目標價格預測值、目標價格預測誤差影響因子與目標價格的預測能力

Abstract

本文探討基本面因子與情緒因子對分析師目標價格預測值的影響，結果顯示無論是否控制投資建議等相關因素，目標價格預測值反映基本價值的同時，也受到行為因子的影響。接著本文進一步分析基本面因子、樂觀或悲觀程度、與行為因子是否是造成目標價格誤差的原因。無論是否考慮目標價格預測值本身的影響，基本面因子與行為面因子都是造成目標價格預測誤差的原因之一。簡言之，基本面因子與行為面因子不僅是影響目標價格預測值的重要因素，同時也是造成目標價格預測誤差的來源。 最後，針對目標價格預測能力實證結果，本文分析樣本的目標價格預測值平均而言並沒有預測股價未來報酬率的能力。然而，在控制投資建議等級因素後，目標價格預測值對於未來報酬率預測能力變為顯著。另外，當過去52週股價新高與目標價格越接近時，且目標價格預測值高於過去52週股價新高時，目標價格預測能力較佳；當消費者信心指數處於上升或是下降情況時，目標價格預測值與未來股價報酬率關係較顯著。

This study investigates potential disturbing factors of target price forecasts and the impact might arise from. These factors could make target price forecasts deviate from the fundamental value and enlarge target price forecast error. Worst of all, they might disturb the information conveyed by target price forecasts. Empirical results show that target price forecasts do contain fundamental value of company but are influenced by the past 52-weeks high price, investor sentiment and the motivation of rounding target price forecasts. Two of behavioral factors, the past 52-week high price and rounding target price forecasts, have positive relationship with target price forecasts and are likely the sources of target price forecast errors. However, consumer confidence index, which servers as investor sentiment in this study, provides the opposite results to original expectation. The results demonstrate that the higher the investor sentiment is, the lower the target price forecasts are. Finally, the return predictability of target price forecasts is not significant. However, after controlling the level of the past 52-week high price and consumer confident index separately, different results show up. When the past 52-week high price is close to current price, there’s a positive relationship between target price forecasts and future stock returns. Same outcomes would be found when investor sentiment is at relative stable levels.