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Title: 論Value Line中季盈餘預測之理性程度:其他實證方法之證據
On the Rationality of Value Line's Quarterly Earnings Forecasts: Evidence from Alternative Methods
Authors: 相彬
Xiang, Bing
Keywords: 偏誤;過度反應/反應不足;理性;共整合
bias;over/underreaction;rationality;Value Line (VL);cointegration.
Date: 1997-03
Issue Date: 2017-11-15 14:53:39 (UTC+8)
Abstract: 本研究係利用時間數列方法,來評估Value Line 對次季及未來數季之盈餘預測。結果顯示預測之理性(即偏誤水準及過度反應/反應不足)並不普遍。這表示在pooled迴歸中對迴歸係數之限制,可能導致係數估計之偏誤,進而導致對Muthian理性推論之錯誤。本研究進一步指出,由於單根之問題,使得傳統之迴歸方法並不適合測試不偏性,而會導致對理性程度有不同之結論。
This paper uses a time series approach to evaluate Value Line's single-step ahead and multi-step ahead quarterly earnings forecasts. The results suggest that forecast rationality (the level bias and over/underreaction) is not a pervasive phenomenon. This implies that the use of a pooled regression, which incorrectly restricts regression coefficients to be homogeneous, could result in biased coefficient estimates and invalid inferences on Muthian rationality. Further, this article shows that, due to the unit root problem, the conventional regression methods are ill-suited for testing unbiasedness and can produce different conclusionson rationality.
Relation: 會計評論, 30, 115-155
Data Type: article
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