石油價格與分析師人力資源配置之關係

Abstract

本研究探討石油價格及波動度，是否與券商人力資源配置有領先或落後關係。過去研究多從分析師行為及表現出發，少有從券商角度出發，研究當環境改變時，券商的人力資源配置有何不同。本研究採用原物料產業中的石油及天然氣業，其具均值回歸之特性，得以觀察券商對於產業變化是否有過度反應之行為。此外， Bloomberg新聞顯示，OPEC為對抗造成其威脅之頁岩油，增產降低石油價格，頁岩油成本降低成為良好的石油替代品，在此情況下，石油的均值回歸特性是否還存在？抑或是對於分析師研究此市場的行為與先前有差異？為本研究另一動機。 本研究樣本來自追蹤美國石油及天然氣公司的分析師，人力配置變數分為分析師數量、預測頻率及報導公司數，樣本期間跨越1995-2015年，並切分為前十五年及近期五年兩時段觀察，油價指數採用西德州石油價格。 於分析師預測頻率實證結果顯著，油價對於券商的分析師數量及報導公司數的影響效果不明顯。預測頻率與油價關係一致為負向且與油價呈落後關係。油價波動度則落後與領先關係皆有，前期與後期結果不完全一致，過去波動度與預測頻率由負轉正，未來波動度則維持負向關聯。此外，大券商人力配置於預測頻率部分領先小券商四個月。

This study investigates lead-lag relation between man power deployment of security analysts in brokerage firms and oil price or oil volatility. Extant studies in the related field typically focus on how analysts’ career paths are associated with their earnings or price forecast performance. In contrast, this study explores how brokerage firms deploy their analysts for a specific industry of oil and gas when the mean or variability of product prices change. Crude oil and gas commodities had a strong mean reversion characteristic, which serves to facilitate our observing if brokerage firms over- or under-react to product price changes. Moreover, since production of tight oil and shale gas grew significantly in recent years, this study explores whether such evolution alters the mean reversion characteristic of oil and gas industry. This is also a motivation to look into this topic. The sample of this study consists of analysts who follow American oil and gas stocks during 1995-2015. To investigate the effect of the emerge of tight oil in the industry, the test period is separated into 1995-2010 and 2011-2015 The variables of manpower deployment include analyst numbers, forecast frequency and number of companies covered. The West Texas Intermediate (WTI) oil price serves to represent the oil price level in this study. The empirical results suggest that the effect of oil price and volatility is significant only on forecast frequency. The relation between forecast frequency and oil price is negative, lagged and consistent over time. However, the relation of forecast frequency and oil volatility is both leading and lagging, but is inconsistent before and after 2011. Future oil volatility is associated with forecast frequency in a negative way, and past oil volatility associates with forecast frequency in the same way before 2011 but the relation turns into being positive after 2011.