本研究探討分析師在進行盈餘預測時是否會考慮會計師的審計品質。不同於過去文獻，本研究除了測試「品牌層級」的審計品質（brand-name level audit quality）與「事務所層級」（firm level audit quality）的審計品質外，利用我國簽證制度進一步檢視分析師盈餘預測之品質是否因會計師個人層級之審計品質 (individual-level audit quality) 的差異而有所不同。本研究以Heckman (1979) 之兩階段模型來控制會計師選擇內生性的問題，進行實證分析。實證結果顯示：(1) 四大會計師事務所對於分析師預測準確度具有正面影響，但侷限於小規模公司，呈現顯著正相關。(2) 四大事務所彼此之審計品質對於分析師預測準確度與離散程度之影響，並無顯著之差異，但整體來說，資誠會計師事務所之表現最佳，而小規模公司中，安永之表現較差；大規模公司中，勤業眾信之表現較差，此與一般市場所認知者不同。(3) 當分析師盈餘預測之對象為小規模公司時，審計品質最差的個別會計師會降低（提高）分析師預測準確度（離散程度）。反之，測試對象為大規模公司時，審計品質最佳的個別會計師會降低分析師預測準確度但，審計品質最差者，與本研究預期不符。結果顯示我國之分析師在進行盈餘預測時，會考量個別會計師之審計品質。 / This paper investigates the association between audit quality and properties of analysts’ earnings forecasts. Three levels of audit quality are identified and examined: brand-name level (proxied by a dummy Big 4), firm level (proxied by four dummies DT, PWC, KPMG, and EY), and individual-level (proxied by the average of the absolute values of discretionary accruals for all companies audited by the same auditor, grouped by quartiles). After separating sample companies into big, medium, and small sizes, the empirical results document several important findings. When audit quality is measured at the brand-name level, Big 4 improve analysts’ forecast accuracy for small companies only. However, Big 4 do not decrease analysts’ forecast dispersion. When the audit quality is measured at the firm level, analysts seem to regard EY and DT as of relatively low audit quality when small and big companies are the forecast targets, respectively. When the audit quality is measured at the individual level, auditors who are deemed to have the lowest audit quality (i.e., in the fourth quartile) are associated with less forecast accuracy and greater forecast dispersion in small companies. In contrast, auditors who are deemed to have the highest audit quality (i.e., in the first quartile) are associated with lower forecast dispersion in big companies. Taken together, the empirical results indicate that audit quality affects analysts’ forecast properties. More importantly, analysts are able to identify individual auditor’s audit quality and react accordingly.

本研究探討分析師盈餘預測偏差程度是否受到景氣循環的影響。首先以美國股市大盤指數的漲跌趨勢判定景氣循環的高峰時點，並藉此區分景氣循環由上往下反轉與否之依據。其次，探討當景氣由上往下反轉時，分析師盈餘預測的偏差程度是否有明顯增加的現象。最後，探討預測該公司之分析師人數、公司盈餘變動程度、公司發生損失及分析師盈餘預測的分散程度與分析師盈餘預測偏差程度之相關性，於景氣由上往下反轉時期與景氣穩定成長時期是否會有顯著差異。 實證結果顯示：(1)分析師盈餘預測偏差程度的確會受到景氣循環的影響。當景氣由上往下反轉時，分析師未能掌握景氣循環的脈動，立即修正其盈餘預測，而是傾向發佈具樂觀性偏差的盈餘預測。(2)處於景氣由上往下反轉時期，預測該公司之分析師人數、公司發生損失及分析師預測盈餘分散程度對分析師盈餘預測的偏差程度之影響會產生強化效果。然而，本研究並無充足證據顯示，公司盈餘變動程度與分析師盈餘預測偏差程度之相關性會受到景氣由上往下反轉而有所不同。 / This study investigates whether business cycle affects bias in analysts’ earnings forecasts. Based on NASDAQ market index, an economic sudden slump is selected for examining whether the bias in analysts’ earnings forecasts is more obvious during the period of the economic slump. On top of this, the association between the bias in analysts’ earnings forecasts and some economic factors including number of analysts following, change in earnings, firm loss and forecast dispersion in the economic sudden slump is also explored. The empirical results show that business cycle in analysts’ earnings forecasts indeed influences bias. When the economic sudden slump happens, analysts are not aware of business cycle’s fluctuation in time to revise their earnings forecasts; instead they trend to issue optimistic bias in earnings forecasts. In the economic sudden slump, the number of analysts following, firm loss and forecast dispersion deeply affect bias in analysts’ earnings forecasts. However, this study does not find sufficient evidence that the association between change in earnings and bias in analysts’ earnings forecasts is more obvious during the period of economic sudden slump.

