機構投資者持股與分析師跟隨對企業股權價值評估之攸關性

The Relevance of Institutional Ownership and Analysts following for the Valuation of Equity Price

本文延伸Ohlson（1995）股權評價模型，探討機構投資者持股與分析師跟隨在企業股權價值評估中的作用。根據過去文獻，本文分別以機構投資者持股和分析師跟隨來代表買方（buy-side）分析師和賣方（sell-side）分析師的意見。本文由一階向量自我迴歸模型（VAR(1) model）的線性動態資訊系統，推導出包括機構投資者持股比率與分析師跟隨數目的股權評價模型封閉解。本研究之實證結果發現機構投資者持股比率與分析師跟隨數目對企業股權價值的影響均為正向的且具統計顯著性，模型估計之調整後R^2值也顯示額外加入機構投資者持股比率與分析師跟隨數目確實能提高對股價的解釋能力，因此在解釋股價時應同時考量這二個非會計資訊的代理變數。此外，本研究也探討不同程度的機構投資者持股比率與分析師跟隨數目對股價的影響，並且進行額外分析以完整檢視機構投資者持股和分析師關注對企業股權價值的影響。

This study aims, with the extension of Ohlson's Model (1995), to examine the effects of institutional ownerships and analysts following on the firm's equity. According to previous literature, the study adopts institutional ownerships and analysts following to respectively capture the perceptions of buy-side analysts and sell-side analysts. With the application of the linear dynamic information system of the first-order vector autoregressive model (VAR(1) model), we attempt to derive the close-form solution of the modified equity valuation formula inclusive of institutional ownerships and analysts following. The results exhibit the positively significant effects of institutional ownerships and analysts following on the firm's equity valuation. Moreover, the estimated adjusted R square of the model indicates that the addition of institutional ownerships and analysts following indeed statistically increase the explanatory power to the stock price, Thus, we suggest that the two non-accounting proxy variables be simultaneously taken into consideration in the explanation of the stock price, Besides, the results demonstrate that the patterns of equity valuation are affected by the different degrees of institutional ownerships and analysts following. Finally, the additional test is conducted to completely investigate the effect of institutional ownerships and analysts' concerns on the firm's equity valuation.