以預期管理為手段進行之盈餘賽局-台灣上市公司實證

Abstract

盈餘宣告日公布之真實盈餘若低於分析師盈餘的預測，可能造成股價大跌。本文探討管理階層是否會透過「預期管理」的手段，於事前引導分析師將盈餘預測調降至公司可達到的水準，以避免發生低於預期的盈餘。本文使用資料為2006年至2011年由41家券商發布的分析師報告，受評公司為319家台灣上市公司，共計19556筆觀察值。本文發現市場確實給予MBE(Meeting or Beating Expectation；達成市場預期)公司較高報酬，而分析師的盈餘預測整體來說過於樂觀。本文於是應用並結合過去文獻中提出三種檢驗預期管理的方法，發現台灣市場存在預期管理的現象：分析師對公司盈餘樂觀的程度隨著盈餘宣告日的接近逐漸降低，甚至在某些情況下轉變為過於悲觀。並有許多原本過於樂觀的評估報告，因為分析師後續調降預測，使得最後真實盈餘成功地達成市場預期。本文最後發現，分析師持續對有使用外部融資活動的公司發布更加樂觀的盈餘預測，不過這些融資活動公司，因為MBE報酬的減少，並沒有更大的誘因去進行預期管理。

Failing to meet or beat earnings expectations formed by analysts’ earnings forecasts may result in sharp decline in stock price. Therefore, this thesis investigates whether the management manages to avoid negative earnings surprises by expectation management, that is, in order to avoid negative earnings surprises, the management tries to guide analysts’ earnings forecasts downward to a beatable level. The data period is from 2006 to 2011, consisting of 19556 analyst reports issued by 41 brokers, and 319 listed firms are covered. I find that there is a reward to MBE (Meeting or Beating Expectations) firms, and analysts’ earnings forecasts are, in general, too optimistic. Then I apply and combine three methodologies developed by prior researches to examine the existence of expectation management. The results show that expectation management does exist, and analysts become less optimistic, even switch to overly pessimistic in some cases, as the date of earnings announcement apporoaches. I also find lots of reports with positive forecast error in the beginning of year, but successfully MBE at last because analysts revise their forecasts downward. Finally, I discover that analysts consistently issue more optimistic and biased earnings forecasts for firms with corporate financing activities, but firms with corporate financing activities will less likely to engage in expectation management due to less MBE premiums.