台股外資分析師報告預測目標價之正確性與影響因素分析

Abstract

本文主要探究台股外資分析師報告於不同投資期間與投資評等下對目標價可信度之影響，以及不同評等下之目標價誤差影響因素。研究期間為2006年至2010年，共15,608筆數據。作者將外資分析師報告發佈後十二個月，以三個月為一期，切割為四個投資期間，先探討各個投資期間下，不同評等的目標價達成率，再以不同的投資評等對目標價誤差作迴歸分析，最後以不同評等的目標價誤差為應變數，討論其他相關因素的影響。研究結果主要有三點，第一，目標價誤差隨投資期間增長而增大，加上目標價在第一個投資期間達成率遠高於其他三個投資期間，因此作者建議投資期間縮短至分析師報告發佈後的第一至三個月會更為合適。第二，劣勢投資評等的目標價較優勢評等準確，因此外資分析師報告提供的投資建議以劣勢投資評等之目標價較具參考價值。第三，當外資對該檔股票持有股數越多時，外資操盤者較容易遵循外資分析師報告的劣勢評等建議，因此當外資持有股數相對高時，要避免跟隨外資分析師所提供的優勢投資評等目標價，但可參考劣勢投資評等目標價。

The purpose of this paper is to find out the effect of target price error in different investment period and different recommendation. The data period is between 2006 to 2010, consisting of 15,608 analyst reports. There are four investment periods, separated by calendar year. The first period begins after analyst reports are released. We first discuss the percentage of target price in different investment period, then we run a regression model to analyze the effect between recommendation and target price error. Last, we search for other factors that influence target price error. There are three main results. First, the longer the investment period, the larger the target price error. It suggests that investment period should be limited to the first three months after analyst report released. Second, the target prices of negative recommendations are more accurate than the target prices of positive recommendations. The study also finds that when foreign institution analyst has more shares of the evaluated firm, the accuracy of negative recommendation target price is better than that of the positive recommendation target price. Result indicates that investors should avoid following positive recommendation for firms closely held by foreign institutions.