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.