| dc.contributor.advisor | 汪泱若<br>薛富井 | zh_TW |
| dc.contributor.author (Authors) | 莊秩瑋 | zh_TW |
| dc.contributor.author (Authors) | Chuang Chih-Wei | en_US |
| dc.creator (作者) | 莊秩瑋 | zh_TW |
| dc.creator (作者) | Chuang Chih-Wei | en_US |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 2009-09-18 | - |
| dc.date.available | 2009-09-18 | - |
| dc.date.issued (上傳時間) | 2009-09-18 | - |
| dc.identifier (Other Identifiers) | G0090353024 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34189 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 會計研究所 | zh_TW |
| dc.description (描述) | 90353024 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 本論文主要是應用過去探討盈餘反應係數（ERC）的研究模型，驗證公司與分析師預測值間正負預測誤差的方向性與幅度對於市場反應之影響；並且在公司持續一致存在正/負向誤差的情況之下，探討市場對於此種趨勢的反應，並進一步以實證結果分析影響經理人員進行盈餘管理的可能原因。主要的研究問題有三：(1)當公司超出分析師預測時，市場獎勵公司的程度，是否更甚於當公司未達分析師預測時，市場懲罰公司的程度?(2)在控制未預期盈餘（unexpected earnings）的幅度之下，當公司超出分析師預測時，市場獎勵公司的程度，是否更甚於當公司未達分析師預測時，市場懲罰公司的程度?(3)當公司存在持續一致報導正/負向預測誤差趨勢的情況下，市場對於公司的此種趨勢給與的獎勵或懲罰的性質及程度為何?本研究係以在台灣證券市場上市公司為研究對象，研究期間為民國77年至民國90年共計14年。研究方法分別使用Pooled regression與Annual regression兩種迴歸模式分別對樣本觀察值進行複迴歸。共計三個迴歸模型，六個迴歸結果。本研究結果如下：一、在是否超過分析師預測方面，當公司超過分析師預測時所得到的市場獎勵程度，並不一定大於當公司未能達到分析師預測時所得到市場懲罰的程度。因此就此部分之結論而言，公司為了得到市場獎勵而從事盈餘管理與公司為了逃避市場懲罰因素而從事盈餘管理，兩種行為之動機程度並無明顯差別。二、倘若在控制未預期盈餘的幅度的情況之下，當公司超過分析師預測時所得到的市場獎勵程度，則是顯著的大於當公司未能達到分析師預測時所得到市場懲罰的程度。因此就本研究此部分之結論而言，公司為了得到市場獎勵的盈餘管理動機程度甚於避免受到市場懲罰之盈餘管理動機程度。三、在是否存在持續一致報導正/負向預測誤差趨勢方面，可區分為兩部分說明：（1）對於有持續一致未達分析師預測趨勢的公司而言：持續一致未達的未預期盈餘部分（系統因子），市場會對該系統化部分之行為失去信心而給予其懲罰。然而，非一致性未達的未預期盈餘部分（非系統因子），相較於其他沒有持續一致未達分析師預測趨勢之公司，市場則不一定會對該部分之行為失去信心而給予其超額懲罰。意即因非系統未達之部分所得到的市場懲罰，並不一定大於沒有持續一致未達分析師預測趨勢之公司。（2）對於有持續一致超出分析師預測之趨勢的公司而言：持續一致超出的未預期盈餘部分（系統因子），市場不一定會將該系統化部分之行為視為經理人員從事盈餘管理之結果而給予懲罰。然而，非一致性超出的未預期盈餘部分（非系統因子），相較於其他未能持續一致超出分析師預測之公司，市場則亦不一定予以實質肯定並給予其超額獎勵。意即因非系統超出之部分所得到的市場獎勵，並不一定大於未能持續一致超出分析師預測的公司。 | zh_TW |
| dc.description.abstract (摘要) | This study investigates whether the market rewards（penalizes）firms for beating（missing）analysts’ earnings forecasts. Specifically, we examine the market response to positive and negative forecast errors. In addition, we examine whether the sensitivity of stock prices to positive or negative forecast errors is affected by the firms’ history of consistently beating or missing analysts’ forecasts. In this paper, we provide empirical evidence on three issues: (1) is there a differential market response to the level of unexpected earnings for firms that beat analysts’ forecasts versus those that do not? (2) does the market respond to whether firms beat or miss analysts’ forecasts independent of the magnitude of the forecast error? (3) whether the market gives rewards or penalties for firms with a historical tendency to report positive / negative forecast errors?The results indicate that the earnings multiple applied to positive unexpected earnings is not