| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === Abstract
Previous research on analyst reports primarily examines revisions in stock recommendations and earnings forecasts. Recently some foreign studies have found that target price contains information even in the presence of earnings forecasts and stock recommendations. However, domestic research rarely focuses on target price for lack of database. For this paper, I use two strategies and two measures considered by Bonini et al.(2006), and run regressions on two samples from cnYES.com.
According to the results of the first sample, foreign brokerages’ errors are significantly smaller than those of domestic brokerages’. However, after controlling for other variables, the errors become significantly lower. The forecasting errors are the largest in strong buy and strong sell and the smallest in downgrade. The results of the second sample show that the forecasting errors made by the analysts are smaller when the analysts have more experiences and when the reports contain fewer words. Similar to the first sample, the errors are significantly lower after controlling for other variables. The different valuation methods do not change the magnitude of the forecasting errors. When the implied returns are higher or the market returns are lower, the forecasting errors are significantly and consistently larger.
To avoid sample selection bias or the effect of outliers, this thesis also examines the robustness of the regressions. The results are quite similar to the ones obtained by running simple regressions.
|
|---|
