財務分析師預測台灣股價之精確度

Abstract

券商經常於分析師報告中發布對未來股價的預測，相較於同樣公布於報告中 的持股建議和盈餘預測，目標價格之預測提供投資人明確的買賣方向，甚至明確顯 示投資預期報酬率，故可視為分析師報告中最具重要性和影響力的資訊。然而目標 價格究竟有幾成預測正確性？本計畫以兩年為期，研究對台灣市場分析師報告中的 目標價格，分析其預測的正確性與精確度，對此過去研究較少涉及的觀點，提供相 對完整的分析與證據。分析師研究市場在台灣相當成熟，有頻繁和高品質的外資和 本國分析師活動，其現象與經驗可以提供其他新興市場做為參考。 第一年計畫以外資券商之分析師報告為研究對象，探討其發布的目標價格的 準確度。由於外資券商報告的品質受到市場認可，且引導龐大外國資本的投資動向， 故以此具影響力的分析師報告為觀察對象。計畫中將新建數個目標價格準確度的衡 量指標，併同文獻既有的衡量指標，建構多維度的目標價格準確度分析方法。分析 的維度包括目標價預測方向之正確性、目標價位之達成與否、目標價對實現價格之 預測精準度、及高估與低估的系統性傾向。此研究並檢驗影響目標價格預測能力的 橫斷面因素，包含券商特性、受評公司特性、分析師特性、和市場條件等。研究將 提供台灣外資分析師目標價格預測品質的首度分析。 第二年計畫比較外資與本土券商分析師報告之品質，同樣聚焦於目標價格預 測之準確度。過去文獻指出外資券商的優勢在於研究資源豐富，並對跨國產業的上 中下游連動變遷敏感；而本國券商與在地產業和在地企業的關係較為密切，如承銷、 間接持股皆可能產生資訊優勢，本計畫分析兩類券商個別的優勢是否導致不同的目 標價格預測能力。研究首先比較兩類券商之目標價格準確度是否呈現系統性的差 異，並分析影響或造成此差異的因素、辨別影響因素的重要性、最終找尋外資和本 土券商的關鍵優勢。此研究之結果將凸顯外資和本土券商對不同類型股票(規模、成 長性、產業、指數成分)和市場條件(趨勢、反轉、多頭、空頭)之優勢與劣勢所在， 提供投資人判別分析師報告之工具。

In analysts’ reports, brokerage firms often publish their forecast prices of the evaluated firms that expect to reach within certain time horizon. Unlike their buy/sell recommendations and earnings forecasts, the target price forecasts clearly signal the direction of trading and the expected returns of particular stocks over a specified period, therefore, provide perhaps the most useful summary information of the entire report to investors. But how accurate are the target prices? This two-year proposal intends to provide a comprehensive assessment to the accuracy of target price forecasting, which is rare in literature. The stage is set in Taiwan, where there is plenty analysts’ activities and sufficient domestic and foreign capital investment in the equity market. In the year-one project, we focus on the reports issued by foreign investment banks because they produce highly recognized and influential reports to institutional and retail investors. New accuracy measures will be developed and used to assess the target price accuracy, along with the measures in literature. Together, these measures will cover multiple dimensions of the target price accuracy, from the correctness of predicted direction, the achievement of target prices, the precision of the forecasted prices, to the over-/undershooting of the targets. The study will also examine the factors that determine the target price accuracy, factors related to characteristics of brokerage house, evaluated firm, analysts and market conditions. Results provide the first evidence on the quality of the most influential analysts’ reports in Taiwan. In the year-two project, we analyze the local versus foreign advantages in terms of target price accuracy. Literature suggested that the foreign investment banks are more resourceful and informative in multinational industry analysis, whereas local brokerage houses have better connection with local businesses. The study provides the first evidence of whether the advantages of each type of investment banks lead to superior target price forecasting. The difference in target price accuracy between foreign and local brokerage houses will be examined and any systematic bias in the forecast target will be investigated. The study also identifies the advantages of foreign and local analysts in particular types of stocks (size, growth potential, industry, and indexing) as well as market conditions (trend, reversal, bull, and bear). Results provide insights for investors to judge the information conveyed by analysts’ reports.