标题: 目标价格预测值、目标价格预测误差影响因子与目标价格的预测能力
Disturbing factors of analysts’ target price forecasts
作者: 黄柏瑞
Huang, Bo-Ruei
谢文良
Hsieh, Wen-Liang
财务金融研究所
关键字: 目标价格预测值;目标价格预测误差;市场投资人情绪;target price forecasts;target price forecast errors;investor sentiment
公开日期: 2013
摘要: 本文探讨基本面因子与情绪因子对分析师目标价格预测值的影响,结果显示无论是否控制投资建议等相关因素,目标价格预测值反映基本价值的同时,也受到行为因子的影响。接着本文进一步分析基本面因子、乐观或悲观程度、与行为因子是否是造成目标价格误差的原因。无论是否考虑目标价格预测值本身的影响,基本面因子与行为面因子都是造成目标价格预测误差的原因之一。简言之,基本面因子与行为面因子不仅是影响目标价格预测值的重要因素,同时也是造成目标价格预测误差的来源。
最后,针对目标价格预测能力实证结果,本文分析样本的目标价格预测值平均而言并没有预测股价未来报酬率的能力。然而,在控制投资建议等级因素后,目标价格预测值对于未来报酬率预测能力变为显着。另外,当过去52周股价新高与目标价格越接近时,且目标价格预测值高于过去52周股价新高时,目标价格预测能力较佳;当消费者信心指数处于上升或是下降情况时,目标价格预测值与未来股价报酬率关系较显着。
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.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT070153943
http://hdl.handle.net/11536/75790
显示于类别:Thesis