本研究以中國2007年至2012年的A股上市公司為研究對象，探討管理當局能力與分析師盈餘預測行為的關係，預測行為迴歸模型以分析師追蹤人數、分析師盈餘預測準確性及預測離散程度三種特性進行分析。 研究結果發現，管理當局能力與分析師追蹤人數、盈餘預測精確度皆呈現顯著正相關，與預測離散程度則為負相關，但并不顯著。這表示經理人能力較好，則分析師對該公司之追蹤意願較高，且盈餘預測誤差與預測離散度較低。本研究藉此結果推論，管理當局能力愈佳之企業，經理人愈會提供品質良好、具可靠性的財務報導，故分析師將愈信賴該公司所提供之資訊，並可幫助分析師做出更精確之盈餘預測，並降低彼此間之預測誤差。 / This study examines the relation between managerial ability and financial analysts’ earnings forecast behaviors in China from 2007 to 2012. We use several analysts’ attributes: number of analysts following, forecasts error, and forecasts dispersion. According to the empirical results, in general, analysts tend to follow firms with more ability of managers, and managers with superior ability might decrease analysts’ forecast errors and the dispersion of analysts’ earnings forecasts.

達成或超越分析師的盈餘預期為公司重要目標之一，市場包括投資人或分析師對於公司達成盈餘預期目標的反應，一直為學界所關心。文獻發現達成盈餘預期目標的公司，確實享有較未達成目標者更高的股價報酬，顯示市場對此持有正面的反應，因為達成目標的公司，未來將有較佳的獲利能力。本文延伸文獻之探討，進一步考量經濟環境因素---景氣反轉，在這一議題上可能扮演的角色，亦即試圖探討景氣反轉時市場對公司達成或超越分析師盈餘預期的反應，以及達成盈餘預期目標的資訊內涵，會如何受到景氣反轉因素的影響。 實證結果發現達成或超越分析師盈餘預期事件所帶來的股價反應，不會受到景氣由上往下反轉的影響而有所差異，但分析師對此等事件的反應則會隨景氣由上往下反轉而更為強烈，在景氣由下往上反轉時則較無差異；至於此等事件所隱含公司未來將有較佳獲利能力的資訊內涵，雖不會隨著景氣由上往下反轉而有所差異，卻會隨著景氣由下往上反轉而更為增強。 / Meeting or beating analysts’ earnings forecasts is an important goal for the management to achieve. As a result, the market reaction to the meeting of earnings expectations has been intensively explored. In general, the meeting of earnings expectations signals brilliant future profitability to the investors. Following this line of research, this study further investigates the effect of business cycle on the relationship between market reaction and the meeting of earnings expectations. We find that the stock returns of firms meeting or beating analysts’ forecasts are not affected by the sudden downturn of the economy. On the contrary, analysts’ response to such events becomes stronger in the economic downturn though it remains the same when the economy rebounds. As for the issue of information content, meeting earnings expectations is more informative when the economy rebounds from recession but not in the downturn of the economy.

