臺灣博碩士論文加值系統

本研究主要探討分析師對2005年至2011年美國上市公司於金融海嘯前後預測行為之差異。本研究採用先前文獻所提及之影響分析師預測變數為控制變數，分別有公司規模、首次發行股票報酬、當年度IPO之數量以及公司是否於紐約證交所或那茲達克證交所掛牌上市，其中是否於兩大證交所掛牌為虛擬變數，此外，由於本研究主要探討金融海嘯前後之差異，故將影響金融海嘯之主因為自變數，分別為公司之負債比率以及公司之信用評等，其中信用評等變數以分數呈現，此方式參考過去與信評相關之文獻，另外一個自變數為前期公司盈餘之改變，此變數主要參考過去學者針對1997年亞洲金融風暴前後分析師行為之差異所採用的主要變數。本研究將分析師之預測誤差分為三大部分，前30%高預測誤差為第一部分，中間40%為第二部分，最後30%為第三部分，本研究將此三大部份分別表示不同樂觀程度之分析師，用以分析金融海嘯前後不同樂觀程度分析師預測行為之差異。
主要結果發現，分析師之預測皆具有樂觀的情形，且於2008年金融海嘯後樂觀程度明顯增加，此結果與過去探討亞洲金融風暴前後分析師預測行為之差異相同;此外本研究發現較保守之分析師在金融海嘯前會參考公司上市之相關變數為預測之依據，但金融海嘯後卻只依賴公司前期盈餘之變化;較樂觀的分析師在金融海嘯前注重公司是否於兩大證券交易所掛牌上市，但於金融海嘯後改變為參考公司負債比率、公司規模大小以及當年度IPO之數量為預測依據，結果並顯示出，較為保守或樂觀之分析師無論在金融海嘯前後的預測誤差皆與公司信用評等無顯著關係，但對於一般分析師而言，公司之信用評等卻是呈現非常顯著之關係。

In this study, we examine the analysts’ behavior in the pre-crisis and post-crisis period for IPO firms in America from 2005 to 2011. The control variables are the firm size, underpricing, the number of the IPO firms in the same year and whether the company is listed on NYSE or DASDAQ which previous literatures have proved those variables would affect the analyst following. Because we analyze the difference between pre-crisis period and post-crisis period, we use the debt ratio and the rating of firms which are thought as the factors related to the global financial crisis. The other variable in regression is the prior-year earning change, which is the variable examines the analysts behavior in previous study about Asian crisis. We separate the forecast error to three parts, high, normal and low. These three parts represent the different level of optimistic analysts, and we can compare the behavior for different analysts during two periods.
The result shows that all of analysts in our sample are optimistic, and they would become more optimistic after financial crisis. The result is consistent with previous study of Asian crisis. Besides, this study provides conservative analysts would use variables related to IPO to make their predictions before financial crisis but only consider the prior-year earning change after financial crisis. For optimistic analysts, they just notice whether the company is listed on NYSE or DASDAQ before crisis but consider the debt ratio, firm size and the number of IPO firms into their recommendations. Finally, the result also shows that the rating of the company is not a factor conservative and optimistic analysts would consider but general analysts would no matter in the pre-crisis or post-crisis period.

Contents
指導教授推薦書
口試委員會審定書
授權書 iii
誌謝 iv
摘要 v
Abstract vi
Contents vii
List of Tables ix
Chapter 1 Introduction 1
Chapter 2 Literature Review 5
2.1 Analyst Following and Optimism 5
2.2 Analysts’ Forecasts under Uncertainty 7
2.3 The Global Financial Crisis in 2008 7
2.4 Anomalies of IPO Firms 8
Chapter 3 Data sources and Methodology 12
3.1 Initial Public Offering samples 12
3.2 Analyst Following 12
3.3 Rating Information 12
3.4 Opitimism in Forecasts 13
3.5 Regression model 14
3.6 Hypothesis 16
Chapter 4 Empirical Results and analysis 19
4.1 Descriptive statistics and correlation analysis 19
4.2 Optimism in Forecasts 26
4.3 Regression in Forecasted Change 28
4.4 Regression on Forecast Error 29
Chapter 5 Conclusion 37
References 40

List of Tables
Table 1. Numerical value of rating note 18
Table 2. Distribution of Initial Public Offering (IPOs) Over Time 20
Table 3. Sample Distribution 23
Table 4. Correlation Analysis 25
Table 5. Forecast Errors by Year 27
Table 6. Regression of Actual Earning Change on Forecast Change 28
Table 7. Forecast Error Regression 34
Table 8. Forecast Error Regression in Pre-crisis Sample Period 35
Table 9. Forecast Error Regression in Post-crisis Sample Period 36

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