投資人情緒對分析師盈餘預測偏誤之影響

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曹毓珊(YU-SHAN TSAO) 查詢紙本館藏

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企業管理學系

論文名稱

投資人情緒對分析師盈餘預測偏誤之影響
(The Impact of Investor Sentiment on Analysts’ Earnings Forecast Errors)

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摘要(中)

本研究以中央大學經濟研究發展中心每月調查的消費者信心指數作為投資人情緒之替代變數，探討投資人情緒是否會影響分析師對公司之盈餘預測；同時比較根據Baker and Wurgler (2006) 對「不確定性公司」或「難以衡量其價值的公司」之特性做歸類，探討公司規模、年齡、報酬穩定性、獲利性、有無發放現金股利等五種不同公司性質是否會因為投資人情緒進而影響分析師預測。實證結果發現，首先，分析師預測普遍過於樂觀，當投資人情緒越高昂反而會使分析師預測更為保守。其次，分析師對規模小、年輕、獲利低、無發放現金股利之公司有較樂觀之預測，對於盈餘穩定性之公司則並無顯著影響。而在交互影響方面，獲利性低與無發放現金股利之公司，分析師盈餘預測較易受投資人情緒之影響。整體而言，本研究結果顯示，分析師雖為專業且理性的分析人員，但預測行為仍會受到投資人情緒之影響。

摘要(英)

We correlate analysts’ forecast errors with temporal variation in investor sentiment. By using the monthly survey of consumer confidence index conducted by the Research Center for Taiwan Development Economic as a proxy for investor sentiment . Follow the study of Baker and Wurgler (2006),we classify “uncertain” or “dif?cult-to-value” ?rms to five characteristics.The empirical results of this study show the following：(1) Analyst’s earnings forecast is significantly optimistic. (2) When sentiment is high , analysts’ forecasts earnings growth are relatively less
optimistic for all companies.(3)When sentiment is high, analysts’ forecasts earnings growth are relatively less optimistic for “unprofitable” or “no-dividends” ?rms. In sum, our findings indicate that are regarded as relatively sophisticate and rational investors investors in the capital markets.

關鍵字(中)

★ 不確定性公司
★ 消費者信心指數
★ 投資人情緒
★ 分析師預測偏誤

關鍵字(英)

★ uncertain firms
★ investor sentiment
★ analysts’ forecast errors
★ consumer confidence index

論文目次

一、緒論 1
1-1 研究動機與目的 1
1-2 研究流程 4
二、文獻回顧 6
2-1 投資人情緒 6
2-2 消費者信心指數 8
2-3 分析師之重要性 10
2-4 分析師預測之樂觀現象 11
三、假說發展 14
3-1 投資人情緒對分析師之影響 14
3-2 不同公司特性下投資人情緒對分析師之影響 15
四、研究設計 19
4-1 主要變數之衡量 19
4-1-1 投資人情緒指標 (Investor Sentiment) 19
4-1-2 分析師預測錯誤 (Analysts’ Earnings Forecast Errors) 19
4-2 控制變數之衡量 19
4-2-1 無形資產 (IA)： 19
4-2-2 負債比率 (LEV)： 20
4-2-3 營收成長比 (SG)： 20
4-2-4 不確定性公司(Uncertain Firms)之交互影響衡量 20
4-3 實證模型 22
4-3-1 H1之實證模型 22
4-3-2 H2之實證模型 23
五、樣本篩選與敘述統計 25
5-1 樣本選取 25
5-2 敘述統計 28
六、實證結果分析 32
6-1 檢定假說一：投資人情緒對分析師預測偏誤之影響 32
6-2 檢定假說二：投資人情緒與不確定性特質之交互影響 33
6-2-1 公司規模 (SIZE) 變數與投資人情緒之交互影響 33
6-2-2 公司年齡 (AGE) 變數與投資人情緒之交互影響 34
6-2-3 報酬易變性 (VOL) 變數與投資人情緒之交互影響 35
6-2-4獲利性 (ROE) 變數與投資人情緒之交互影響 35
6-2-5 現金股利 (PAY) 變數與投資人情緒之交互影響 36
七、結論與建議 38
參考文獻 40

參考文獻

參考文獻
中文參考文獻

許溪南、郭玟秀、鄭乃誠，2005。投資人情緒與股價報酬波動之互動關係：台灣股市之實證，台灣金融財務季刊，第六卷第三期，107-121。
周賓凰、張宇志、林美珍，2007。投資人情緒與股票報酬互動關係，證券市場發展季刊，第十九卷第二期，153-190。

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指導教授

曹壽民

審核日期

2014-6-20

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