跳到主要內容

臺灣博碩士論文加值系統

(18.97.9.172) 您好!臺灣時間:2025/02/16 21:08
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:李燕萍
研究生(外文):Yan-Ping Li
論文名稱:資訊不確定性和分析師預測行為關係之研究
論文名稱(外文):A STUDY ON THE RELATIONSHIP BETWEEN INFORMATION UNCERTAINTY AND ANALYST FORECAST BEHAVIOR
指導教授:劉立倫劉立倫引用關係
指導教授(外文):Li-Lun Liu
學位類別:碩士
校院名稱:中原大學
系所名稱:會計研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:77
中文關鍵詞:反應不足過度反應財務分析師資訊不確定性
外文關鍵詞:financial analystover-reactionunder-reactioninformation uncertainty
相關次數:
  • 被引用被引用:6
  • 點閱點閱:568
  • 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:6
近年來愈來愈重視財務分析師的預測資料,財務分析師是否能如效率市場假說的能理性的進行預測,為行為財務學關切的課題。本研究旨在探討財務分析師因具備專業的知識,是否也會受其資訊的不確定,而其反應之行為有所偏誤。本研究基於此原因,探討此問題,希望更深入了解台灣財務分析師的預測資料。  
  本研究根據2000至2004 年台灣上市、櫃公司進行迴歸分析,結果支持財務分析師對於新資訊反應不足,是因較多的資訊不確定產生。此外,探討財務分析師對好、壞消息的行為反應,發現財務分析師對於好消息會有過度反應之現象,對於壞消息會有反應不足之現象。本研究更細緻之樣本分類方式,將公司與消息面均區分為好壞,實證結果顯示,若財務分析師使用代表性經驗法則進行盈餘預測,則對好公司之好消息而言,會出現過度反應之現象,但對壞公司壞消息出現過度反應與好(壞)公司壞(好)消息均會出現反應不足之假說未有所成立。
It is more and more important the financial analyst's prediction data in recent years, and whether the financial analysts could predict rationality as Efficiency Market Hypothesis that is the concerned issue in Behavioral Finance. The gist of this report is investigates whether the financial analysts will be inaccurate behavior that is affected by information uncertainty. Based on the reason, this study in order to understand the prediction data of the financial analysts in Taiwan.

  According to the forecasted data from year 2000 to 2004 in Taiwan security market, the result supports that the financial analysts under react to new information is due to information uncertainty. In addition, this report investigates the behavior about the financial analysts react to good or bad news. The results reveal the financial analysts over-react to good news, but under-react to bad news. And it divides the sample to detail further, differentiate between news and company into well or bad, and it reveals that if the financial analysts use representative heuristic to predict earnings, as for good news of the good company will reflect overreaction. But the hypothesis of the overreaction appears bad company with bad news and good (bad) company with bad (good) news has not been established.
目 錄
摘要 I
英文摘要 II
誌謝辭 III
目錄 IV
圖表目錄 V
第壹章 緒論 1
第一節 研究緣起及動機 1
第二節 研究目的 5
第三節 章節架構與研究流程 5
第貳章 文獻探討 8
第一節 資訊不確定與異常報酬 8
第二節 財務分析師預測偏誤因素 17
第三節 行為財務理論 20
第四節 分析師財務預測行為 29
第參章 研究方法 32
第一節 研究假說 32
第二節 變數定義與實證模型 33
第三節 樣本選取與資料來源 39
第四節 預期實證結果 42
第肆章 實證結果與分析 43
第一節 資訊不確定性之實證 43
第二節 財務分析師反應行為之實證 48
第三節 財務分析師經驗法則反應行為之實證 50
第四節 敏感性測試 53
第伍章 結論與建議 65
第一節 研究結論 65
第二節 研究限制 66
第三節 研究建議 66
參考文獻 67
國內文獻 67
國外文獻 68

圖表目錄
圖1-1 研究流程圖 7
表2-1 短期過度反應與不確定資訊假說 15
表2-2 財務分析師對公司盈餘宣告反應 26
表3-1 變數衡量 37
表3-2 假說一各產業樣本數 41
表3-3 假說二好消息中各產業樣本數 41
表3-4 假說二壞消息中各產業樣本數 42
表3-5 假說二之預期實證結果 42
表3-6 假說三之預期實證結果 42
表4-1 敘述統計-分析師預測散佈之敘述統計分析 43
表4-2 迴歸變數之Pearson相關係數矩陣(N=376)ab 45
表4-3 迴歸模型一之實證結果 47
表4-4 敘述統計-分析師盈餘預測之敘述統計分析 48
表4-5 迴歸模型二之實證結果 49
表4-6 敘述統計-以上期實際盈餘變數趨勢區分好壞公司 50
表4-7 迴歸模型三之實證結果 52