分析師扮演著公司與投資大眾之間的資訊中介者角色。本文旨在探討企業研發支出對分析師預測品質的影響，以及企業聘雇屬於產業專家會計師是否能夠緩和研發支出所引發的盈餘管理及代理問題，並進而改善分析師預測品質。本文援引Balsam (2003)之定義，計算會計師事務所於各產業之市場佔有率(auditor industry market share)。作為產業專家之代理變數。實證結果發現：(1)分析師離散性與整合分析師間私有利益的程度，與公司研發費用多寡有關。研發費用愈高的公司，分析師的離散程度及整合分析師間的私有利益也愈高；(2)透過產業專家查核，可以緩和研發費用支出所引發的盈餘操縱及代理問題，因此研究發展費用透過產業專家會計師查核，可以提升企業的會計盈餘資訊品質，以降低分析師盈餘預測的離散程度及降低分析師間整合私有資訊的利益。 / Analysts, as an informational intermediary, produce research reports that include forecasts of future earnings, thus fulfill an important role in capital market. The objective of this paper is to investigate the association between analyst forecast’s quality and firm’s R&D expenditure. Recent work has hypothesized that intangible assets affect analyst forecast’s quality. Extending this literature, we hypothesized that firm seek to reduce the degree of earnings’ management and agency’s cost from R&D expenditure by retaining high quality auditor firms, auditor industry expertise, and then increase analyst forecast’s quality. We measure auditor industry expertise based on Balsam (2003). We find that more R&D expenditure increases analyst forecast’s dispersion and enhances the benefits of aggregating individual analysts’ forecasts. Consistent with our hypothesis, we document that auditor industry expertise can mitigate the degree of earnings’ management and agency’s cost from R&D expenditure. We also find that firms retaining auditor industry expertise are more likely to enhance the accounting information quality, decrease analyst forecast’s dispersion, and eliminate the benefits of aggregating individual analysts’ forecasts.

本研究欲探討分析師推薦對管理當局所釋出資訊量之關聯性，當分析師越強力推薦公司時，公司的管理當局將願意提供較多的資訊給分析師做為預測的依據，則分析師對公司盈餘的預測也越準確。研究結果發現給予公司較佳推薦的分析師，預測準確性確實比給予公司較差推薦的分析師高。 之後再利用台灣證券暨期貨市場發展基金會設立的資訊揭露評鑑系統，探討資訊較為透明的公司，因為管理當局自願提供較多的資訊，即便分析師強力推薦，可能也無法得到額外的資訊，所以分析師推薦的效果應比資訊揭露較不透明的受評公司差。實證結果發現資訊揭露較透明的受評公司，分析師的推薦效果確實比資訊訊揭露較不透明的受評公司差。 / This thesis examines directly whether that managers provide more (less) information to analysts with more (less) favorable stock recommendations, based on the Barron et al. model (1998). Prior study documents the relative forecast accuracy of analysts before and after a recommendation issuance under the assumption that increases (decreases) in management-provided information will increase (decrease) analysts’ relative forecast accuracy. In contrast, this paper directly measure amount of information based on Barron et al. model (1998), and examine whether amount of information varies between pre- and post- a recommendation. Contrary to our prediction, the results show no significant difference in amount of information after and before recommendation issuance. However, we do find that analysts issuing more favorable recommendations experience a greater increase in their relative forecast accuracy compared with analysts with less favorable recommendations. In addition, we also find that the association is smaller for firms with higher information transparency than those with lower information transparency. The information transparency is measure by whether firms are listed in Taiwan Securities & Futures Information Center’s Information Disclosure and Transparence Ranking System (therefore TSFIC).

