跳到主要內容

臺灣博碩士論文加值系統

(44.200.27.215) 您好!臺灣時間:2024/04/20 09:57
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:陳怡珮
研究生(外文):Yi-pei Chen
論文名稱:分析師盈餘預測偏誤之研究
論文名稱(外文):A Study of Analysts’ Earnings Forecasting Error
指導教授:陳信憲陳信憲引用關係
指導教授(外文):Bryan H. Chen
學位類別:碩士
校院名稱:國立彰化師範大學
系所名稱:商業教育學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:89
中文關鍵詞:盈餘預測偏誤經驗法則過度樂觀過度反應
外文關鍵詞:Earnings Forecasting ErrorHeuristic-Driven BiasOverly OptimisticOverreaction
相關次數:
  • 被引用被引用:5
  • 點閱點閱:657
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:3
資本市場的發達導致分析師建言之影響力與日遽增,但不僅僅是投資人,分析師進行盈餘預測時,可能也會被專業以外的心理因素所干擾,而無法充分且及時的反應資訊,造成其盈餘預測偏誤發生過度反應或反應不足等現象,影響了資產的市場價格與效率性。基此,本研究欲探討可能影響分析師盈餘預測行為的因素,以及受到影響後所產生的偏誤現象;並同時觀察在政府相關法令制訂(強制性財務預測制度)之下,分析師是否能藉由公司當局的財務資訊揭露,而提高對市場現況的敏感程度,進而更有效地進行盈餘預測。實證結果指出,(1)分析師的盈餘預測呈現過度樂觀的預期;(2)不論價值股或成長股,分析師面對正面資訊(好消息)時,盈餘預測之偏誤都傾向過度樂觀,但看好價值股未來表現甚於成長股;(3)相較於大規模、成長股之盈餘水準,分析師對於小規模、價值股之未來盈餘成長較為樂觀;(4)分析師面對正面資訊(好消息)時會過度上修盈餘預測值;面對負面資訊(壞消息)時會過度下修盈餘預測值,尤其以價值股最為明顯;(5)台灣股票市場之分析師對企業進行盈餘預測會產生過度反應(Over Reaction)現象,此預測行為係「代表性」(Representativeness)偏誤所造成。此外,分析師的預測偏誤程度並無逐年擴大或減少的趨勢,此結果間接說明了強制性財務預測制度的施行,幫助分析師降低了預測的困難度,進而對其進行盈餘預測時可能產生的偏誤發揮了穩定的作用,表示此制度對於提高市場資訊透明度有正向的助益和意義。
With the rapid growth of capital markets, the influence of analysts’ suggestions has risen steadily. Not only individual investors but also specialized analysts should interfere with psychological factors while forecasting the future earnings. Analysts’ earnings forecasting error tends to be over- or unddr-reaction biased and affects the asset prices and efficiency of the markets. In an attempt to examine this issue, this research focused on factors of the influence on analysts’ forecasting behavior and the types of the forecasting error. We examine if it can improve the analysts’ forecasting accuracy by means of the disclosure of financial information of firms with mandatory management forecast policy during year 1992 to 2004.
The empirical evidence reached several major conclusions. First, analysts are too optimistic about earnings forecasting. Second, analysts having earnings forecasting error are overly optimistic about both value and growth stocks, especially the former one.Third, analysts prefer small size and value stocks rather than big size and growth. Forth, analysts tend to upwardly adjust the earnings estimates when the predicted firms have good news, and downwardly revise when the firms have bad news. Finally, the types of analysts’ earnings forecasting error supported the “representativeness heuristic” owing to over-reaction. Furthermore, analysts’ earnings forecast error didn’t increase or decrease over time, and the results showed that the difficulty in forecasting earnings could be reduced and then stabilized the forecasting errors with mandatory management forecast policy. Consequently, the findings indirectly pointed out that the required financial forecasting policy in the past regime was beneficial to investors.
目錄
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第貳章 文獻回顧 6
第一節 心理偏誤與盈餘預測偏誤 6
第二節 風格類股與盈餘預測之關係 15
第三節 強制性財務預測制度 17
第參章 研究方法 19
第一節 研究範圍與資料說明 19
第二節 研究假說 21
第三節 研究變數定義與衡量 22
第四節 研究設計 25
第肆章 實證結果與分析 34
第一節 資料描述:觀察值之敘述性統計 34
第二節 分析師進行盈餘預測時點與盈餘預測偏誤之關係 39
第三節 分析師對風格類股進行盈餘預測之偏誤現象 42
第四節 分析師進行盈餘預測時所產生之偏誤類型 50
第五節 穩健性檢定(Robustness Tests) 59
第伍章 結論與建議 72
第一節 結論 73
第二節 研究限制與建議 77
參考文獻 79