表4-8 迴歸模型一之實證結果-以上期實際每股盈餘區分好壞公司 54
表4-9 迴歸模型三之實證結果-以上期實際每股盈餘區分好壞公司 56
表4-10 迴歸模型一之實證結果-產業別 58
表4-11 迴歸模型二之實證結果-電子類 60
表4-12 迴歸模型二之實證結果-非電子類 61
表4-13 迴歸模型三之實證結果-電子類 63
表4-14 迴歸模型三之實證結果-非電子類 64
國內文獻
吳安妮(1993),財務分析師、管理當局、及統計模式預測準確度之比較研究,管理評論,12 (7 ): 1-48。
吳心儀(2001),分析師預測誤差與公司特性的關聯性,元智大學管理研究所未出版碩士論文。
汪健全(1993),臺灣地區影響財務分析師盈餘預估準確性因素之實證研究,臺灣大學商學研究所未出版碩士論文。
何怡滿(1992),臺灣股票上市公司資訊特性之實證研究,國立中正大學財務金融研究所未出版碩士論文。
林宜勉(1994),財務分析師預測之探討,商業職業教育,58 (9): 39-45。
林玲羽(1993),新上市公司異常報酬決定因素之實證研究,國立政治大學會計研究所未出版碩士論文。
杜榮瑞、葉鴻銘(1995),審計「機率判斷行為」之研究(三)-「定錨與
調整」實驗檢定,會計研究月刊,104: 97-101。
邱碧珠(2000),資訊揭露程度與權益資金成本間之關係:我國資訊電子業之研究,國立台灣大學會計學研究所未出版碩士論文。
施岑佩(1996),盈餘可預測性與財務分析師之預測偏差性研究,政治大學會計研究所未出版碩士論文。
許秀賓(1993),財務分析師盈餘預測優越性決定因素-實證研究,會計評論,27(4): 137-158。
陳啟文(2001),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未出版碩士論文。
鄭偉銘(2001),管理當局與財務分析師盈餘預測能力之實證研究,東華大學企業管理研究所未出版碩士論文。
顏信輝、丁緯(2004),由心理學經驗法則觀點探討盈餘預測之偏誤類型:併論盈餘水準之影響,當代會計,第5卷第2期(11): 139-174。
龔怡霖(2002),行為財務學—文獻回顧與未來發展,國立中央大學財務管理研究所未出版碩士論文。
國外文獻
Abarbanell, J. S. (1991), “Do analysts’ earnings forecasts incorporate information in prior stock price changes? “Journal of Accounting & Economics , 14: 147-165.
Abarbanell, J. S. and V. Bernard (1992), ”Tests of analysts’ overreaction/ underreaction to earnings as an explanation for anomalous stock price behavior.,” Journal of Finance , 47: 1181-1207.
Ajinkya, B., Atiase, B. R. K, and M. J.Gift (1991), ”Volume of trading and the dispersion in financial analysts' earnings forecasts,” The Accounting Review, 66(2): 389-402
Ali, A., Klein, A. and J. Rosenfeld (1992), “Analysts’ use of information about permanent and transitory earnings components in forecasting annual EPS,” The Accounting Review , 67: 183-198.
Amihud, Y. and H. Mendelson (1986), ”Asset pricing and the bid ask spread,” Journal of Financial Economics , 17: 223-249.
Amir, E. and Y. Ganzach (1998), ”Overreaction and under reaction in analysts’ forecasts, “Journal of Economic Behavior & organization, 37: 333-347.
Barron, O., Kim, O., Lim, S. and D. Stevens (1998), “Using analysts’ forecasts to measure properties of analysts’ information environment,” The Accounting Review, 73: 421-433.
Barry, C. and S. Brown (1985), ”Differential information and security market equilibrium, “Journal of Financial and Quantitative Analysis , 20: 407-422.
Beaver, W. H. (2002), ”Perspectives on recent capital market research,” The Accounting Review, 77(2): .453-474.
Bernard, V. L. and Thomas (1989), “Post-earnings-announcement drift: delayed price response or risk premium?,” Journal of Accounting Research, 27: 1-48.
Bhushan, R. (1989), ”Firm Characteristics and analyst following,” Journal of Accounting & Economics ,11: 255-274.
Botosan, C. A. (1997), ”Disclosure level and the cost of equity capital,“ The Accounting Review, 72: 323-349.
――― and M. A. Plumlee (2002), “A re-examination of disclosure level and the expected cost of equity capital,” Journal of Accounting Research, 40: 21-40.
Brav, A. and J. B. Heaton (2002), “Competing theories of financial anomalies,” Review of Financial Studies, 15: 575-606.
