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題名 分析師預測分散度對股票報酬之影響：以美國股票市場為例
The Impact of Analyst Forecast Dispersion on Stock Returns: Evidence from the U.S. Stock Market
作者 張栩榛
Chang, Hsu-Chen
貢獻者 林建秀
Lin, Chien-Hsiu
張栩榛
Chang, Hsu-Chen
關鍵詞 分析師預測
分散度
股票報酬
analyst forecast
dispersion
stock return
日期 2024
上傳時間 5-Aug-2024 12:18:33 (UTC+8)
摘要 分析師之盈餘預測仍是資本市場上重要的評斷依據，因而本文採用2018年1月至2023年八月之美國市場資料，並參考Diether, Malloy, and Scherbina (2002)定義之分析師盈餘預測分散度，並再使用三項財務指標（市值、淨值市價比及動量），建構投資組合，再進行Fama-Macbeth Regression 兩步驟橫斷面回歸分析，來探討研究分析師盈餘預測之分散度對於股票報酬率，各項因子之顯著性。 本研究發現分析師盈餘預測之分散度對於股票報酬率存在反向關係，且小公司優於大公司，且在加入特定財務指標後，能將股票區分為不同類型，如價值股及成長股，也使分析師盈餘預測之分散度有不同表現。另外，在2020年1月至2022年2月不存在此關聯性。整體而言，分析師之預測行為仍相當有效，分析師盈餘預測具有一致性，分散度低時，未來股票報酬率較高。
Analysts' earnings forecasts remain an important benchmark in capital markets. Therefore, this paper utilizes data from the U.S. market between January 2018 and August 2023, referencing the definition of analyst earnings forecast dispersion by Diether, Malloy, and Scherbina (2002). Using three financial indicators (market capitalization, book-to-market ratio, and momentum), we construct investment portfolios and conduct a Fama-Macbeth two-step cross-sectional regression analysis to explore the relationship between the dispersion of analysts' earnings forecasts and stock returns. Our study finds an inverse relationship between the dispersion of analysts' earnings forecasts and stock returns, with small-cap companies outperforming large-cap companies. By incorporating specific financial indicators, we can categorize stocks into different types, such as value and growth stocks, revealing varied performances in the dispersion of analysts' earnings forecasts. Additionally, this relationship does not hold between January 2020 and February 2022. Overall, analysts' forecasting behavior remains quite effective, with lower dispersion in analysts' forecasts corresponding to higher future stock returns.
參考文獻 Ackert, L.F., Athanassakos, G., 1997. Prior uncertainty, analyst bias and subsequent abnormal returns. Journal of Financial Research 20, 263-273 Cen, Ling, K.C. John Wei, and Liyan Yang, 2016, Disagreement, underreaction, and stock returns, Management Science 63, 1214-1231 Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Breadth of ownership and stock returns, Journal of Financial Economics 66, 171-205 Diether, Malloy, and Scherbina ,2002, Differences of opinion and the cross section of stock returns, Journal of Finance 57, 2113-2141 Dische, A., 2002. Dispersion in analyst forecasts and the profitability of earnings momentum strategies. European Financial Management 8, 211-228 Doukas, J., Kim, C., Pantzalis, C., 2002. A test of the error-in-expectations explanation of the value/glamour stock returns performance: Evidence from analysts’ forecasts. Journal of Finance 57, 2143-2165 Fama, E.F. ,and French, K.R. ,1993,“Common Risk Factors in the returns on stocks and bounds”, Journal of financial Economics, vol. 33, 3-56 Hintikka, M., 2008. Market reactions to differences of opinion. Working Paper, The Swedish School of Economics and Business Administration Hong H, Stein JC ,2007, Disagreement and the stock market. J.Econom. Perspect.21: 109-128 Jiang, H. and Sun, Z., 2014. Dispersion in beliefs among active mutual funds and the cross-section of stock returns. Journal of Financial Economics, 114(2), 341-365 Lang, M., and R. Lundholm. 1996, Corporate disclosure policy and analyst behavior. The Accounting Review 71 (October): 467-92 Lee, C. M. C.,Swaminathan, B.,2000,.Price momentum and trading volume.Journal of Finance.55(5),2017-2069 Miller, E.M., 1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151-1168 Ramnath, S., S. Rock, and P. Shane. 2008. The Financial analyst forecasting literature: A taxonomy with suggestions for further research. International Journal of Forecasting 24, 34- 75 Scherbina, A. 2001, “Stock prices and differences of opinion: empirical evidence that prices reflect optimism,” Kellogg School of Management Finance Working Paper no. 278
描述 碩士
國立政治大學
金融學系
111352029
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111352029
資料類型 thesis
dc.contributor.advisor 林建秀zh_TW
dc.contributor.advisor Lin, Chien-Hsiuen_US
dc.contributor.author (Authors) 張栩榛zh_TW
dc.contributor.author (Authors) Chang, Hsu-Chenen_US
dc.creator (作者) 張栩榛zh_TW
dc.creator (作者) Chang, Hsu-Chenen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 12:18:33 (UTC+8)-
dc.date.available 5-Aug-2024 12:18:33 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 12:18:33 (UTC+8)-
dc.identifier (Other Identifiers) G0111352029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152471-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 111352029zh_TW
