题名

聲譽、訊息模糊與分析師從眾、離眾行為之研究

并列篇名

Reputation, Information Ambiguity and Analysts Herding and Anti-herding Behavior

DOI

10.6545/JFS.2011.19(3).3

作者

李春安(Chun-An Li)；唐明曦(Ming-Hsi Tang)

关键词

從眾行為 ； 離眾行為 ； 聲譽 ； 訊息模糊 ； Herding Behavior ； Anti-herding Behavior ； Reputation ； Information Ambiguity

期刊名称

財務金融學刊

卷期/出版年月

19卷3期（2011 / 09 / 30）

页次

81 - 120

内容语文

繁體中文
中文摘要

本文以分析師為研究對象，在過去基於聲譽與薪酬考量的模型中，加入訊息模糊的理論觀點，提出詮釋分析師從眾與離眾行為的新理論。本文理論模型的推論結果發現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。在分析師重視未來聲譽甚於當期成果的假設下，人力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。在市場對分析師的行為具預期的情況下，分析師初始聲譽與分析師的離眾傾向呈反向關係；訊息模糊程度則與分析師的離眾傾向呈正向關係。本文模型推導結果為相關實證研究提供理論基礎。在模型中加入訊息模糊程度變數後，對分析師行為的詮釋更為完備，可提升對分析師行為的瞭解，並可為未來實證研究者提供研究方向。
英文摘要

