分析師預測的長期程度

Determinants of Analyst Forecast Horizons

本研究在探討分析師盈餘預測的長期程度、公司治理結構與外資持股之關連性，其中，公司治理結構以控制權與現金流量請求權之偏離程度來衡量。不同於過去研究以分析師預測日與被預測日間之天數來衡量預測期間（horizon），本研究定義預測的長期程度為I/B/E/S 資料庫中的Forecast Periods Indicator (FPI)之最大值。研究結果發現：(1) 當公司的控制股東之控制權偏離現金流量請求權程度愈小，分析師愈會發佈長期盈餘預測；(2) 當公司的外資持股比例愈高，分析師愈會發佈長期預測，但此結果未存在於國內券商上，此結果與外資一般相對於國內券商擁有較為長期的投資策略一致；(3) 擁有較長期的分析師預測之公司，其外資持股變動率顯著低於擁有短期的分析師預測之公司。上述結果在控制了自我選擇偏誤與分析師經驗後仍成立。

The objective of this paper is to examine the association among the length of analysts’ earnings forecast horizons, the ownership structure, measured by the divergence between the ultimate owner’s control and the equity ownership level, and foreign institutional ownership at the firm level. Unlike prior studies, which define it as the number of days between forecast date and year end, this paper defines analyst forecast horizons as the largest Forecast Periods Indicator (FPI) from the I/B/E/S database. Using the unique data on foreign institutional holdings at the firm level and cash flow/voting rights in Taiwan, we find that analyst forecast horizons are longer (i.e., multi-year-ahead) for firms with lower control divergence. We also find that analysts are more likely to issue longer-horizon earnings forecasts for firms with higher foreign holdings compared to those with lower foreign holdings; the results also indicate that the shareholdings of domestic institutional investors have negative or no association with the length of analyst forecast horizons. The findings are consistent with the notion that foreign institutional investors typically have longer-term investment horizons than do domestic institutional investors. Finally, the results reveal that the difference in turnover rates of stock held by foreign institutional investors between short and long-horizon forecast groups is significant in the first year after the forecast. The results are robust to correct for the self-selection bias and control for analyst’s experience.