| Summary: | 碩士 === 淡江大學 === 會計學系 === 85 === Recent years, the importance of capital market in Taiwan is
getting more and more. The basic analysis of stock is considered
important. Since investorspay more attention to earnings
forecasts and as their important basis while making investment
decisions, it is necessary to compare the preciseness of several
earnings prediction models to the purpose of improving the
quality of prediction. Besides, in studies of testing the
relationship between earningsinformation and stock returns, a
precise earnings prediction is one of the important premises for
those studies. This study chooses univariate time-series model
( random walk model with a drift ), price-based model and
financial analysts as representatives for comparing earnings
prediction models, and is based on listed companies. The first
is based on 1992 to 1996''s information to compare the three
earnings prediction models on two criteria: (1) earnings
prediction accuracy, and (2) ability to yield earnings
information variables most correlated with stock returns as a
comparison of performance. The relative prediction errors are
defined as absolute forecast errors. Firm size is then added to
study its effect to the preciseness test of different earnings
prediction models, and the association between earnings and
stock returns. The result are as follows:(1) Fianacial analysts''
prediction accuracy is better than random walk model with a
drift and price-based model at a significant level. Later two
models'' prediction accuracy has no significant variance.(2)
Under the three earnings prediction models, there is no
significant contemporaneous association between unexpected
earnings and stock cumulative abnormal returns. None of the
three is an appropriate proxy for market expectation of
earnings.(3) The three earnings prediction models all have
better prediction accuracy for big companies at a
significant level. Firm size is not systematically ralated
to the ralative prediction performance of different earnings
prediction models.(4) Fianacial analysts'' forecast is a better
proxy for earnings market expectation for big companies.
None of the three earnings prediction models is an
appropriate proxy for earnings market expectation for small
companies.
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