dc.description.abstract (摘要) 分析師之盈餘預測仍是資本市場上重要的評斷依據，因而本文採用2018年1月至2023年八月之美國市場資料，並參考Diether, Malloy, and Scherbina (2002)定義之分析師盈餘預測分散度，並再使用三項財務指標（市值、淨值市價比及動量），建構投資組合，再進行Fama-Macbeth Regression 兩步驟橫斷面回歸分析，來探討研究分析師盈餘預測之分散度對於股票報酬率，各項因子之顯著性。 本研究發現分析師盈餘預測之分散度對於股票報酬率存在反向關係，且小公司優於大公司，且在加入特定財務指標後，能將股票區分為不同類型，如價值股及成長股，也使分析師盈餘預測之分散度有不同表現。另外，在2020年1月至2022年2月不存在此關聯性。整體而言，分析師之預測行為仍相當有效，分析師盈餘預測具有一致性，分散度低時，未來股票報酬率較高。zh_TW
dc.description.abstract (摘要) Analysts' earnings forecasts remain an important benchmark in capital markets. Therefore, this paper utilizes data from the U.S. market between January 2018 and August 2023, referencing the definition of analyst earnings forecast dispersion by Diether, Malloy, and Scherbina (2002). Using three financial indicators (market capitalization, book-to-market ratio, and momentum), we construct investment portfolios and conduct a Fama-Macbeth two-step cross-sectional regression analysis to explore the relationship between the dispersion of analysts' earnings forecasts and stock returns. Our study finds an inverse relationship between the dispersion of analysts' earnings forecasts and stock returns, with small-cap companies outperforming large-cap companies. By incorporating specific financial indicators, we can categorize stocks into different types, such as value and growth stocks, revealing varied performances in the dispersion of analysts' earnings forecasts. Additionally, this relationship does not hold between January 2020 and February 2022. Overall, analysts' forecasting behavior remains quite effective, with lower dispersion in analysts' forecasts corresponding to higher future stock returns.en_US
dc.description.tableofcontents 1 摘要 I 2 ABSTRACT II 3 目錄 III 4 表目錄 V 1 第一章 緒論 1 1.1 研究背景 1 1.2 研究動機及目的 1 1.3 研究架構 3 2 第二章 文獻回顧 4 3 第三章 研究方法與樣本 7 3.1 研究樣本 7 3.2 研究假說 9 3.3 研究方法 12 3.3.1 投資組合建構 12 3.3.2 一般最小平方法Ordinary least squqres (OLS) 13 3.3.3 Fama and MacBeth 兩步驟回歸方法 13 3.3.4 Newey -West test 14 4 第四章 實證分析 17 4.1 敘述性統計 17 4.2 建構組合 18 4.2.1 全部樣本期間 18 4.2.2 子期間 20 4.3 基於股票分類型態 26 4.3.1 依市值（Size）和淨值市價比（b/m ratio） 26 4.3.1 依市值（Size）和動量（Momentum） 28 4.4 回歸結果 30 4.4.1 解釋分析師盈餘預測分散度(Disp) 30 4.4.2 Fama – Macbeth 兩階段回歸解釋股票報酬 32 5 第五章 結論 34 6 REFERENCE 35zh_TW
dc.format.extent 1329570 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352029en_US
dc.subject (關鍵詞) 分析師預測zh_TW
dc.subject (關鍵詞) 分散度zh_TW
dc.subject (關鍵詞) 股票報酬zh_TW
dc.subject (關鍵詞) analyst forecasten_US
dc.subject (關鍵詞) dispersionen_US
dc.subject (關鍵詞) stock returnen_US
dc.title (題名) 分析師預測分散度對股票報酬之影響：以美國股票市場為例zh_TW
dc.title (題名) The Impact of Analyst Forecast Dispersion on Stock Returns: Evidence from the U.S. Stock Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ackert, L.F., Athanassakos, G., 1997. Prior uncertainty, analyst bias and subsequent abnormal returns. Journal of Financial Research 20, 263-273 Cen, Ling, K.C. John Wei, and Liyan Yang, 2016, Disagreement, underreaction, and stock returns, Management Science 63, 1214-1231 Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Breadth of ownership and stock returns, Journal of Financial Economics 66, 171-205 Diether, Malloy, and Scherbina ,2002, Differences of opinion and the cross section of stock returns, Journal of Finance 57, 2113-2141 Dische, A., 2002. Dispersion in analyst forecasts and the profitability of earnings momentum strategies. European Financial Management 8, 211-228 Doukas, J., Kim, C., Pantzalis, C., 2002. A test of the error-in-expectations explanation of the value/glamour stock returns performance: Evidence from analysts’ forecasts. Journal of Finance 57, 2143-2165 Fama, E.F. ,and French, K.R. ,1993,“Common Risk Factors in the returns on stocks and bounds”, Journal of financial Economics, vol. 33, 3-56 Hintikka, M., 2008. Market reactions to differences of opinion. Working Paper, The Swedish School of Economics and Business Administration Hong H, Stein JC ,2007, Disagreement and the stock market. J.Econom. Perspect.21: 109-128 Jiang, H. and Sun, Z., 2014. Dispersion in beliefs among active mutual funds and the cross-section of stock returns. Journal of Financial Economics, 114(2), 341-365 Lang, M., and R. Lundholm. 1996, Corporate disclosure policy and analyst behavior. The Accounting Review 71 (October): 467-92 Lee, C. M. C.,Swaminathan, B.,2000,.Price momentum and trading volume.Journal of Finance.55(5),2017-2069 Miller, E.M., 1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151-1168 Ramnath, S., S. Rock, and P. Shane. 2008. The Financial analyst forecasting literature: A taxonomy with suggestions for further research. International Journal of Forecasting 24, 34- 75 Scherbina, A. 2001, “Stock prices and differences of opinion: empirical evidence that prices reflect optimism,” Kellogg School of Management Finance Working Paper no. 278zh_TW