以均值回歸特性探討分析師個人評價產生之長短期預測不一致

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姓名

楊忠熹(Chung-Hsi Yang) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

以均值回歸特性探討分析師個人評價產生之長短期預測不一致
(The Inconsistency between Analysts’ Long- and Short-term Forecasts due to Mean Reversion)

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摘要(中)

本研究主要在探討均值回歸特性是否對分析師行為產生影響，在過往文獻中，分析師長短期預測不一致的研究多是着墨於分析師受外在壓力影響，迫使其對長短期作出不一致的預測，而本研究認為分析師亦可能因自身評價觀點，自主性對長短期作出不一致的預測，故本研究以2010年11月至2016年北美原油上游產業為研究樣本，將原油庫存作為研究標的，檢驗分析師在油價均值回歸特性的影響下，是否依其自身評價觀點，自主性地發佈長短期不一致的報告。實證結果顯示，在油價均值回歸特性下，分析師視原油庫存未預期變動對油價的影響為短期衝擊，長期油價將回歸至均值，故當原油庫存發生未預期變動時，分析師會對短期盈餘預測進行調整，對長期則無顯著調整，在調整幅度上，會隨著預測期長增加而遞減，而在原油庫存發生未預期大幅變動時，分析師發佈短期預測報告的頻率會高於長期。此外，本研究發現由Frankel & Lee (1998)企業評價模型所估出之企業價值，無法充分描述分析師長短期預測之偏離。

摘要(英)

The purpose of this study is to explore whether the mean reversion has an impact on analyst behavior. The researches discuss that the analysts are influenced by external pressure, forcing it to issue inconsistent forecasts reports. This study tries to discuss whether the analysts autonomously issue inconsistent forecasts reports for long- and short-term due to their own perspective. The study obtain the North American crude oil upstream industries from 2010 to 2016 as the research samples, and the crude oil inventories as the research subjects to test whether the analysts autonomously issue inconsistent forecasts for long- and short-term due to their own perspective under the influence of the mean reversion. The empirical results show that under the mean reversion of oil price, analysts regard unexpected changes in crude oil inventories as the short-term impact on oil price, long-term oil prices will return to the mean. When unexpected changes in crude oil inventories occur, analysts will adjust short-term earnings forecasts, but not obvious for the long-term. In the forecast revision, it will decrease as the forecast period increases. When unexpected significant changes in crude oil inventories occur, analysts issue short-term forecasts will be more frequently than long-term. In addition, the study found that estimating the enterprise value by Frankel & Lee (1998) valuation model can’t adequately describe the deviation between long- and short-term forecasts.

關鍵字(中)

★ 分析師
★ 均值回歸
★ 預測修正
★ 發佈頻率
★ 企業評價

關鍵字(英)

論文目次

目錄
摘要 vi
Abstract vii
圖目錄 ix
表目錄 x
一、諸論 1
二、文獻探討 5
2-1　分析師對證券市場之重要性 5
2-2　分析師長短期預測不一致 6
2-3　均值回歸特性 7
2-4　油價變動對總體經濟之影響 9
2-5　研究假說 10
三、研究方法 12
3-1　選樣方法 12
3-2　研究方法 14
3-2-1原油庫存未預期變動與分析師預測修正之關係 14
3-2-2原油庫存未預期變動與分析師預測修正幅度之關係 15
3-2-3原油庫存未預期變動與分析師預測報告發佈頻率之關係 16
3-2-4原油庫存未預期變動與分析師長短期預測偏離的關係 17
四、研究結果 23
4-1　原油庫存未預期變動與分析師預測修正之實證結果分析 23
4-2　原油庫存未預期變動與分析師預測修正幅度之實證結果分析 28
4-3　原油庫存未預期變動與分析師報告發佈頻率之實證結果分析 30
4-4　原油庫存未預期變動與分析師長短期預測偏離之實證結果分析 32
五、研究結論與建議 34
參考文獻 36

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指導教授

黃承祖

審核日期

2018-1-16

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