台灣股市券商分析師盈餘預測之利益衝突

The Conflicts of Interest on Security Analysts' Earnings Forecasts in Taiwan

10.6226/NTURM2011.22.1.357

賴紀誠(Chi-Cheng Lai)；林問一(Wen-Yi Lin)；劉亞秋(Angela Y. Liu)

盈餘預測 ； 自營部門 ； 利益衝突 ； earnings forecasts ； proprietary dealing department ； conflicts of interest

臺大管理論叢

22卷1期（2011 / 12 / 01）

357 - 389

繁體中文

本研究主要探討券商分析師對台灣上市櫃公司發佈的盈餘預測是否會與投資人產生利益衝突。實證結果發現，券商分析師的盈餘預測和自營部門的股票操作有顯著關聯，且無論是樂觀抑或悲觀盈餘預測的股票，所屬券商自營部門均有明顯反向操作的情形，而且有反向操作的股票報酬率是優於沒有反向操作的股票。因此本研究推測券商分析師盈餘預測的利益衝突問題存在。此外，在分析師樂觀盈餘預測下，不論是電子工業類股還是傳統產業類股，均可發現利益衝突，但在分析師悲觀預測下，卻只有電子工業類股才有出現，因而本研究推論利益衝突的產業效應僅發生於分析師的悲觀盈餘預測。

This study investigates the possible conflicts of interest of security analysts with market investors when making earnings forecasts. Using a sample of listed companies in Taiwan, we show evidence of close connections between analysts' earnings forecasts and their firm's proprietary dealing department's trading patterns, specifically, our findings indicate that the analyst firm's proprietary trading actions tend to be in the opposite direction as suggested by the earnings forecasts, whether they are optimistic or pessimistic. Additionally, the returns on proprietary dealing department's opposite-direction trading stocks are better than no opposite-direction trading ones. Hence we presume the conflicts of interest exist in analysts' earnings forecasts. Furthermore, we find that the conflicts of interest are presented in stocks of both electronic and traditional companies under the optimistic earnings forecasts, but exist only in electronic companies given pessimistic forecasts, suggesting a possible industry effect of conflicts of interest when earning forecasts' biases are positive.

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