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標題: 分析師行動順序及從眾、離眾行為之研究
The Analysis of Analysts'Sequential Action, Herding, and Anti-herding Behavior
作者: 黃志強
Huang, Chih-Chiang
關鍵字: Reputation-oriented model;聲譽模型;herding;anti-herding;sequential action;從眾行為;離眾行為;行動順序
出版社: 高階經理人碩士在職專班
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Kubik, 2003, “Analyzing the analysts: Career concerns and biased earnings forecasts,” Journal of Finance 58, 313-351. 25. Ivkovich, Z. and N. Jegadeesh, 2004, “Analyzing the Analysts: When do Recommendations Add Value?,” Journal of Financial Economics 73, 433-463. 26. Kreps, D. and R.Wilson, 1982, “Reputation and imperfect information,” Journal of Economic Theory 27, 253–279. 27. Lakonishok, J., A. Shleifer and R. W. Vishny, 1992, “The impact of institutional trading on stock price, ” Journal of Financial Economics 32, 23-44. 28. Laster, D., P. Bennett and I. S. Geoum, 1999, “Rational bias in macroeconomic forecasts," Quarterly Journal of Economics 114 (1), 293–318. 29. Levy, G., 2004, “Anti-herding and strategic consultation,” European Economic Review 48, 503–525. 30. Mikhail, M., B. Walther and R. Willis, 2003, “The effect of experience on security analyst underreaction,” Journal of Accounting and Economics 35, 101–116. 31. Milgrom, P. and J. Roberts, 1982, “Predation, reputation and entry deterrence,” Journal of Economic Theory 27, 280–312. 32. Ottaviani, M. and P. Sørensen, 2000, “Herd behavior and investment: comment,” American Economic Review 90, 695–704. 33. Ottaviani, M. and P. Sørensen, 2006a, “Professional advice,” Journal of Economic Theory 126, 120–142. 34. Ottaviani, M. and P. Sørensen, 2006b, “The strategy of professional forecasting,” Journal of Financial Economics 81, 441–466. 35. Ramnath, S., S. Rock and P. Shane, 2008, “The financial analyst forecasting literature: A taxonomy with suggestions for further research,” International Journal of Forecasting 24, 34–75. 36. Richardson, S., S.H. Teoh and P.D. Wysocki, 2004, “The walkdown to beatable analyst forecasts: the role of equity issuance and insider trading incentives,” Contemporary Accounting Research 21 (4), 885–924. 37. Scharfstein, D. and J. Stein, 1990, “Herd behavior and investment,” American Economic Review 80, 465–479. 38. 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本文以聲譽考量模型(Effinger and Polborn (2001))為基礎,透過修改變數的設定,提出探討分析師行為的完整模型,期望能對分析師行為有更深入之瞭解。本文模型推導結果發現當分析師領先發佈訊息所增加之風險能夠控制在一定範圍內,且市場給予唯一成功者的薪酬夠高時,分析師才會領先發佈訊息。而在分析師重視未來聲譽甚於當期結果的假設下,無論市場相信分析師會據實建議,或是市場對分析師的行為具預期,影響分析師策略選擇最重要的因素為市場給予唯一能力強的分析師的續期薪酬高低。不論兩位分析師所觀察到的訊息是否相同,市場給予唯一能力強的分析師的續期薪酬與分析師的離眾傾向呈正向關係,與分析師的從眾傾向則呈反向關係;另本文發現當市場對分析師的從、離眾行為具預期時,落後發佈訊息者的最適策略中,據實建議的區間會比市場相信分析師會據實建議時縮小,表示當市場對分析師的從、離眾行為具預期時,落後發佈訊息的分析師愈傾向採取從、離眾策略。

In this paper, we modify the settings in the reputation-oriented model in Effinger and Polborn (2001), and propose a comprehensive model for analysts' behavior. We find that analysts would announce their forecasting first only when the risk is limited in a certain range and the market offers substantially higher wage to the sole winner. Under the assumption in reputation-oriented model, the most important factor determining analysts' strategies is the future wage that market offers to the sole winner, regardless of market's belief on analysts' behavior. The wage that market offers to the sole winner is positively related to the analyst's anti-herding propensity, and negatively related to the analyst's herding propensity, no matter whether the information the analysts observed is identical or not. Moreover, we find that when the market expects analysts might not report truthfully, the follower analyst is more likely to report deceptively.
其他識別: U0005-2307201115404300
Appears in Collections:高階經理人碩士在職專班

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