本研究從損益表角度切入，驗證分析師盈餘預測之修正與未預期盈餘組成項目變動之關係，是否有助於分析師預測公司未來盈餘的波動。實證結果顯示，分析師在不同時間點所做的預測修正與未預期盈餘組成項目變動顯著相關。分析師預測公司當期及次期盈餘時，會考量其未預期盈餘組成項目。此外，分析師預測修正與未預期盈餘組成項目之關連性與兩者之時距呈反向關係，亦即次期盈餘預測之修正與當期未預期盈餘組成項目之關係顯著較低。再者，分析師對當期（以月份為基礎）盈餘的累積預測修正與上一期的未預期盈餘組成項目息息相關，且隨著時間的推移，二者之關連程度愈趨明顯。整體而言，損益表盈餘組成項目之變動對分析師在不同時間點所做之盈餘預測，具有價值攸關性。 / This study examines whether earnings components can help financial analysts predict firms’ earnings by investigating the association between analysts’ forecast revisions and firms’ unexpected changes in earnings components. Our results show that analysts’ forecast revisions made in different time horizons are consistently associated with unexpected changes in earnings components. Financial analysts are able to incorporate current-year unexpected earnings components into their current and future earnings forecasts even before firms officially release this information. Current-year’s unexpected earnings components are, however, not fully incorporated into analysts’ forecasts of future earnings. Analysts appear to wait for more information releases regarding firms’ future earnings and delay their revisions of future earnings forecasts. This is consistent with the evidence that the cumulative revisions of current earnings forecasts are generally associated with its prior-year’s unexpected earnings components, and the association appears to be stronger as time progresses. Overall, this study provides evidence suggesting that earnings components do have value relevance and can help financial analysts identify firms’ earnings changes over time.

本研究旨在探討管理當局自願性盈餘預測與權益資金成本之關聯性，檢視管理當局發布盈餘預測頻率之影響是否反應於權益資金成本上，並進一步檢視管理當局之聲譽是否為影響權益資金成本的因素之一。 在本研究的實證分析結果中，發現管理當局發布自願性盈餘預測之頻率與權益資金成本呈顯著負相關，表示管理當局發布盈餘預測的次數越多時，權益資金成本越低。 在管理當局聲譽對於權益資金成本的影響，本研究實證分析結果發現，管理當局之聲譽與權益資金成本亦呈顯著負相關，管理當局聲譽以管理當局預測誤差和分析師預測誤差來衡量，當管理當局的盈餘預測誤差小於分析師盈餘預測誤差時，投資人認為管理當局對盈餘的預測有效且值得信賴，此時管理當局聲譽提高，投資人認為取得有用的資訊，進而降低企業權益資金成本。 / The primary objective of this thesis is to explore whether the frequency of management forecasts is related to the cost of equity capital. In addition, I further examine whether the association is stronger when management has better reputation. Basing on a sample of S&P 500 listed firms during 2000-2009, I find that, consistent with my prediction, cost of firm’s equity capital decreases with the frequency of management earning forecasts after controlling for other determinants well-documented to be related to cost of equity capital. Second, I find that cost of equity capital is negatively related to the reputation of management; however, I do not find that the association between cost of equity capital and the frequency of management systematically vary with the reputation of management.

區域技術創新能力是展現區域將知識轉化為經濟的能力，是區域競爭力的重要內容。由於區域創新能力是造成中國各區域經濟發展差距的主要原因之一。本研究採用中國之上市公司為研究對象，探討公司創新活動的揭露與中國各省（自治區、直轄市）創新能力對分析師預測行為及分析師預測跟隨人數之影響。由三個面向檢視區域創新能力：研究與試驗發展全時人員當量增長率(REGTH)、政府研發投入占GDP比例(GIGDP)、每百萬人平均發明專利授權數(AVPAT)。研究結果發現創新活動揭露越多之公司，分析師之預測誤差程度越低、分析師之離散度越高且能吸引越多分析師對公司做預測。區域創新能力指標REGTH越高地區，分析師預測跟隨人數越少；區域創新能力指標GIGDP越高地區，分析師之預測誤差程度越低、分析師之離散度越低、分析師預測跟隨人數越少；區域創新能力指標AVPAT越高地區，分析師之預測誤差程度越低、分析師之離散度越低、分析師預測跟隨人數越多。 / Regional innovation capability is an important competitive ability to improve the economic development in China. Using a sample of Chinese listed companies, this study investigates the extent to which innovation disclosure at the company level and regional innovation capabilities affect analysts’ forecast characteristics in terms of forecast error, and forecast dispersion, and the number of analysts’ following. The indicators of regional innovation capabilities are the growth rate of R&D full-time equivalent personnel (REGTH), regional government's investment in R&D per GDP (GIGDP), and average of innovation patent authorized per millions of people in one region (AVPAT). The results indicate that firms with more innovation disclosures improve analysts’ forecast error, and regions with higher GIGDP and AVPAT also improve analysts’ forecast error. For firms with more innovation disclosures increase analysts’ forecast dispersion, and for regions with lower GIGDP and AVPAT increase analysts’ forecast dispersion. I also find firms with more innovation disclosures attract more analysts’ following, and regions with higher REGTH and GIGDP have less analysts’ following, while regions with higher AVPAT attract more analysts’ following.

