分析師預測目標價偏誤與機構投資人持股之探討

Abstract

本文研究機構投資人持股對分析師偏誤目標價之影響，並檢視機構投資人投資期間對分析師策略性行為之探討。研究期間為2007年至2013年，共31,243份分析師報告。主要發現有四點：一、機構持股對目標價偏誤有顯著正向影響，且部分證實外資、投信與自營商分別持股對目標價偏誤亦有正向影響。二、分析師有策略性迎合短期機構投資人之行為，對多為短期機構投資人持股之股票會發佈高估的目標價，但盈餘和推薦評等的預測無系統性偏誤。三、市場無法看穿分析師上述行為，當分析師調升多為短期機構投資人持股之預測時，股價仍有短期超額報酬。四、分析師高估目標價為機構投資人創造出售持股獲利之機會，並以犧牲散戶利益為代價。

This paper analyzes the effect of institutional ownership on analysts’ target price biases and examines how institutional investors’ holding period affects analysts’ forecasting bias. The sample period is from 2007 to 2013, consisting of 31,243 analyst reports. There are four main results. First, there is a significant positive relationship between institutional ownership and target price biases. It also partially supports that the ownership of foreign investors, mutual funds, or domestic dealers is positively correlated to target price biases respectively. Second, analysts exhibit behaviors that cater to short-term institutional investors. Analysts engage in strategic distortions where they channel their optimism through over-optimistic target forecasts, but not over-estimated earnings and stock recommendations. Third, the market seems to be unaware of analysts’ catering behaviors. There are abnormal returns when analysts release favored forecasts for stocks with high short-term institutional ownership. Last, at the expense of retail investors, institutional investors profit by offloading stocks that overpriced by financial analysts.