Herding behavior is one of the focal topics in finance and accounting in the last decades. A number of theories have been developed to explain the reasons behind herding behavior. In this paper, we introduce a new variable: information ambiguity into the reputation-oriented model to analyze the behavior tendency of financial analysts. We find that the most important factor affecting financial analysts' herding (anti-herding) behavior is the wage labor market offers to the sole winner. When the analyst values his reputation more than the outcome of his recommendation, his anti-herding propensity is positively related to the wage labor market offers to the sole winner and the level of information ambiguity, but negatively related to the initial reputation of the analyst. Adding information ambiguity into the model helps to elevate our understanding of analysts' behavior.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Zitzewitz, E., 2001, "Measuring herding and exaggeration by equity analysts," Mimeo, Stanford University, Graduate School of Business.
  2. Bernhardt, D., M. Campello and E. Kutsoati, 2004, “Analyst compensation and forecast bias,” Working paper, Department of Economics, University of Illinois.
  3. Avery, C. N.,Chevalier, J.(1999).Herding over the career.Economics Letters,63,327-333.
  4. Banerjee, A.(1992).A simple model of herd behavior.Quarterly Journal of Economics,107,797-817.
  5. Barniv, R.,Myring, M. J.,Thomas, W. B.(2005).The association between the legal and financial reporting environments and forecast performance of individual analysts.Contemporary Accounting Research,22(4),727-758.
  6. Bernhardt, D.,Campello, M.,Kutsoati, E.(2006).Who herds.Journal of Financial Economics,80,657-675.
  7. Bikhchandani, S.,Hirshleifer, D.,Welch, I.(1992).A theory of fads, fashion, custom, and cultural change as informational cascades.Journal of Political Economy,100,992-1026.
  8. Bradley, D. J.,Jordan, B.,Ritter, J.(2008).Analyst behavior following IPOs: The bubble period evidence.Review of Financial Studies,21,101-133.
  9. Brandenburger, A.,Polak, B.(1996).When managers cover their posteriors: Making the decisions the market wants to see.RAND Journal of Economics,27,523-541.
  10. Brown, L. D.(1997).Analyst forecasting errors: Additional evidence.Financial Analyst Journal,53(6),81-88.
  11. Brown, L.,Richardson, G.,Schwager, S.(1987).An information interpretation of financial analyst superiority.Journal of Accounting Research,Spring,49-67.
  12. Bulow, J.,Klemperer, P.(1994).Rational frenzies and crashes.Journal of Political Economy,102,1-23.
  13. Bushan, R.(1990).Firm characteristics and analysts following.Journal of Accounting and Economics,13(2),255-274.
  14. Byard, D.,Li, Y.,Weintrop, J.(2006).Corporate governance and the quality of financial analysts' information.Journal of Accounting and Public Policy,25(5),609-625.
  15. Chen, Q.,Jiang, W.(2006).Analysts' weighting of private and public information.Review of Financial Studies,19(1),319-355.
  16. Clarke, J.,Subramanian, A.(2006).Dynamic forecasting behavior by analysts: Theory and evidence.Journal of Financial Economics,80,81-113.
  17. Clement, M. B.(1999).Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter?.Journal of Accounting and Economics,27,285-303.
  18. Clement, M. B.,Rees, L.,Swanson, E.(2004).The influence of culture and corporate governance on the characteristics that distinguish superior analysts.Journal of Accounting, Auditing and Finance,18(4),593-618.
  19. Clement, M. B.,Tse, S. Y.(2005).Financial analyst characteristics and herding behavior in forecasting.Journal of Finance,60,307-341.
  20. Das, S.,Saudaragan, S. M.(1998).Accuracy, bias, and dispersion in analysts' earnings forecasts: The case of cross-listed foreign firms.Journal of International Financial Management and Accounting,9(1),16-33.
  21. Duru, A.,Reeb, D. M.(2002).International diversification and analysts' forecast accuracy and bias.The Accounting Review,77(2),415-433.
  22. Easterwood, J.,Nutt, S.(1999).Inefficiency in analysts' forecasts: Systematic misreaction or systematic optimism?.Journal of Finance,54,1777-1797.
  23. Effinger, M. R.,Polborn, M. K.(2001).Herding and anti-herding: A model of reputational differentiation.European Economic Review,45,385-403.
  24. Ehrbeck, T.,Waldmann, R.(1996).Why are professional forecasters biased? Agency versus behavioral explanations.Quarterly Journal of Economics,111(1),20-40.
  25. Graham, J.(1999).Herding among investment newsletters: Theory and evidence.Journal of Finance,54,231-268.
  26. Holmström, B.(1999).Managerial incentive problems: A dynamic perspective.Review of Economic Studies,66,169-182.
  27. Holmström, B.,Ricart i Costa, J.(1986).Managerial incentives and capital management.Quarterly Journal of Economics,101,835-860.
  28. Hong, H. G.,Kubik, J. D.,Solomon, A.(2000).Security analysts' career concerns and herding of earnings forecasts.Rand Journal of Economics,31,121-144.
  29. Hope, O. K.(2003).Firm-level disclosures and the relative roles of cultural and legal origin.Journal of International Financial Management and Accounting,14(3),218-248.
  30. Jacob, J.,Lys, T. Z.,Neale, M.(1999).Expertise in forecasting performance of security analysts.Journal of Accounting and Economics,28,51-82.
  31. Kreps, D.,Wilson, R.(1982).Reputation and imperfect information.Journal of Economic Theory,27,253-279.
  32. Lamont, O.(2002).Macroeconomic forecasts and microeconomic forecasters.Journal of Economic Behavior and Organization,48(3),265-280.
  33. Lang, M.,Lins, K.,Miller, D.(2003).ADRS, analysts and accuracy: Does cross listing in the United States improve a firm's information environment and increase market value?.Journal of Accounting Research,41(2),317-363.
  34. Lang, M.,Lundholm, R.(1996).Corporate disclosure policy and analyst behaviour.The Accounting Review,71(4),467-492.
  35. Laster, D.,Bennett, P.,Geoum, I. S.(1999).Rational bias in macroeconomic forecasts.Quarterly Journal of Economics,114(1),293-318.
  36. Levy, G.(2004).Anti-herding and strategic consultation.European Economic Review,48,503-525.
  37. McNichols, M.,O'Brien, P.(1998).Self-selection and analyst coverage.Journal of Accounting Research,35,167-199.
  38. Mikhail, M.,Walther, B.,Willis, R.(2003).The effect of experience on security analyst underreaction.Journal of Accounting and Economics,35,101-116.
  39. Milgrom, P.,Roberts, J.(1982).Predation, reputation and entry deterrence.Journal of Economic Theory,27,280-312.
  40. Ottaviani, M.,Sorensen, P.(2000).Herd behavior and investment: A comment.American Economic Review,90,695-704.
  41. Ottaviani, M.,Sorensen, P.(2006).Professional advice.Journal of Economic Theory,126,120-142.
  42. Prendergast, C.,Stole, L.(1996).Impetuous youngsters and jaded old-timers: Acquiring a reputation for learning.Journal of Political Economy,104,1105-1134.
  43. Richardson, S.,Teoh, S. H.,Wysocki, P. D.(2004).The walkdown to beatable analyst forecasts: the role of equity issuance and insider trading incentives.Contemporary Accounting Research,21(4),885-924.
  44. Scharfstein, D.,Stein, J.(1990).Herd behavior and investment.American Economic Review,80,465-479.
  45. Trueman, B.(1994).Analyst forecasts and herding behavior.Review of Financial Studies,7,97-124.
  46. Welch, I.(2000).Herding among security analysts.Journal of Financial Economics,58,369-96.
  47. Wermers, R.(1999).Mutual fund herding and the impact on stock prices.Journal of Finance,54,581-622.
  48. Zwiebel, J.(1995).Corporate conservatism and relative compensation.Journal of Political Economy,103,1-25.
被引用次数
  1. Lin, Hsiou-Wei William,Huang, Cheng-Tsu,Chang, Chu-Hsuan,Lin, Hsiou-Wei William,Huang, Cheng-Tsu,Chang, Chu-Hsuan(2017).Do Multi-Year Earnings Forecasts Help Identify Over-Investment for Future Business?.財務金融學刊,25(4),45-81.
  2. 魏慧珊、歐仁和、黃志偉、張傳章(2016)。臺灣財務領域研究之回顧與展望。管理學報，33(1)，105-137。
  3. 謝文良,邱忠榮(2020)。Do Security Analysts Herd on Target Price Forecasts?。證券市場發展季刊，32(3)，115-172。
print cancel