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研究生:李得嘉
研究生(外文):De-Jia Li
論文名稱:證券分析師從眾行為之研究
論文名稱(外文):Research on Security Analysts’ Herding Behavior
指導教授:吳瑞萱吳瑞萱引用關係
指導教授(外文):Ruei-Shian Wu
學位類別:碩士
校院名稱:元智大學
系所名稱:會計學系
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:2009
畢業學年度:97
語文別:英文
論文頁數:49
中文關鍵詞:大膽預測從眾行為錯價
外文關鍵詞:BoldHerdingMispricing
相關次數:
  • 被引用被引用:0
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本研究探討證券分析師的從眾行為,參照Rhodes-Kropf, Robinason, and Viswanathan (2005) 的模型衡量錯價 (mispricing),並探討錯價是否影響分析師發佈大膽預測。本研究探討大膽預測、分析師的預測準確率及錯價三者間的關係,並探討大膽預測是否會帶來較高的異常報酬。研究對象以美國企業為主,樣本期間為1993年1月至2006年12月。資料來源為Compustat、CRSP和I/B/E/S。
實證結果發現,當公司被錯價 (firm-specific error) 之程度越低時,分析師傾向於從眾;公司錯價程度大幅偏離產業的平均水準時 (sector error),分析師傾向於發佈大膽預測;當總錯價 (total error) 程度越高時,分析師傾向發佈大膽預測;若分析師的前一年預測準確率越高,分析師今年越容易發佈大膽預測。在交乘項的部份,當公司被錯價之程度越低且分析師的前一年預測準確率越高時,分析師傾向從眾;當公司的錯價程度大幅偏離產業的平均水準且分析師的前一年預測準確率越高時,分析師傾向發出大膽預測;當總錯價程度越高且分析師的前一年預測準確率越高時,分析師傾向從眾。另外,我們的研究發現,分析師發佈大膽預測的公司,比分析師發佈從眾預測的公司,擁有較高的異常報酬。
This research investigates analysts’ herding behavior. We adopt Rhodes-Kropf, Robinason, and Viswanathan’s (2005) model to measure firms’ mispricing and we explore whether the capital market’s mispricing toward firms has effects on analysts’ herding. Namely, this research examines the relation among forecast boldness, forecast accuracy and mispricing. We also examine whether analysts issue bold forecasts lead to higher abnormal return than analysts herding. Our sample consists of American companies from 1993 through 2006. The financial data are from Compustat, CRSP and I/B/E/S. The sample yields 702,057 analyst–firm–year observations.
We find that when a firm is highly mispriced (firm-specific error), analysts tend to herd. If a firm’s true value highly deviates from the industry (sector error), analysts have the tendency to issue bold forecasts. Analysts are likely to be bold when total error is high. When analysts’ prior year forecasts accuracy is high, they tend to issue bold forecasts. Referring to our interaction item, we find that analysts tend to herd when their prior year forecasts are accurate jointly with the situation that a firm is less mispriced. When a firm’s true value highly deviates from the entire industry jointly with the situation that analysts’ prior year forecasts are accurate, analysts are likely to issue bold forecasts. Analysts have the tendency to herd when total error is high jointly with the situation that analysts’ forecast accuracy is high. We also find that analysts issue bold forecasts leads to higher abnormal return than analysts issue consensus forecasts.
ABSTRACT ii
CHAPTER1 INTRODUCTION & LITERATURE REVIEW - 1 -
1.1 Introduction & Literature Review - 1 -
1.2 Research Structure - 8 -
1.3 Research Procedures - 9 -
CHAPTER 2 HYPOTHESIS DEVELOPMENT - 10 -
CHAPTER 3 RESEARCH DESIGN - 13 -
3.1 Data and Specification - 13 -
3.2 Measurement of Boldness - 13 -
3.3 Measurement of Market Mispricing - 14 -
3.4 Model - 16 -
CHAPTER 4 EMPIRICAL RESULTS - 22 -
4.1 The Descriptive Statistics - 22 -
4.2 Relation between Bold and Mispricing - 26 -
4.3 Relation between Bold and Forecast Accuracy - 30 -
4.4 Relation between Bold, Mispricing and Forecast Accuracy - 32 -
4.5 Relation between Abnormal Return and Bold - 40 -
CHAPTER 5 Conclusion and Suggestion - 44 -
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