臺灣博碩士論文加值系統

本研究主要在探討券商盈餘預測修正相關行為。以臺灣證券交易所臺灣五十指數成分股公司為研究對象，從2003年6月1日至2015年12月31之每月月底資料，共計12年又7個月。
實證結果顯示與券商盈餘預測修正行為，呈現正向關係的變數有公司規模、淨值股價比、市場風險、落後一期的盈餘預測修正值；而呈現反向關係的變數有權益風險溢酬；以產業類別來看，有不同影響結果分別有全部變數對金融類股無顯著影響、公司規模和股價淨值對傳產類股無顯著影響外，其餘結果皆相同。在前一期非預期性的事件，對電子類股與傳產類股有短期正向影響，但其波動性大小不同，傳產類股大於電子類股；在長期持久性的事件，對各產業類股皆有長期正向影響，但其波動性大小不同，最大為金融類股，依序為傳產類股、電子類股。另外券商是否有盈餘預測偏誤的行為，發現除了2003年度未達顯著水準外，各年度與產業分類，皆有顯著的盈餘預測樂觀的偏誤現象，但產業類別的樂觀偏誤大小不同，最大為金融類股，依序為電子類股、傳產類股，並且在2014年與2015年盈餘預測樂觀行為發佈後的一週與兩週內，券商有顯著的反向操作行為，證實券商有其他經濟誘因而產生利益衝突的現象。

This study was to investigate the brokerage earnings forecast related corrective actions. FTSE TWSE Taiwan 50 Index constituent stocks as the object of study, from June 1, 2003 to December 31, 2015, monthly information at the end of a total of 12 years and 7 months.
The empirical results show that the variables that present the positive relationship are the firm size, the net price ratio, the market risk, the surplus forecast correction value. The variables with the reverse relationship are the risk premium. In terms of industry categories, there are all the variables that have different effects on the financial category have no significant impact, the production category has no significant impact on the size of the company and the net price of the stock, the remaining results are the same.
In the previous issue of unanticipated events, there was a short-term positive impact on the electronic category and production category, but the volatility of different sizes, the production category more than electronic category; In the long-term persistent events, there are long-term positive effects on all categories, but the volatility of different sizes, the largest financial category, followed by the production category, electronic category. Whether the broker has the behavior of the earnings forecast bias, and found that in addition to 2003 did not reach a significant level, the annual and industrial categories, there are significant earnings forecast optimistic bias phenomenon, but the industry categories of optimistic bias different size, the largest financial category followed by electronic category, production category. Furthermore, in 2014 and 2015 earnings forecast optimism after the release of first week and second week, the broker has a significant reverse operation, confirmed that the broker has other economic incentives and the phenomenon of conflict of interest.

目錄
中文摘要.................................................i
英文摘要................................................ii
誌謝..................................................iii
目錄...................................................iv
表目錄.................................................vi
圖目錄................................................vii
第一章 緒論.............................................1
1.1 研究背景與動機.......................................1
1.2 研究目的.............................................3
1.3 研究範圍.............................................3
1.4 研究架構與流程.......................................4
第二章 文獻探討..........................................6
2.1分析師盈餘預測相關文獻.................................6
2.2盈餘對股價的關聯性相關文獻..............................9
2.3權益風險溢酬相關文獻..................................10
2.4分析師盈餘預測偏誤相關文獻.............................12
第三章 研究方法.........................................14
3.1樣本說明與資料來源....................................14
3.1.1資料來源...........................................14
3.1.2 資料篩選..........................................15
3.2相關變數的定義與衡量..................................15
3.2.1分析師盈餘預測修正值(REV)...........................16
3.2.2權益風險溢酬(equity risk premium,ERP)..............16
3.2.3公司規模(SIZE).....................................17
3.2.4淨值市價比(book-to-market ratio,BM)................17
3.2.5市場風險(BETA).....................................17
3.2.6落後一期的券商每月盈餘預測之修正值(REVt-1))...........18
3.3研究模型.............................................18
3.4單根檢定.............................................19
3.4.1 ADF單根檢定法(Augmented Dickey-Fuller test).......19
3.4.2 PP單根檢定法(Phillips-Perron test)................20
3.5相關性分析...........................................21
3.6 ARCH效果檢定........................................21
3.7 GARCH模型..........................................23
3.8分析師預測態度評估指標................................24
3.9自營部門買賣金額與次數實證假設.........................25
第四章 實證結果與分析....................................27
4.1單根檢定.............................................27
4.2敘述性統計量.........................................27
4.3相關係數矩陣.........................................30
4.4同質異質檢定.........................................31
4.5 GARCH(1,1)模型.....................................34
4.6券商分析師發佈預測偏誤之實證結果.......................37
4.6.1 全部樣本的預測偏誤驗實證結果.......................37
4.6.2 不同產業類別的預測偏誤驗實證結果...................40
4.6.3 券商分析師預測偏誤之實證結果小結...................41
4.7 券商分析師發佈顯著盈餘偏誤預測後券商自營部門股票買賣超行為之實證結果................................................42
4.7.1 全部樣本的買賣金額與次數檢驗結果...................42
4.7.2 不同產業類別之買賣金額與次數檢驗結果................45
4.7.3 券商自營部門股票買賣行為之實證結果小結..............45
第五章結論與建議.........................................46
5.1結論................................................46
5.2建議................................................49
參考文獻................................................50
英文論文大綱............................................54
簡歷(CV)...............................................59

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