significantly greater than for negative unexpected earnings. However, we find that after controlling for the magnitude of the forecast error, the market penalty for missing forecasts is significantly greater in absolute terms than the response to beating forecasts. Finally we find that for the firms that consistently beat analysts’ forecasts, the market doesn’t give penalties to the systematic component of the forecast error, and doesn’t give excess rewards to the unsystematic component. But for the firms that consistently miss analysts’ forecasts, the market gives penalties to the systematic component of the forecast error, and doesn’t give excess penalties to the unsystematic component. | en_US |
| dc.description.tableofcontents | 目 錄第一章 緒論………………………………………………......1第一節 研究動機與目的………………………………………..1第二節 研究問題………………………………………………..5第三節 研究架構………………………………………………..6第四節 研究流程………………………………………………..7第二章 文獻探討…………………………………………......8第一節 「達到分析師預期」盈餘管理門檻之相關研究……....8第二節 分析師預期影響股價之相關研究………………….….14第三節 盈餘持續一致達到/未達分析師預測之相關研究…....16第四節 盈餘反應係數決定因素之相關研究…………………..19第三章 研究方法……………………………………….…………..24第一節 假說形成……………………………………................24第二節 研究設計……………………………………................27第三節 變數之定義與衡量…………………………................30第四節 樣本選取與資料來源………………………................39第四章 實證分析結果…………………………………….………..40第一節 研究樣本統計量…………………………...….............40第二節 變數特性及基本敘述統計…………………................44第三節 複迴歸分析結果…………………..............…………..50第五章 研究結論、限制與建議………………………….………..61第一節 研究結論………………………………................….61第二節 研究限制……………………….………………......….64第三節 後續研究建議………………….………………......….65參考文獻……………………………………………………………..….66附錄A：Annual regression模式下各變數係數值及其統計值表…69表次表<3-3-1>各虛擬變數之定義與衡量方式………………………….….37表<4-1-1>篩選前後之樣本資料表（模型一＆模型二）……………….42表<4-1-2>產業類別分布表（模型一&模型二）………………………43表<4-2-1>皮爾森相關係數檢定（模型一）……...……………………46表<4-2-2>皮爾森相關係數檢定（模型二）……………………………46表<4-2-3>皮爾森相關係數檢定（模型三）………………….…..……..47表<4-2-4>各變數之敘述統計量（模型一＆模型二）.…….….…......48表<4-2-5>變數UE各年度之敘述統計量（模型一＆模型二）………..49表<4-3-1>模型一之複迴歸結果…………………...…………………...55表<4-3-2>模型二之複迴歸結果…...…………………………………...56表<4-3-2>模型二之複迴歸結果（續）……...…………………….…..57表<4-3-3>模型三之複迴歸結果……………………………..…….…...58表<4-3-3>模型三之複迴歸結果（續）…………...…………...…….59表<4-3-4>各研究假說檢定結果整理……………………....……….…..60圖次圖<3-3-1>異常報酬率之觀察期及事件期………………………….33圖<5-1-1>有持續一致未達分析師預測趨勢的公司之結論彙整….62圖<5-1-2>有持續一致超出分析師預測趨勢的公司之結論彙整….63 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090353024 | en_US |
| dc.subject (關鍵詞) | 分析師 | zh_TW |
| dc.subject (關鍵詞) | 財務預測 | zh_TW |
| dc.subject (關鍵詞) | 市場反應 | zh_TW |
| dc.subject (關鍵詞) | 市場獎勵 | zh_TW |
| dc.subject (關鍵詞) | 市場懲罰 | zh_TW |
| dc.subject (關鍵詞) | 盈餘管理 | zh_TW |
| dc.subject (關鍵詞) | 未預期盈餘 | zh_TW |
| dc.subject (關鍵詞) | miss | en_US |
| dc.subject (關鍵詞) | beat | en_US |
| dc.subject (關鍵詞) | meet | en_US |
| dc.title (題名) | 分析師預測與市場反應之關聯性研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
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