分析師現金流量預測是否可以促進市場價格發現

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連威豪(Wei-hao Lien) 查詢紙本館藏

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企業管理學系

論文名稱

分析師現金流量預測是否可以促進市場價格發現
(Do Analysts’ Provision of Cash Flow Forecasts Facilitate Market Price Discovery?)

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摘要(中)

本研究旨在探討市場是否可以充分瞭解分析師現金流量預測所提供的資訊內涵、進而改善投資人對於應計項目的反應效率。本文結果發現：(1)市場對於應計項目會產生過度反應；然而，(2)分析師現金流量預測可以有效地減少應計項目錯誤訂價的現象。實證結果建議：分析師現金流量預測之資訊，應可協助投資人將非預期盈餘正確地歸屬來自於現金流量或是應計項目，同時，亦可增加公司財務資訊的可靠性，更進一步緩和投資人對於應計項目錯誤訂價的現象。

摘要(英)

This study examines whether analysts’ provision of cash flow forecasts improves the efficiency of investor reaction to valuation implications of accruals. We find that investors tend to overestimate the information in accruals. However, there is a significant reduction in investor mispricing of accruals for the firms having analysts’ cash flow forecasts, which suggests that the provision of cash flow forecasts helps investors readily decompose earnings surprise into the portion attributable to cash flow and the portion attributable to accruals, which increases the reliability of accruals and mitigates the mispricing typically associated with accruals.

關鍵字(中)

★ 分析師現金流量預測
★ 現金流量錯誤訂價
★ 價格發現
★ 應計項目錯誤訂價

關鍵字(英)

★ Price discovery
★ Analysts’ cash flow forecasts
★ Accrual mispricing
★ Cash flow mispricing

論文目次

Table of Content
摘要 i
Abstract ii
誌謝 iii
Table of Content iv
List of Tables v
List of Figuress vi
1. Introduction 1
2. Related Research and Hypothesis Development 6
2.1 Analysts’ cash flow forecasts literature 6
2.2 The accrual anomaly literature 7
3. Sample Selection and Research Design 10
3.1 Sample selection 10
3.2 Descriptive statistics 12
3.3 Regression Specification 16
4. Empirical results 19
4.1 Portfolio approach 19
4.2 Regression analysis 25
5. Additional Tests 28
5.1 Controlling for cash flows 28
5.2 Distinguish between discretionary and non-discretionary accruals 32
5.3 Controlling the Selection Bias for Cross-Sectional Tests 33
5.4 Conducting our tests with working capital accruals 35
5.5 Using ranks in lieu of actual values for explanatory variables 35
5.6 Research design involving matched sample 36
6. Discussion 37
6.1 Conclusion 37
6.2 Limitations and Future Research 38
Reference 40
List of Tables
Table 1. Sample selection and distribution 12
Table 2. Comparisons of analysts’cash flow forecasts and non-analysts’cash flow forecasts 15
Table 3. Correlations matrix 16
Table 4. Mean returns in different time intervals for firms with and without analysts’ cash flow forecasts in the accrual-based hedge portfolios 22
Table 5. Regressions of stock returns on explanatory variables 27
Table 6. Mean returns in different time intervals for firms with and without analysts’ cash flow forecasts in the cash-based hedge portfolios 29
Table 7. Regression results across BHAR1, BHAR3, BHAR6, and BHAR12 31
List of Figures
Figure 1. Flow chart of the research 5
Figure 2. Buy-and-hold abnormal returns (BHAR) over time 24

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指導教授

曹壽民(Shou-Min Tsao)

審核日期

2012-3-5

推文