分析師目標價預測方向的準確性與影響因素

Abstract

本文探討分析師目標價預測之準確度表現，及各因子對目標價預測準確性的影響。本文不僅使用過去文獻中較常出現的「目標價達成率」及「預測誤差」，並加入「目標價預測方向正確率」作為一新穎的衡量準確性指標，因為股價趨勢是投資獲利與否的關鍵，故預測方向的正確率更能契合投資人對於股價預測的需求。另外，我們可以發現目標價預測方向正確率增加了另一種衡量的維度，在不同投資等級中，能明顯看出與其他準確性指標間的差異，目標價達成率與預測誤差都容易受隱含報酬之影響，在投資建議為持有或投資等級下降時，分析師目標價設定較保守，隱含報酬率較低，目標價達成率及預測誤差表現皆較好；而目標價預測方向正確率則在正面投資建議中較高，反映出在正向建議中，市場與分析師較容易對股價走勢有相同共識。 本文將影響因子分為公司特徵、分析師及券商相關特性及市場因素，主要結論如下: 規模較大的公司，提供的公開資訊較多，能降低目標價預測的不確定性因素；而較受關注的公司反而會降低預測的準確度，這可能是因為分析師有較大的動機操縱其目標價。股價波動度越小則目標價預測方向越準確，但波動小意謂股價上漲或下降的幅度有限，達成率便會降低。經驗豐富且聲譽較好的分析師能降低預測誤差，但目標價達成率較低，表示專業的分析師股價預測能較接近實際值，但卻無法保證股價能達到目標水準。若券商相對於其他券商在特定產業發布較多的報告數，則能提升股價預測方向準確率，及降低誤差；但目標價達成率卻減低，推測產業趨勢只能掌握個股走向，對於實際的股價預測則較不容易。對特定公司報告數發布比例高，股價預測準確性較低，這可能是由於較少同業競爭者可以比較，分析師有較大的空間扭曲目標價，再者，較少同業分析的公司，往往規模小且容易被市場忽略，資訊的不對稱也可能是股價較難預測的原因。

This study investigates the correctness of analysts target forecasting and how it is affected by firm, broker or analyst specific factors. In addition to the common measures of target price performance, we add “directional correctness rate”, as our key performance measure, which closely reflects investors’ usage of target forecasts. The study shows that the “directional correctness rate” provides another dimension of target quality measurement, which differs from traditional measures. The “target price achievement rate” and “forecast error” are found to be dependent on the implied return of target forecasts. When the recommendation is hold or downgrade, the implied returns tend to be low, so the performances of these two measurements get better. However, the “price directional correctness rate” is higher for positive recommendation. Our results show that the target price accuracy is positive related to firm size, but adversely associated with analyst attention. If the analyst is more experienced or more reputable, forecast error would be smaller, though target price achievement rate is lower. The analyst could forecast closely to the actual price but the price may not achieve the target level. If the brokerage is more concentrated in a particular industry, the directional forecast would be more accurate and the forecast error is also smaller; however, the achievement rate is lower. Target price is less accurate for stocks reviewed by brokerages.