and leverage are variables to the volatility of the commercial bank share prices. We decompose costs of analyst following a bank into difficulty and leverage. The empirical results show that analyst coverage is significantly greater for banks with greater difficulty proxied by risk-weighted assets scaled by total assets, but it is insignificantly smaller for a bank with higher asset growth. We also find that analyst coverage is greater for firms with higher Tier I leverage ratio.
This study also posits and shows that high ability analysts choose to follow commercial banks with low leverage regardless of whether the headquarter of the commercial bank and the branch offices/headquarter of the brokerage house are at the same region. High ability analysts also prefer to cover banks with high asset risk when the commercial banks and brokerage house are at the same region. However, contrary to our predictions, high ability analysts do not choose to follow a commercial bank with high asset growth. Moreover, we find that analysts’ ability and forecast horizons are significantly positively correlated. This study also demonstrates that high ability analysts prefer to issue longer-term earnings forecasts. Finally, analysts’ ability is found to be significantly positively associated with coverage intensity. Consistent with the notion that high ability analysts better specialize in collecting and interpreting information than low ability analysts, high ability analysts appear to revise their earnings forecast more frequently.

Contents
1.Introduction....................................... 1
2.Literature Review.................................. 7
2.1 Determinants of analyst coverage................. 7
2.2 Analysts’ability................................ 11
2.3 Difficulty of asset value assessment for
commercial banks................................. 12
3.Hypotheses......................................... 14
3.1 Difficulty and analyst coverage................. 14
3.2 Leverage and analyst coverage................... 15
3.3 Analysts’ability and their coverage decisions.. 16
4.Research Design................................... 18
4.1 Difficulty and analyst coverage................. 18
4.2 Leverage and analyst coverage................... 22
4.3 Analysts’ability............................... 23
4.3.1 Analysts’ability and their coverage decisions 23
4.3.2 Analysts’ability and forecast horizon........ 25
4.3.3 Analysts’ability and coverage intensity...... 26
4.4 Data............................................ 27
5. Results.......................................... 30
5.1 Descriptive statistics.......................... 30
5.2 Difficulty and analyst coverage................. 36
5.3 Leverage and analyst coverage................... 42
5.4 Analysts’ability............................... 47
5.4.1 Analysts’ability and their coverage
decisions...................................... 47
5.4.2 Analysts’ability and forecast horizon........ 52
5.4.3 Analysts’ability and coverage intensity...... 53
6. Additional Analyses.............................. 61
6.1 Alternative difficulty proxy.................... 61
6.2 Analysts’ability............................... 65
6.3 Other sensitivity checks........................ 66
7. Conclusions...................................... 70
References.......................................... 73

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