以分析師盈餘預測探討台灣現金流量預期與股票報酬率之關係

Abstract

許多文獻對主宰股價變動的因素進行研究。這些文獻主張市場對於預期企業未來現金流量 或/且 預期未來折現率所做的調整，決定了股價的移動。一般直觀認為主要影響股價的應該是企業未來的獲利預期，也就是現金流量預期。但另有部分研究顯示對折現率的預期主宰一切，也就是未來的風險預期對股價之影響大於獲利預期，兩個不同的論點引起學術上廣泛的討論。有學者指出以歷史資料做預測迴歸得到的結果並不穩定，故本研究對於探討股價移動的因素所用的方法，與以往的預測迴歸方式不同。文中使用分析師報告中之盈餘預測，也就是市場普遍的未來現金流量預測為出發點，來分拆股票資本報酬率。而本研究的假設是現金流量預期為股價變動的主要因素。 本研究利用台灣上市櫃2006年至2011年分析師報告中之盈餘預測進行分析，結果發現，市場對於未來預期現金流量所產生的變化，主宰了股價的移動；且對於越長的投資期間，其與股價波動的相關性越大。於一年期以上的投資期間，現金流量資訊的重要性超過折現率資訊。這樣的結論佐證了，以長遠來看，市場在給予企業評價時仍以企業基本面為主要依據。

Literature claims that the market revisions for expected future cash flows and expected discount rate dominate the stock price movements. Intuitively, the main impact of the stock price should be the company's future earnings expectations, that is, expected cash flows. However, some studies have shown that the expected discount rate dominate stock returns. That is, the risk affect share price more than expected profit does. Some scholars have questioned the results _ obtained from using predictive regression. In this study, the method to explore the factors of the stock price movement is different from the past predictive regression method. We use the implied cost of capital (ICC) approach accompanied by analysts' earnings forecasts, to split stock return into components affected by cash flows and discount rate. The hypothesis of this study is that the main factor drives the price changes is the cash flow expectation. This study uses the earnings forecasts of analysts' reports from 2006 to 2011. I find that the market revisions for expected cash flows dominate the stock price movements, and the longer the investment horizon, the greater correlation of the return volatility. For horizons beyond one year, cash flow news is a more important factor of stock returns than is discount rate news. This findings suggest that, in the long run, market concerns the fundamental of businesses when evaluating their performance.