以中國新財富票選探討擇時能力對成為明星分析師之影響

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姓名

夏宇(Xia Yu) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

以中國新財富票選探討擇時能力對成為明星分析師之影響

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摘要(中)

由於投資人評價基金經理人的標準有擇股能力及擇時能力，本研究認為機構投資人在票選證券分析師時理應也包含對擇時能力的考量。以2006-2018年中國分析師的盈餘預測及推薦與新財富明星分析師上榜資料為樣本，研究擇時能力是否為影響當選明星分析師及排名高低的主要因素，並進一步分析上榜新財富之明星分析師其後續表現相比未上榜者是否存在差異。實證結果發現，分析師之擇時能力與成為明星分析師呈正向關係，且擇時能力與上榜排名的高低亦呈正向關係；而明星分析師在上榜新財富後，仍有相對較佳的擇時能力表現，同時其上榜後的盈餘預測更大膽，曝光度也伴隨著人氣的攀升而增強。本研究證明分析師上榜新財富的主要因素除擇股能力之外，票選人亦將分析師對系統性風險把控的擇時能力納入考量範圍，研究結果可協助瞭解資訊使用者對分析師之需求。

摘要(英)

Investors evaluate the performance of a portfolio manager based on security selection ability and market timing ability. We conjecture that institutional investors select Star analysts based on the same criteria. This study uses analysts′ earnings forecasts and recommendations from 2006 to 2018 in China to investigate whether the market timing ability influences analysts to be selected as Star analysts by The New Fortune. We also investigate the performance and behavior of analysts after they become Stars. The empirical results show that market timing ability is significantly related to becoming a Star analyst. Furthermore, we find that market timing ability is significantly related to the analyst rankings of The New Fortune. However, security selection ability is not a significant determinant for the analyst rankings. After becoming Stars, the security selection abilities of Star analysts are significantly better than those of nonStars and the market timing abilities of Stars are not significantly different from those of nonStars. This study proves that market timing ability of analysts is the main factor of becoming Stars of The New Fortune.

關鍵字(中)

★ 擇時能力
★ 明星分析師
★ 新財富雜誌

關鍵字(英)

★ Market timing ability
★ Star analyst
★ The New Fortune

論文目次

第一章緒論 1
第二章文獻探討 5
2-1 新財富排名 5
2-2 分析師盈餘預測準確度 6
2-3 基金經理擇時能力 8
2-4 系統性風險 16
2-4-1 系統性風險的定義 16
2-4-2 系統性風險的來源 17
2-5 假說發展 18
第三章研究設計 20
3-1 資料來源和樣本選取 20
3-2 模型建立 20
3-2-1 假說1之實證模型 20
3-2-2 假說2之實證模型 21
3-3 變數衡量 22
3-3-1 分析師盈餘預測準確度之衡量 22
3-3-2 分析師擇時能力變數之衡量 22
3-3-3 其他控制變數之測量 24
第四章實證結果 27
4-1 敘述性統計 27
4-2 回歸分析 28
4-2-1 假說1a之實證結果 28
4-2-2 假說1b之實證結果 29
4-2-3 假說2之實證結果 29
第五章結論與建議 32
參考文獻 34

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指導教授

黃承祖(ChengTsu Huang)

審核日期

2019-7-1

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