企業被道瓊永續指數選入或剔除是否影響較努力與較精確分析師的報導意願?

Abstract

本文研究企業入選或被道瓊永續指數剔除的前後，分析師報導意願的變化，亦分別觀察不同經驗、努力程度與盈餘預估準確度分析師的追隨意願。過往研究證實企業的無形資產比例較高，分析師的追隨意願越高，此外也發現企業入選道瓊永續指數時，投資人的持股意願會提升。但尚無研究證券分析師，其或為市場精明參與者之代表，對永續指數納入或剔除時的報導意願。本文使用企業入選道瓊永續指數，代表其永續投入提升無形資產價值的不確定性，並用分析師的追隨人數與盈餘平均預估頻率代表分析師的報導意願。研究結果證實當企業入選道瓊永續指數時，分析師的報導意願會提升，並進一步發現較有經驗和較努力的分析師會持續關注該企業，而預估誤差較大的分析師則會開始追隨該企業。

This thesis studies the inclination of security analysts when the companies were selected into ( deleted from ) DJSI. Further, this thesis investigates whether security analysts with different experiences, efforts, or earning forecast accuracy prefer to cover the companies accompanying such adding or deleting events. Prior papers study the relationship between the ratio of intangible assets and analyst’s inclination or investor’s tendency to the companies added in DJSI. By contrast, this thesis focuses on inclination of security analysts who may represent the sophisticated market participants to the companies listed. Specifically, the selection from DJSI to represent that the value of sustainability is significant to the company. Moreover, the number of analysts following the company and the frequency that analysts release earning forecasts to the company serve as the inclination of analyst coverage. We find that the inclination of security analysts increase when the companies selected in DJSI. Further, the analysts with more experience or exerting in more effort will keep covering the companies, and the analysts with larger forecast errors will add the company to their coverage.