分析師預測與管理當局預測於企業評價之相對有用性研究－Ohlson模型之應用

• Main Author: 蔡宜芬
• Language: 中文
• Published: 國立政治大學
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22A2010000499%22.

　　財務預測是投資人進行投資決策時的一項重要參考依據。由於財務預測係企業對其未來財務狀況、經營結果與現金流量所作之最適估計，因此，相較於歷史性財務報表而言，預測性財務資訊較具攸關性。然而，由於財務預測具有高度的未來不確定性，所以其可靠性可能亦較低。基於這個原因，財務預測是否有用，一直以來即為財務預測使用者所關心的議題。本研究即針對分析師預測與管理當局預測之相對有用性進行測試。 　　本研究透過Ohlson (1995)模型來探討分析師預測與管理當局預測於企業評價之相對有用性，並同時考量股東可扣抵稅額的價值攸關性，分別以分析師預測與管理當局預測作為Ohlson模型中其他資訊的代理變數，以捕捉不同的財務預測來源對於解釋股價之能力，並以Vuong test (1989)檢驗何者的解釋能力較高。最後，本研究將公司規模納入考慮，以測試分析師預測與管理當局預測之相對有用性在不同規模的公司中是否有所差異。 　　實證結果顯示：就全體樣本而言，不論是否將股東可扣抵稅額納入分析模型中，管理當局預測對股價之解釋能力均顯著優於分析師預測。當進一步考慮公司規模之影響後，本研究發現：就大公司而言，分析師預測對股價的解釋能力較高；反之，就不公司而言，則以管理當局預測具有較佳之股價解釋能力。 === 　　Financial forecasts have long been regarded as an important source of information to the investors’decision-making process. Since financial forecasts reflect the management's best estimations of a company's future financial position, operation results, and changes in cash flows, they are usually regarded as more relevant to the financial statement users. Due to their high uncertainty, however, financial forecasts may be less reliable than historical financial information. Therefore, the usefulness of financial forecasts has been a critical issue to the decision makers for many years. 　　The main purpose of this study is to adopt the Ohlson (1995) model to examine the relative usefulness of analyst forecasts and management forecasts in the business valuation process. In particular, this study uses analyst forecasts and management forecasts as proxies for“other information”in the Ohlson model and utilizes the Vuong test (1989) to investigate their relative explanatory power in explaining stock prices. In addition, because Taiwan has implemented the imputation tax system since 1998, this study also incorporates the shareholders' imputation credit into the model to capture its potential effect on stock prices. Finally, this study further explores the effect of firm size on the relative usefulness of analyst forecasts and management forecasts. 　　The empirical results show that, overall speaking, management forecasts are superior to analyst forecasts in explaining stock prices. This result is robust no matter whether the shareholders’imputation credit is included in the model or not. When we dichotomize the sample into large and small firms, however, the empirical findings indicate that analyst forecasts are superior to management forecasts in large firms while management forecasts are superior to analyst forecasts in small firms.