本文以三篇論文討論三個與財務報表向下重編盈餘公司有關的議題：（1）宣告財務報表重編後的長期股票績效；（2）重編公司內部人交易行為；（3）重編公司如何操弄盈餘以及操弄動機為何？ 本文樣本是從1984年1月至2000年12月，557家因為財務報表違法、舞弊或錯誤而宣告需要重編以前財務報表的公司。 第一篇論文討論公司宣告重編後三年長期股票績效。在不同配對組合下，實證結果顯示，三年長期持有異常報酬（buy-and-hold abnormal return）達-34％。文中也討論公司宣告重編時以及後續分析師預測行為。結果發現，分析師對於重編資訊有反應不足的現象，而且三年的盈餘預測修正與長期異常報酬有顯著正相關。 第二篇論文探討盈餘品質與內部人交易行為。本文假設內部人擁有重編公司盈餘品質不良的私有資訊，內部人會利用此私有資訊從事異常交易。實證結果顯示，內部人早在重編前兩年就已經開始異常出售持股，但是為了避免被發現，愈接近重編期間則交易量愈少，而且內部人異常交易與重編金額成正相關。 第三篇論文採取應計項目分項的方法（disaggregate approach）探討重編項目與特定應計項目的關連性以及重編公司違反一般公認會計原則的動機。實證結果顯示，特定重編項目公司的總應計項目比特定應計項目更顯著。很可能是管理當局為了避免操弄特定項目以致於被發現，所以操弄各種應計項目以達到總金額的目標。尤其在不同盈餘管理動機的成本效益的考量下，如果操弄主要應計項目的效益大於成本，管理當局還是會操弄特定應計項目以達到操弄的目的。因此，應計項目分項的方法可以作為進一步探討盈餘管理的方法。 / This dissertation examines three different aspects of downward earnings restatements in three essays: (1) the long-run stock performance of restatement firms following the announcements of restatements; (2) insider trading activities of earnings restatement firms; and (3) how earnings manipulations of restatement firms are effected and what are the incentives for earnings manipulations? Using extensive keyword (i.e., “restatements,” “restate,” “restated,” “restates,” and “restating”) searches over the period from January 1, 1984 through December 31, 2000, 557 firms are identified as having restated their previously published or filed financial statements due to accounting irregularities, fraud, or errors. The first essay examines the post earnings restatement announcement of long-term stock performance. Using various benchmark portfolio formulation strategies, I document an average buy-and-hold abnormal return of -34% over the 36-month horizon. I then investigate analysts’ forecast behavior around and after the restatement announcements. I find that market underreactions are associated with a sluggish forecast revisions by financial analysts. This study sheds light on how restatement information is transmitted to the capital markets and provides evidence that the market under reacts to externally initiated corporate events. The second essay examines the relationship between earnings quality and insider trading. Using downward earnings restatement firms to identify low-quality earnings, I find that insiders outsell non-earnings restatement firms of their holdings over the period from two years before to one year before the beginning of the restatement period. In addition, the amounts of restatement are positively associated with the excess insider selling. I also provide evidence that excess insider selling predicts excessive earnings manipulations that eventually lead to GAAP violation. In the third essay, I take advantage of the disclosed manipulation of items and approach the earnings manipulation issue by a disaggregate approach. Given that management considers cost/benefits of specific accruals to be manipulated, I examine whether management chooses different items to manipulate under different goals. Overall, the empirical results support the equity offering hypothesis and weakly support the meeting earnings threshold hypothesis. However, the results fail to support the avoidance of debt covenant violation hypothesis, indicating that manipulation under certain monitoring conditions can be conducted in a very subtle manner.