分析師預測一致性–盈餘預測與價格預測之比較

Abstract

本研究搜集台灣五十指數公司之股票價格預測與盈餘預測，時間從2009年至2015年9月，本研究主要檢視股股票價格預測與盈餘預測的精確性及波動性，是否具有資訊性，是否會影響投資人的投資決策，實證結果顯示：(1)價格預測準確性具有資訊性，投資人若參考其預測精準性，短期內可能獲得累積超額報酬，而盈餘預測不具有任何資訊性。 (2)價格波動具有資訊性且波動的一致性也會影響投資人的決策，若分析師預測能維持一致性，則投資人參考其預測較有機會獲得累積超額報酬；反之，則可能會使得投資人做出不適宜的投資決策。 (3)價格預測具有預測價值。投資人若於期初依賴分析師價格預測進行操作，投資人於期末有可能獲得累積超額報酬，其中看多較看空容易取得超額報酬。

This study collected the price forecasts and earnings forecast based on Taiwan 50 from 2009 to 2015. By researching on the accuracy and volatility of stock prices and earnings forecast, we would like to know whether they are informational or affect the investor's investment decision. The result show that (1) the accuracy of price forecast is informative, while the earnings forecast is not. Investors would obtain cumulative abnormal return in the short term if they referred the accuracy of price forecast. (2) Price volatility is also informative and the volatility consistency will affect the investor's decision. If analyst forecasts can maintain their consistency, investors who referred it are likely to obtain the cumulative abnormal returns. Or it may guide investors to make an inappropriate decision. (3) Price forecast is valuable. Investors might obtain the cumulative abnormal returns at the end of period if they follow the price forecast announced at the beginning of period. And investors who follow bullish forecast could obtain more cumulative abnormal returns than investors referring bearish views.