公平揭露法案對被忽略公司的影響

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姓名

陳毓新(Yu-hsin Cken) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

公平揭露法案對被忽略公司的影響
(The impact of Regulation Fair Disclosure on neglected firms)

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摘要(中)

本研究探討(1)公平揭露法案通過後，具有何種特性的分析師會開始追蹤被忽略的公司，而具有何種特性的分析師會停止繼續追蹤被忽略的公司，(2)市場對於具有不同能力或經驗分析師開始追蹤被忽略公司之股價反應是否有所不同，(3) 公平揭露法案通過後，繼續追蹤同一家被忽略公司分析師之盈餘預測錯誤與樂觀盈餘預測誤差是否有所不同。
實證結果顯示，公平揭露法案通過後，能力高和產業經驗豐富之分析師選擇開始追蹤被忽略的公司，相反的，能力低和產業經驗不足的分析師則選擇停止繼續追蹤被忽略的公司。然而，市場對於不同能力或經驗分析師開始追蹤被忽略的公司之股價反應並無顯著差異。此外，公平揭露法案通過後，繼續追蹤同一家被忽略公司分析師之預測準確度降低，原因可能是無法再取得私有資訊。因公平揭露法案禁止公司選擇性揭露重大私有資訊給特定的分析師，因此，分析師樂觀預測偏差在公平揭露法案通過後顯著減少。

摘要(英)

This paper examines whether the passage of Regulation Fair Disclosure affects analysts’ add and drop coverage decision of a neglected firm. We also examine whether the market responds positively to high ability and more experienced analysts’ initial coverage. Our results show that high ability and more industry experience analysts choose to follow the neglected firms after the passage of Regulation Fair Disclosure. On the other hand, analysts with low ability and less industry experience drop the coverage of a neglected firm in the post Regulation Fair Disclosure period. However, the market reactions to high ability analysts’ initial coverage are insignificantly positive.
This paper also posits and shows that forecast accuracy declines for those analysts who choose to continue to follow the same neglected firms. The reason is that those analysts lose the private information advantage and are unable to maintain their superiority. Since the Regulation Fair Disclosure prohibits selective disclosure to particular analysts, optimistic forecast biases decline after the passage of the Regulation Fair Disclosure.

關鍵字(中)

★ 盈餘預測偏差
★ 市場反應
★ 公平揭露法案
★ 分析師追蹤決策
★ 盈餘預測準確性

關鍵字(英)

★ Market reaction
★ Forecast biases
★ Forecast accuracy
★ Analysts’ coverage
★ Regulation Fair Disclosure

論文目次

1. Motivation 1
2. Literature Reviews 4
2.1 Determinants of Analysts’ Following 4
2.2 The Impact of Regulation Fair Disclosure 6
2.2.1 History of Regulation Fair Disclosure 6
2.2.2 The Impact of Regulation FD on Information Environment 7
2.2.3 The Impact of Regulation FD on Analysts’ Forecasts 9
2.3 Analysts’ Experience and Ability 10
3. Hypotheses 11
3.1 Analysts’ Characteristics and Their Add/Drop Decisions 11
3.2 Market Reaction to Analysts’ Add Decisions 13
3.3 Analysts’ Forecast Properties 13
4. Research Model 15
4.1 Analysts Characteristics and Their Add Decisions 15
4.2 Analysts Characteristics and Their Drop Decisions 19
4.3 Market Reactions and Analysts’ Add Decisions 20
4.4 Forecast Properties 23
4.4.1 Forecasts Errors 23
4.4.2 Forecast Biases 25
4.5 Data 27
5. Empirical Results 27
5.1 Sample Selection 27
5.2 Descriptive Statistics 28
5.2.1 Statistics for Pre-Reg FD Period 28
5.2.2 Statistics for Post-Reg FD Period 31
5.3 Empirical results 36
5.3.1 Factors that Affect Analysts’ Add and Drop Coverage Decisions 36
5.3.2 Market Reaction to Analysts’ Add Decisions 40
5.3.3 The Impact of Reg. FD on Forecasting Accuracy 41
5.3.4 The Impact of Reg. FD on Forecasting Bias 43
6. Robustness tests 46
6.1 The Definition of Neglected Firms 46
6.2 Add and Drop Coverage 50
6.3 CAR for Analysts’ Characteristic 51
7. Conclusions 52
Reference 54

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指導教授

陳慧玲(Huei-ling Chen)

審核日期

2007-7-19

推文