Brown, K. C., Harlow, W. V. and S. M. Tinic (1988), “Risk aversion, uncertain information and market efficiency,” Journal of Financial Economics, 21 :355-385.
______(1997), “Analyst forecasting errors: additional evidence,” Financial Analyst Journal , 81-88.
Coles, J., Loewenstein, U. and J. Suay (1995), ”On equilibrium pricing under parameter uncertainty, “Journal of Financial Quantitative Analysis, 30: 347-364.
Cox, D. R. and D. R. Peterson (1994). “Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance,” The Journal of Finance, 49(1): 255-267.
Cutler, D., Porterba, J. and L Summers (1989), “What moves stock price?,” Journal of Portfolio Management ,15(3): 4-12.
______ and ______(1991), “Speculative dynamics,” Review of Economic Studies, 58 : 529-46.
Daniel, K., Hirshleifer, D. and Subrahmanyam (1998), “Investor psychology and security market under-and over-reactions, “Journal of Finance, 53 : 1839-1886.
Das Somnath, Carolyn, B. Levine and K. Sivaramakrishnan (1998), Earnings Predictability and Bias in Analyst’ Earnings Forecasts. The Accounting Review, 73: 2777-294.
De Bondt, W. F. M. and R. H. Thaler. (1985), “Does the stock market overreact? “ Journal of Finance, 40(3): 793-805.
_____and _____. (1990), “Do security analysts overreact?” American Economic Review, 80(2): .52-57.
Diether, K. , Malloy,C. and A. Scherbina (2002), “Difference of opinion and the cross section of stock returns.,” The Journal of Finance , 57: .21113-2141.
Dreman, D. N. and M. A. Berry (1995), “Analyst forecasting errors and implications for security analysis,“ Financial Analysts Journal, 30-41.
Easley, D. and M. O’Hara (2001), ”Information and the Cost of Capital,” Cornell University working paper.
Easley, D., Hvidkjaer, S. and M. O’Hara (2002), ”Is Information Risk a Determinant of Asset Returns?, “ Journal of Finance, 57: 2185-2221.
Easterwood, J. C. and S. R. Nutt (1999), “Inefficiency in analysts’ earnings forecasts: systematic misreaction or systematic optimism?,” The Journal of Finance, 54: 1777-1797.
Edwards, W. (1968), “Conservastism in human information processing. In: Kleinmutz, B.(Ed.), “ Formal Representation of Human Judgment: 17-52.
Fama, E.F. (1970), “Efficient capital markets: A review of theory and empirical work,” Journal of Finance, 25: 384-417.
_________ (1991), “Efficient capital markets:Ⅱ,” Journal of Finance, 46(5): 1575-1617.
Fama, E. F. and K. R. French (1993), ”Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33: 3-56.
Francis, J., LaFond, R. P. Olsson and K. Schipper (2002), ”The Market Pricing of Earnings Qualit,” Duke University and University of Wisconsin working paper.
Gleason, C. and C. Lee. (2003), “Analyst forecast revisions and market price discovery.,” The Accounting Review 78: 193-225.
Hagerman, R. and W. Ruland (1979), ” The Accuracy of Management Forecasts and Forecasts of Simple Alternative Models,” Journal of Economics and Business, 31(3): 172
Hirshleifer, D. (2001), “Investor psychology and asset pricing”. Journal of Finance ,56: 1533-1596.
Huang, Y.(1998), “Stock price reaction to daily limit moves: evidence form the Taiwan stock exchange,” Journal of Business Finance & Accounting, 25: 469-183.
Imhoff, E. and G. Lobo. (1992), “The effect of ex ante earnings uncertainty on earnings response coefficients,” The Accounging Review, 67: 427-439.
Jiang, G., Lee, C. and G. Zhang. (2005),” Information uncertainty and expected returns,” Review of Accounting Studies 10.
Kahneman, D., Slovic, P., and Tversky, A. (1982) , “Judgment under uncertainty:
Heuristics and biases,” Cambridge, UK: Cambridge University Press.
Kahneman, D. and A. Tversky. (1973), “On the psychology of prediction,” Psychological Review ,80(4): 237-251.
Keynes, J. M. (1964), ”The General theory of employment, investment and money,” London: Harcovrt Brace Jornaorich.
Kothari, S.P. (2001), “Capital markets research in accounting,” Journal of Accounting and Economics ,31: 105-231.
Kross, W., B. Ro, and D. Schroeder. (1990), ”Earnings expectation:The analysts’ information advantage,” The Accounting Review, l.65(2): 461-476.
Kurtz , M. (1994), ”On the Structure and Diversity of Rational Beliefs,” Economic Theory, 4: .877-900
Lang, M., and R. J. Lundholm (1996), “Corporate disclosure policy and analyst behavior,” The Accounting Review ,71: .467-492.
