分析師股票推薦、盈餘預測與股票報酬之研究

Analysts’Stock Recommendations, Earnings Forecast, and Stock Returns

本研究旨在探討投資人是否有效率地使用分析師的股票推薦與盈餘預測。具體而言，本研究旨在探討在台灣股票市場中，投資人使用分析師的股票推薦與盈餘預測這兩項資訊，所形成的投資決策，能否在股票市場中賺取長期間 (12 個月) 的異常報酬，藉以觀察投資人能否有效率的使用上兩項資訊，或是反應不足。有研究指出股票推薦與盈餘預測分別傳遞不同的資訊，以及分析師並未有效地將盈餘預測資訊轉換為股票推薦，原因是經濟的誘因與行為的偏誤。因此，如果股票推薦與盈餘預測一致性較高，表示較少的經濟的誘因與行為的偏誤、以及較佳的盈餘預測，亦即一致性的股票推薦與盈餘預測對於投資人較具有資訊內涵。 研究結果指出，如果單獨以券商股票推薦為指標，進行零投資(zero-investment)交易策略的異常報酬，在12 個月時，獲得0.074 的異常報酬。如果單獨以盈餘預測為指標，12 個月的異常報酬為0.122，如果結合這二項資訊為指標，12 個月的異常報酬為0.148。此外，額外的測試結果，此投資策略的異常報酬無法被Fama &French(1993)三因子模式、Carhart(1997)四因子模式、以及多因子模式所解釋。整體而言，在台灣股票市場中，投資人使用券商股票推薦與盈餘預測這兩項資訊，所形成的投資決策，可以在股票市場中獲得長期間(12 個月)的未來異常報酬。研究成果顯示市場投資人可能未有效率地使用券商股票推薦與盈餘預測資訊，呈現反應不足現象。

This study examines that if investors in the stock market of Taiwan could effectively exploit the information of consensus recommendations and earnings forecast from security analysts. In other words, this research investigates that whether the investment decisions made on the consensus recommendations and s earnings forecast can bring in long-term (12 months) subsequent stock returns. This research shows that investors could exploit the investment strategy to gain abnormal returns in the long run (12 months). In the further analysis, after controlling other stock returns related factors, the combined index of consensus recommendations and earnings forecast could still be adding informativeness to stock returns. Moreover, the robust tests show that abnormal stock returns based on the investment strategy, could not be explained by Fama & French Three-factors model (1993) and Carhart Four-factors model (1997). The evidence suggests that investors might not effectively perceive and use the information of consensus recommendations and earnings forecast in a timely manner.