圖次
圖3- 1成長股與價值股之排序分組 22
圖3- 2淨值市價比與公司規模之排序分組 27
圖3- 3 雙因子變異數分析流程 30

圖4- 1 分析師盈餘預測偏誤次數年度統計表 37
圖4- 2 消息與風格因子之交互作用 56


表次
表2- 1預測修正的心理特性 12

表3- 1成長/價值股vs.分析師預測盈餘偏誤類型之預期關係 31

表4- 1分析師盈餘預測偏誤值年度統計表 36
表4- 2分析師盈餘預測偏誤類型年度統計表 37
表4- 3分析師盈餘預測之敘述統計分析 38
表4- 4以淨值市價比分類之盈餘預測偏誤 44
表4- 5以公司規模分類之盈餘預測偏誤 44
表4- 6淨值市價比vs.公司規模合併分類之盈餘預測偏誤 45
表4- 7盈餘預測偏誤(FE)中位數差異性檢定 46
表4- 8 盈餘預測偏誤中位數差異之年度統計表 47
表4- 9 盈餘預測偏誤值之季節效果檢定 39
表4- 10 盈餘預測偏誤值之各季事後多重檢定 40
表4- 11 盈餘預測偏誤值之時間序列迴歸分析 41
表4- 12 盈餘預測偏誤值之類股風格事後多重檢定-Games Howell法 51
表4- 13 細格與邊緣平均數敘述性統計量 52
表4- 14 消息與類股風格交互作用效果檢定 53
表4- 15不同消息與風格類別在盈餘預測偏誤之單純主要效果分析表 54
表4- 16 盈餘預測偏誤之事後多重檢定 55
表4- 17 盈餘預測偏誤值二因子變異數分析 57
表4- 18 盈餘預測偏誤類型之迴歸分析 58
表4- 19 盈餘預測偏誤值之季節效果檢定-經|Actual EPS|平減 60
表4- 20 盈餘預測偏誤值之各季事後多重檢定-GamesHowell法 -經|Actual EPS|平減 61
表4- 21盈餘預測偏誤值之時間序列迴歸分析-經|Actual EPS|平減 61
表4- 22盈餘預測偏誤值之類股風格事後多重檢定-經|Actual EPS|平減 62
表4- 23細格與邊緣平均數敘述性統計量-經|Actual EPS|平減 63
表4- 24消息與類股風格交互作用效果檢定-經|Actual EPS|平減 63
表4- 25不同消息與風格類別在盈餘預測偏誤之單純主要效果分析表 -經|Actual EPS|平減 64
表4- 26 好消息下盈餘預測偏誤之事後多重檢定-經|Actual EPS|平減 65
表4- 27 盈餘預測偏誤值之二因子共變異分析-經|Actual EPS|平減 65
表4- 28 盈餘預測偏誤類型之迴歸分析-經|Actual EPS|平減 66
表4- 29細格與邊緣平均數敘述性統計量—以盈餘預測修正值為消息分類標準 67
表4- 30消息與類股風格交互作用效果檢定—以盈餘預測修正值為消息分類標準 68
表4- 31不同消息與風格類別在盈餘預測偏誤之單純主要效果分析表 —以盈餘預測修正值為消息分類標準 68
表4- 32盈餘預測偏誤之事後多重檢定—盈餘預測修正值為消息分類標準 69
表4- 33 盈餘預測偏誤值之二因子共變異分析 —以盈餘預測修正值為消息分類標準 69
表4- 34 盈餘預測偏誤類型之迴歸分析—以盈餘預測修正值為消息分類標準 71
參考文獻
中文
丁緯(2004)。盈餘預測偏誤類型之探討:併論盈餘水準與管理當局預測對分析師盈餘偏誤之影響。淡江大學會計研究所未出版碩士論文。
呂金河(1997)。變異數分析。台北:三民。
李春安、賴藝文(2004)。股市劇烈變動區間台灣股票市場與本國機構投資人從眾行為。台灣管理學刊,即將刊登。
汪進揚、余俊憲(2004)。財務分析師盈餘預測誤差與預測行為影響因素之研究。證券市場發展季刊,16(4),117-144。
周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學:文獻回顧與展望。證券市場發展季刊,14(2),1-47。
張紹勳、張劭評、林秀娟(2003)。統計分析—初等統計與高等統計(下)。台北:文魁。
郭敏華(譯)(2001)。新財務 打破效率市場迷思。Haugen R.A.著。台北:智勝。
郭敏華(譯)(2004)。行為財務學。台北:智勝。
陳順宇(2000)。迴歸分析。台北:華泰。

