分析師過度樂觀對 IPO 長期績效的影響

Abstract

分析師作為IPO公司與市場投資人之間的橋樑，分析師的盈餘預估反映了市場共識和公司管理層的未來營運展望，但分析師對IPO公司的盈餘預估普遍過度樂觀，且過去學者也發現IPO公司會利用分析師的過度樂觀來獲取更多的資本。本研究發現:1.分析師若在公司IPO後第一次財報公布後發現自己過度樂觀，則分析師會馬上下修自己過度樂觀的預期，但是修正僅集中在IPO後第一次財報公布後的前半年；2.IPO後第一次財報盈餘偏誤越大的公司，BHAR、CAR報酬率越低；3.Fama–French三因子模型迴歸的結果顯示，IPO後第一次財報盈餘偏誤越大的公司，報酬率越低，但各組的異常報酬並不顯著異於0，為Fama–French三因子模型樣本選取涵蓋IPO後超過一年但未滿兩年的公司所致，因分析師盈餘偏誤大的公司IPO一年後容易因均值回歸出現強勁的股價反彈。

Analysts serve as a bridge between IPO companies and market investors. Their earnings estimates reflect the market consensus and the future operating prospects of the company’s management. However, analysts’ earnings estimates for IPO companies are generally overly optimistic, and IPO companies tend to use analysts’ excessive optimism to obtain more capital. The results of the study find that if analysts find themselves too optimistic after the first financial report is released following the IPO of a company, they will immediately revise their overly optimistic expectations, but the revision are concentrated in the first six months after the first financial report is released following the IPO of a company. In terms of BHAR and CAR return, companies with higher earnings forecast errors tend to underperform, and Fama-French 3-factor regression model also suggests the same result. However, the alpha of each group is not significantly different from zero because the company samples include those have been listed for more than one year, which the stock prices of companies with higher earnings forecast errors tend to outperform one year after they are listed due to mean reversion.