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.

本研究檢測審計品質與經理人能力對於分析師盈餘預測行為之相對有用性。根據Compustat 及 I/B/E/S所蒐集之1996至2011年資料，本研究發現，相對於非四大會計師事務所或非產業專家，當公司被四大會計師事務所或產業專家查核時，分析師預測之準確度較高，且離散度較小。此外，本研究發現當公司經理人能力較高時，分析師預測之準確度亦愈高，而離散度亦愈小。最後，為探討沙賓法案對分析師預測行為之影響，本研究將樣本區分為沙賓法案前及沙賓法案後兩組。實證結果顯示，相對於沙賓法案前，在沙賓法案後，分析師較重視審計品質與經理人能力。整體而言，審計品質與經理人能力皆會為分析師的盈餘預測帶來正面影響，而經理人能力之影響較為顯著。 / This study examines the relative usefulness of audit quality and managerial ability on financial analysts’ earnings forecast behavior. Based on data collected from Compustat and I/B/E/S from 1996 to 2011, the empirical results show that analysts' earnings forecast accuracy is higher and dispersion is smaller when firms are audited by a Big 4 auditor or an industry specialist. Similarly, analysts' earnings forecast accuracy is also higher and dispersion is also smaller when firms employ more capable managers. To investigate whether SOX affects analysts’ behavior, sample is divided into pre-SOX and post-SOX groups. The regression results from both groups show that analysts take audit quality and managerial ability into their earnings forecasts after SOX. Overall, the results suggest that both audit quality and managerial ability are associated with analysts’ earnings forecast properties. Importantly, the effect of managerial ability appears to be larger than the effect of audit quality.