英文
Abarbanell, J. (1991). Do Analysts’ Earnings Forecasts Information in Prior Stock Price Changes? Journal of Accounting and Economics, 14(2), 147-166.
Abarbanell, J.S.,& Bernard, V. L. (1992). Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior. Journal of Finance, 47:3, 1181-207.
Amir, E. and Y. Ganzach (1998), Overreaction and underreaction in analysts’ forecasts, Journal of Economic Behavior and organization, 37, 333-347.
Barber, Brad M., Odean T., and Zheng L. (2000), The Behavior of Mutual Fund Investors, Unpublished Working Paper.
Barberis, N., A. Shleifer and R. Vishny (1998), A model of investor sentiment, Journal of Financial Economics, 49
Bloomfield, R., R. Libby and M. Nelson (2000a), Over-reliance on previous periods’ earnings can cause postearnings announcement drift and over-reactions to extreme performance. Cornell University Working Paper.
Bloomfield, R., R. Libby and M. Nelson (2000b), Underreaction and overreactions: The influence of information reliability and portfolio formation rules. Cornell University Working Paper.
Brown L. D. (1996). Analyst Forecasting Errors and Their Implications for Security Analysis: An Alternative Perspective. Financial Analysis Journal. 1, 40-46.
Chan, L., J. Karceski and J. Lakonishok(2000a), A new paradigm or the same old hype? Financial Analysis Journal, Jul/Aug.
Chan, L., J. Karceski and J. Lakonishok (2000b), The level and persistence of growth rates. University of Florida Working Paper.
Chopra and Vijay Kumar (1998), Why so much error in analysts’ earnings forecasts?. Financial Analysts Journal, 54(6), 35-42.
Clement, M.B. and Tse, S.Y.(2005). Financial Analysts Characteristics and Herding Behavior in Forecasting. Journal of Finance, 60(1), 307-328
Daniel, K. and S. Titman (2000). Marker efficiency in an irrational world, Financial Analysts' Journal 55, 28-40.
DeBondt, W.F.M. (1993). Betting on trends: Intuitive forecasts of financial risk and Return, International Journal of Forecasting 9, 355-371.
DeBondt, W.F.M. and R. H. Thaler (1985), Does the stock market overreact?, Journal of Finance 40, 793-808.
DeBondt, W.F.M. and R.H. Thaler (1990), Do security analysts overreact? American Economic Review, 80, 52-57.
DeBondt, W.F.M. (1998), A portrait of the individual investor, European Economic Review, 42, 831-844
Doukas J.A., Kim C. and Pantzalis C. (2002), A Test of the Errors-in-Expectations Explanation of the Value/ Glamour Stock Returns Performance: Evidence from Analysts’ Forecasts, The Journal of Finance, VOL. LVII, NO. 5, OCTOBER, 2143-2165
Dreman, D. and M. Berry (1995), Analyst forecasting errors and their implications for security analysis, Financial Analysts Journal, 51, 30–40.
Easterwood, J. C., and Nutt, S. R. (1999). Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? Journal of Finance, 54:5, 1777-97.
Fama, E. F. (1991), Efficient capital markets II, Journal of Finance, 46, 1575-1643