La Porta, R. (1996), “Expectations and the cross section of stock returns,” Journal of Finance, 51(5): 1715-1742.
Lewellen, J., and J. Shanken (2002), ”Learning , Asset-Pricing Tests, and Market Efficiency, “ Journal of Finance, 3: 1113-1145.
Liang, Y. and D. Mullineaux (1994), “Overreaction and reverse anticipation: two related puzzles?, “ Journal of Financial Research: 31-43.
Lloyd-Davies, P., and M. Canes (1978), “Stock prices and the publication of second-hand information,”Journal of Business, 51(1): 43-56.
Lys, T. and S. Sohn. (1990), “The association between revisions of financial analysts’ earnings forecasts and security-price changes,” Journal of Accounting and Economics: .341-363.
Mande, V. and W. Kwak. (1996),” Do Japanese analysts overreact or underreact to earnings announcements? “Abacus, 32(1): 81-101.
McNichols, M. and P. O’Brien. (1997), “Self-selection and analysts coverage,” Journal of Accounting Research: 167-199.
Mendenhall, R. (1991), “Evidence of possible underweighting of earnings-related information,” Journal of Accounting Research: 170-180.
Merton, R. C. (1987), ”A simple model of capital market equilibrium with incomplete Information,” Journal of Finance, 42: .483-510.
O’ Hanlon J. and Whiddett R. (1991), ” Do security analysts overreact?” Journal of Accounting and Economics : 53-83.
Olsen, Robert A.(1998), ”Behavioral finance and its implications for stock-price volatility,” Financial analysis Journal: 10-18.
Paul Zarowin. (1989), ”Short-run market overreaction: size and seasonality effects,” The Journal of Portfolio Management, 15: .26-29
Shiller, R. J. (1990), ”Market Volatility And Investor Behavior, “ The American Economic Review, 80(2): .58-63.
Shefrin, H. (2000), “Beyond greed and fear” , Boston, MA: Harvard business school press.
Siickel, S. (1991), “Common sotck returns surrounding earnings forecast revisions: More puzzling evidence,” The Accounting Review, 66: 402-416.
Statman, Meir (1999), ”Behavioral finance: past battles and future engagements,” Financial Analysis Journal.
Tamura.(2002), “Individual-analyst characteristics and forecast error,” Financial Analysts Journal: 28-35.
Tversky, A. and D. Kahneman. (1974), “Judgment under uncertainty: heuristics and biases,” Science 185(4157): 1124-1131.
Welch, I. (2000), “Herding among security analysts, “ Journal of Financial Economics, 58: 369-396.
Williams J. B. (1956), ”The theory of investment value,” Amsterdam: North-Holland.
Zang, X. F. (2005), “Information uncertainty and stock returns,” Forthcoming, Journal of Finance.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
1. 朱愛群(1997)。學習型組織意涵之探索。警學叢刊,27(5),153-176。
2. 吳宗立(2000)。轉型領導理論在學校經營的應用。國教新知,47,4-11。
3. 吳清山(2004)。學校創新經營的理念與策略。教師天地,128,30-34。
4. 吳清山、黃旭鈞(1995)。提昇教育品質的一股新動力:談全面品質管理及其在教育上的應用。教育資料與研究,2,74-83。
5. 林合懋(2001)。國民小學校長的成就目標、終身學習經驗、轉型領導與其多元智慧學校經營理念之關係。國立政治大學教育研究所博士論文,未出版,台北市。
6. 林明地(2000)。助長學校組織學習的關鍵:校長轉型領導。學校行政雙月刊,8,4-11。
7. 林愛玲 (1997)。知識網路─組織學習提升策略之探討。人力資源發展月刊,1224-1229。
8. 孫立葳(2001)。幼兒園品質的把關者需要什麼,國教世紀,196,47-49。
9. 秦夢群(1999)。營造學習型組織學校:教育行政人員應有的體認與策略。教育資料與研究,27,9-12。
10. 秦夢群(2003)。由組織興革觀點談活化組織的策略。教師天地,129,17-21。
11. 徐大偉(1997)。全面品質管理在學校經營與管理上的應用。教育資料文摘,39(1),139-158。
12. 曹建文(2002)。組織學習理論的模式及其重要論辯議題之探討。研習論壇月刊─理論與實務,16,36-44。
13. 張奕華(2003a)。美國中小學校長領導的新趨勢:科技領導。教育研究月刊,114,83-95。
14. 張慶勳(1996)。國小校長轉化、互易領導影響學校轉型領導特性與組織效能之研究。國立高雄師範大學教育研究所博士論文,未出版,高雄市。
15. 陳銘薰(2000)。組織學習理論的發展和內涵─知識管理與組織學習的互動。中衛簡訊,148,26-31。