| Summary: | 碩士 === 靜宜大學 === 財務金融學系 === 102 === While we evaluate the stock prices of corporations, we often take the financial statements as a basis and engage in investigating the information contained in the financial statements in order to determine the proper stock price. However Ohlson(1995) equity valuation model combine accounting numbers in the financial statements and other important non-accounting information which may affect share price, like analysts’ consensus forecast, to jointly determine the stock price of corporations.
Among the non-accounting factors which may affect stock price, analysts’ consensus forecast is not an unique factor. Analysts’ forecast dispersions and revisions contain much significant information, so they are also other possible factors which may have impacts on the stock price. Hence we follow and extend Ohlson(1995) model to study the effects of analysts’ forecast dispersions and revisions on the equity price. According to the finance theory, analysts’ forecast dispersions represent asymmetric information between corporations and analysts. More serious analysts’ forecast dispersions are, more unstable the future performance of corporations is. When the analysts’ opinions about corporation diverse severely than before, then the risk of operation of corporations increase. Therefore analysts’ forecast dispersions have negative effect on the share price. Moreover analysts adjust his forecast upward, this means the future earnings of corporation will increase. So share price should rise. If Analysts adjust his forecast downward, then this means the future earnings of corporation will decrease. So share price should fall. Therefore analysts’ forecast revisions and share price will move in the same direction.
We follow Ohlson(1995) model to start with discounted dividend model and to postulate clean surplus accounting relation. Besides we also extend linear dynamic information system of Ohlson(1995) model to incorporate analysts’ forecast dispersions and revisions. Hence the linear dynamic information system in our model is designed as first-order vector autoregressive model (VAR(1) model) which include analysts’ forecast dispersions, analysts’ forecast revisions and other relevant accounting variables and non-accounting variable. Based on these setting, we can derive our equity valuation model with analysts’ forecast dispersion and revisions. We use time series and cross sectional data sampled from 2000 to 2011 and 141 listed corporations in Taiwan centralized market to conduct empirical studies. Empirical results reveal that the signs of estimated coefficients about analysts’ forecast dispersions and revisions coincide with the predictions, but the estimates are not significant. However sensitivity analysis also reveals that the empirical results are robust. Besides, our equity valuation model with analysts’ forecast dispersions and revisions also has better out-of sample forecast abilities.
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