證券分析師所提供資訊與企業投資、籌資活動-三項投資相關評級指標之延伸性研究;Exploring and Extending Analyst Muiti-Year Earnings Forecast, Analyst Performance Ranking, and Csr Ranking Studies

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题名:	證券分析師所提供資訊與企業投資、籌資活動-三項投資相關評級指標之延伸性研究;Exploring and Extending Analyst Muiti-Year Earnings Forecast, Analyst Performance Ranking, and Csr Ranking Studies
作者:	黃承祖
贡献者:	國立中央大學企業管理學系
关键词:	過度投資;企業社會責任;訊號效果;明星分析師;擇時能力;over-investment;corporate social responsibility;signaling;all-star analysts;market timing ability
日期:	2020-01-13
上传时间:	2020-01-13 14:17:44 (UTC+8)
出版者:	科技部
摘要:	第一年藉由分析師觀點檢視企業之投資過度/投資不足。企業長期投資之未來效益具不確定性，加上會計的保守性及不完美，致會計帳列數字無法反映長期投資之經濟價值，故需倚賴分析師協助評估長期投資效益。文獻對過度投資/投資不足的認定有其侷限性，檢測企業長期投資與分析師長期盈餘預測間關聯，並建構分析師觀點的過度投資認定模型，探討(1)是否高長期投資企業公佈盈餘時，會有較多的分析師出具報告，尤其是長期盈餘預測，(2)是否高長期投資企業公佈盈餘時，分析師會在較短時間內發佈報告?(3)是否由分析師觀點認定之的過度投資/投資不足，較Richardson (2006)及McNichols and Stubben (2008)之認定有額外資訊意涵，得以據此形成交易策略獲取超額報酬?(4)是否企業股東與債權人間、股東與經理人間的代理問題，影響企業之過度投資/投資不足?第二年檢視企業社會責任與股利政策、庫藏股的訊號放送效果。Shiu and Yang (2017)指出企業社會責任的類保險效果，本計畫研判企業或選擇餘裕時投資於社會責任此項無形資產，以待來日出險時降低傷害，而庫藏股與現金股利在財務理論也存有類似訊號效果，藉由釐清企業社會責任與庫藏股及現金股利間關聯，企業社會責任指標或可呈現一項企業財務或營運現狀。檢測(1)是否企業社會責任具傳遞企業財務健全或獲利能力佳的訊號效果?(2)是否企業未實施庫藏股/降低現金股利，但同期有較佳企業社會責任表現時，分析師目標價預測仍佳?(3)是否當企業有較高的暫時性盈餘時，同期企業社會責任成績也較佳?(4)是否能藉分析師的長短期盈餘預測，辨認企業社會責任之效益?第三年檢視明星分析師之擇時能力。過往文獻分析得以受票選成為明星分析師的關鍵因素，探究主要是肇因於其內在的預測能力，抑或是外在的高人氣，然文獻用以判斷分析師能力之指標，為分析師之預測準確度，即分析師的擇股能力，但具票選明星分析師投票權的是資產配置多元化分散且未必在乎有遺珠的機構投資人，其面臨的風險應為系統性風險，對明星分析師之評判，理應亦納入分析師的擇時能力作為考量，檢測(1)是否受機構投資人雜誌或華爾街日報票選上榜之明星分析師，對全面股市漲跌擇時能力較佳?(2)是否對高系統性風險產業，更著重分析師擇時能力?(3)是否分析師藉減少追蹤盈餘波動性大企業，維持較高預測準確度以提高上榜明星分析師機率? ;The first year project focuses on firm investment adequacy from the perspective of security analysts. Perhaps due to both uncertainty of future prospect and accounting conservatism as well as inaccuracy, the carrying amount of firm investment assets may fail to reflect the intrinsic value. Accordingly, analyst reports may be indispensably informative for evaluating these assets. Aiming at potential inefficiency in the prior studies that identify investment inadequacy, this project establishes the model of over- or under-investment based on analyst earnings forecasts, investigating (1) would more analysts issue research reports, especially multi-year earnings forecasts, at earnings announcement date for the firms with greater long-termed investment in proportion of total assets? (2) would analysts more quickly provide research reports at the earnings announcements date for these firms? (3) Does my investment adequacy measure estimated from analyst perspective outperform the settings of Richardson (2006) and McNichols and Stubben (2008)? (4) Do and to what extent firm agency conflicts between shareholders and debtholders and that between shareholders and managers explain over- or under-investment? The second year project examines the signaling effect of corporate social responsibility (CSR) achievements, which Shiu and Yang (2017) described as having insurance-like effects for future year payback at negative events, at cash dividend or share repurchase announcements. I hypothesize that the firm may expand CSR assets when it has temporary financial surplus. Therefore, an examination of the relationship between CSR efforts and share repurchases as well as cash dividends helps us understand how effectively CSR ranking reflects company financial and/or operational status. Accordingly, I will examine (1) whether CSR ranking helps convey the signal regarding financial status and/or concurrent profits, (2) whether the analyst would issue favorable forecasts for firms with superior CSR achievements but reduced dividends and no share repurchases, (3) whether the firm CSR ranking increases with the temporary component of earnings, and (4) whether near- and long-termed analyst earnings forecasts reflect the effectiveness of CSR achievements.The third year project examines the market-timing ability of All-American analysts. The extant studies of the key factors for All-American analyst elections focus on the relative importance of forecast ability versus popularity. These studies, moreover, prevalently adopt forecast accuracy as the proxy variable for analyst security selection ability. The voters for All-American analysts, however, are the well diversified institutional investors, who fairly likely feel indifferent if a sell-side analyst neglects certain stocks. Their primary concerns may be the systematic risk of their portfolios and thus their key factors may include analyst market timing ability. Accordingly, I examine (1) whether the All-American analysts elected by Institutional Investor and/or the Wall Street Journal outperform the other analysts in predicting overall market returns? (2) Do Institutional Investor and/or the Wall Street Journal weigh more on the market timing ability when they elect All-American analysts for firms in the industries with greater systematic risk? (3) Do analysts tend to avoid covering the firms with high earnings volatility for fear of their jeopardizing forecast accuracy, thereby reducing the probability of being elected as All-American stars?
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
显示于类别:	[企業管理學系] 研究計畫

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