Fama, E. F., and K. R. French (1995). Size and book-to-market factors in earnings
Hansen, R.S. and A. Sarin (1997), Is honesty and the best policy? An examination of security analysts’ forecast behavior around seasoned equity offerings, Working paper, Virginia Polytechnic Institute, Blacksburg, Va.
Hirst, D.E., L. Koonce and J. Miller (1999), The joint effect of management's prior forecast accuracy and the form of its financial forecasts on investor judgment, Journal of Accounting Research, 37, 101-123.
Jegadeesh, N. and S. Titman (1993), Returns to buying winners and selling losers: implications for stock market efficiency,” Journal of Finance 48, 65-91.
Kahneman, D. and Tversky, A. (1979), Prospect Theory: An Analysis of Deciswion under Risk.Econometrica, 47(2), 263-292
King, R., G. Pownall and G. Waymire (1990), Expectations adjustment via timely management forecasts: review, synthesis and suggestions for future research, Journal of Accounting Literature, 9, 145-182.
La Porta, R. (1996), Expectations and the cross section of stock returns, Journal of Finance, 51, 1715-1742.
Lakonishok, J., A. Shleifer and R. W. Vishny (1994). Contrarian investment, extrapolation and risk, Journal of Finance 49, 1541-1578.
Liu, W., N. Strong and X. Xu (2001), Post earnings announcent drift in the UK, LUMS Working Paper.
Montier, J. (2002), Mind the GAAP,. Global Strategy Weekly, DKWR
Richard C., and Lawrence K. (2000). Market timing using strategists’ and analysts’ forecasts of S&P 500 earnings per share. Financial Services Review, 9, 125-144.
Ritter, J.R. (2003), Behavioral Finance. Pacific-Basin Finance Journal, 11(4), 429-437
Shefrin, H. (2000), Beyond Fear and Greed. HBS Press
Shefrin, H. and M. Statman (1995).Making sense of beta, size, and price to book,. Journal of Portfolio Management, 15.
Shiller, R. J. (1984). Stock prices and social dynamics,. Brookings Papers on Economic Activity II, 457-98.
Shiller, R. J. (1987). Fashions, Fads and Bubbles in financial markets, In Jack Coffee(ed), Knights, Raiders and Targets: The Impact of the Hostile Takeover. Oxford, England: Oxford University Press.
Solt, M. and M. Statman (1989), Good companies, bad stocks,. Journal of Portfolio Management, 15.
Swaminathan, B. and C. Lee(2000), Do stock prices overreact to earnings news?. Cornell University Working Paper.
Teoh, S., I. Wetch, and T. Wong. (1998). Earnings management and the under-performance of seasoned equity offerings. Journal of Financial Economics 50: 63-99.
Tversky, A. and D. Kahneman (1974), Judgment under uncertainty: heuristics and biases, Science, 185, 1124-1130.
Tversky, A., and D. Kahneman (1971). Belief in the law of small numbers, Psychological Bulletin 76, 105-110.
Tversky, A., and D. Kahneman (1973). Availability: a heuristic for judging frequency and probability., Cognitive Psychology 5, 207-232.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top