臺灣博碩士論文加值系統

本論文包含兩篇關於匿名分析師盈餘預測的主題。第一篇探討匿名盈餘預測與具名盈餘預測之正確性與樂觀性的比較。過去許多文獻發現不同來源的盈餘預測之正確性會有所不同，其中比較特別的是，Bagnoli et al. (1999) 探討美國市場First Call資料庫的分析師盈餘預測與匿名盈餘預測 (Whisper estimates)，結果發現First Call資料庫的分析師盈餘預測往往低估公司盈餘，而匿名盈餘預測則有高估估公司盈餘的現象。本文以台灣市場為研究市場，與美國市場不同的是，台灣的盈餘預測不論是來自匿名或具名預測，其來源都是券商分析師，而美國的匿名盈餘預測則不知來源為何。本文的研究發現，相較於具名預預測，匿名盈餘預測較不正確具較樂觀。在控制其它影響正確性或樂觀性的變數後，其結果仍不改變。
第二篇文章主要研究市場對於具名預預測與匿名盈餘預測的反應是否有所不同。本文認為由於匿名盈餘預測的來源不明，真實性有待驗證，因此，市場投資人對於匿名盈餘預測應當會有不一致的看法。文獻顯示，市場交易量反應了市場投資人對於資訊看法的歧異程度，當看法差異愈大時，交易量會愈大。根據以上的推論，我們預期，相較於具名盈餘預測，匿名盈餘預測的宣告會引起較大的市場反應。檢測宣告日前後共3天之累積異常交易量的結果發現，投資人確實對於匿名盈餘預測的宣告會有較大的反應。控制其它影響交易量的變數後，其結果仍不改變。

This dissertation is comprised of two topics related to anonymous earnings forecasts in Taiwan. Research analysts study companies and industries, and make forecasts of companies’ earnings and recommendations about whether to buy, sell or hold the companies’ securities. Extant empirical studies suggest that analysts’ earnings forecasts are not accurate and on average positively biased (i.e., optimistic). For example, Abarbanell (1991) uses Value Line data source and finds that analysts’ earnings forecasts are systematically overoptimistic. Using Zacks database, Stickel (1990) finds results similar to those in Abarbanell (1991).
Despite the fact that financial analysts tend to report positively biased earnings forecasts, systematic differences in analysts’ forecast accuracy have been documented. Stickel (1992) finds that Institutional Investor All-Americans forecast annual earnings per share more accurately than other analysts. Sinha et al. (1997) document superior U.S. analysts do exist. Mande (1996) suggests that Japanese analysts outperform U.S. analysts on the forecasts of sales.
Bagnoli et al. (1999) compare the First Call analyst forecasts of earnings to “Whisper estimates”, unofficicial and anonymous forecasts of earnings per share. They suggest that whispers estimates are more accurate than First Call forecasts and that First Call forecasts tend to underestimate earnings whereas whispers tend to overestimate earnings. In Taiwan, there are anonymous earnings forecasts similar to whisper estimates. They are usually reported via various media such as the cable televisions, newspapers and internets, and are almost available for free. Anonymous earnings forecasts are similar to whisper estimates in the U.S. in that investors are not able know who release the forecasts. The only difference is that whisper estimates are not necessarily made by analysts while anonymous earnings forecasts in Taiwan are generated by brokers (i.e., sell-side analysts).
Based on prior literature which suggests that the quality of earnings forecasts varies across different sources of earnings forecasts, our main objective in the first paper of the dissertation is to analyse the quality (i.e., accuracy and optimism) of anonymous earnings forecasts in relation to that of non-anonymous earnings forecasts. The empirical result shows that anonymous forecasts are, on average, less accurate and more optimistic than non-anonymous forecasts even after controlling for other factors affecting the forecast accuracy or optimism. However, the year-by-year analysis suggests that anonymous earnings forecasts are not consistently less accurate and more optimistic for years within the period of Year 2000 to Year 2006.
It is reasonable to believe that people may pay more attention to discuss the authenticity of information issued with anonymity, and are more likely to have dispersive beliefs in the content of earning forecasts issued by anonymous brokers due to the lack of reputational guarantee. Besides, it is also reasonable to believe that the information set may be more uncertain and diverse when anonymous earnings forecasts and non-anonymous earnings forecasts occur concurrently.
We use trading volume reaction to test the above inference because plenty of theoretical and empirical studies indicate that volume reaction reflects the degree of investor disagreement. Therefore, we further investigate two primary issues in Chapter 2. First, we look into whether the market’ volume reaction to anonymous earnings forecasts is greater than that to non-anonymous earnings forecasts. By looking at three-day cumulative abnormal trading volume surrounding the issue of earning forecast, we find that investors trade more to react to anonymous earnings forecasts. The finding is consistent with our prediction and suggests that investors are more likely to have heterogeneity of opinion on the anonymous earnings forecasts. Second, we examine whether trading volume reaction is greater when anonymous earnings forecasts and non-anonymous earnings forecasts occur concurrently on the same event period (three days). By looking at three-day cumulative abnormal trading volume surrounding the issue of earning forecast, we find that trading volume reaction is greater when anonymous forecast and non-anonymous forecast arrive in the market concurrently. The finding corroborates our prediction that investors have higher degree of discordant beliefs when anonymous forecast and non-anonymous forecast arrive in the market at the same event period.

Chapter 1 Accuracy and optimism of anonymous earnings forecasts
1. Introduction 1
2. Prior literature
2.1. Analysts’ forecast accuracy and the determinations of the accuracy. 3
2.2. Information content of analysts’ forecasts 5
2.3. Herding among analysts 8
2.4. The conflict of interests 9
2.5. Analyst earning forecast in Taiwan 13
3. The variable 14
4. Data and sample selection 16
5. Empirical results
5.1 Summary statistic and sample distribution 17
5.2 Forecasts accuracy and optimism tests 20
6. Discussion 28
7. Conclusion 29
Reference 31
Tables 36

Chapter 2 Trading volume reaction to anonymous earnings forecasts
1. Introduction 47
2. Measures of variables and data 49
3. Empirical results
3.1 trading volume reaction to anonymous earning forecasts 51
3.2 Market reaction to forecasts in overlapping day and in non-overlapping day 61
4. Conclusion 65
Reference 66
Tables 69

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