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| 研究生： |
杜佳蓉 Tu, Chia Jung |
|---|---|
| 論文名稱： |
股票指數調整的價格變動效果和分析師的盈餘預測反應 The Effects of changes in price and analyst responses of earnings forecasts to stocks indices adjustments |
| 指導教授： |
張元晨
Chang, Yuanchen |
| 學位類別： |
博士
Doctor |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2009 |
| 畢業學年度： | 97 |
| 語文別： | 英文 |
| 論文頁數： | 102 |
| 中文關鍵詞： | 指數調整 、價格反應 、絕對預測誤差 |
| 外文關鍵詞： | index adjustment, price response, absolute forecast error |
| 相關次數： | 點閱：144 下載：34 |
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本論文分為兩部分，第一部份探討日經225和摩根台指成分股調整的價格變動效果。第二部份則是探討分析師對於股票被納入日經225和摩根台指的盈餘預測反應和絕對預測誤差。
Two essays are comprised in this dissertation to examine the effects of changes in price and the analyst responses of earnings forecasts to stocks Indices adjustments. Stock markets vary in nature from one country to another and the characteristic of stock index adjustments also alter significantly. The analytical results can provide better information for investors and management to make better decisions.
In the first essay, we examine price effects associated with changes in the composition of the Nikkei 225 Index and MSCI Taiwan Index. The analytical results show the price effects on stocks experiencing adjustments in the Nikkei 225 Index are consistent with the price pressure hypothesis. The price effects of composite stocks changed for the MSCI Taiwan Index are consistent with the downward sloping demand curve hypothesis. Based on classifying the characteristics of composite stocks into three categories, we find that large-scale added stocks dominate the price trend of the whole added sample in the Nikkei 225 Index. Also, added stocks with upwards revision earnings forecasts make more abnormal returns than the added stocks with downwards revision earnings forecasts in the Nikkei 225 Index during the post-announcement period. The electronic stocks earn larger abnormal returns than non-electronic stocks in the MSCI Taiwan Index. That can enable investors to profit by buying electronic stocks and added stocks with upwards revision earnings forecasts. The price reactions for the composite stocks in the Nikkei 225 Index and MSCI Taiwan Index around the Internet bubble burst have significantly difference.
In the second essay, we study the earnings forecast changes and absolute forecast errors made by analysts of the Nikkei 225 Index and MSCI Taiwan Index. Depending on the properties of brokerage firms that analysts work for, we divide them into local analysts and foreign analysts to separate who are more accurate than one the other. The results show that in comparison with the matching firms in Japan, the magnitudes of mean forecast revisions and absolute forecast errors are smaller made by analysts focusing on firms newly added to the Nikkei 225 Index. For firms newly added to the MSCI Taiwan Index, the magnitude of changes in analysts EPS forecasts do not differ clearly from those of their peer groups. Absolute forecast errors made by analysts focusing on firms newly added to the MSCI Taiwan Index are smaller than those made by analysts focusing on the matching firms. This phenomenon demonstrates firms that are newly added to the Nikkei 225 Index and MSCI Taiwan index exhibit significantly improved performance. In terms of the relative accuracy of local and foreign analysts, the results display that the forecasts of foreign analysts are less accurate than those of local analysts in Japan and the forecasts of foreign analysts are more accurate than those of local analysts in Taiwan.
List of Figures iii
List of Tables and Appendices iv
Preface vi
Acknowledgements vii
Abstract viii
Chapter I. Introduction…………………………………………………………… 1
Chapter II. The Effects of Changes in Price to Stocks Indices Adjustments
1. Introduction 4
2. Literature review 7
3. Data and methodology description 9
3.1 Data description 9
3.2 Methodology 10
4. Empirical results 11
4.1 Price effects displayed by stocks added to the Nikkei 225 11
4.1.1 Price responses of large-scale and small-scale stocks added to the Nikkei 225 12
4.1.2 Price responses of electronic and non-electronic stocks added to the Nikkei 225 13
4.1.3 Price responses of upwards and downwards revisions of earnings forecasts for stocks added to the Nikkei 225 14
4.1.4 Price responses for stocks added to the Nikkei 225 before and after Internet bubble burst 15
4.2 Price effects displayed by stocks deleted from the Nikkei 225 16
4.2.1 Price responses of large-scale and small-scale stocks deleted from the Nikkei 225 17
4.2.2 Price responses of electronic and non-electronic stocks deleted from the Nikkei 225 17
4.2.3 Price responses for stocks deleted from the Nikkei 225 before and after Internet bubble burst 18
4.3 Price effects displayed by stocks added to the MSCI Taiwan Index 19
4.3.1 Price responses of large-scale and small-scale stocks added to the MSCI Taiwan Index 20
4.3.2 Price responses of electronic and non-electronic stocks added to the MSCI Taiwan Index 21
4.3.3 Price responses of upwards and downwards revisions of earnings forecasts for stocks added to the MSCI Taiwan Index 22
4.3.4 Price responses for stocks added to the MSCI Taiwan Index before and after Internet bubble burst 23
4.4 Price effects displayed by stocks deleted from the MSCI Taiwan Index 23
4.4.1 Price responses of large-scale and small-scale stocks deleted from the MSCI Taiwan Index 24
4.4.2 Price responses of electronic and non-electronic stocks deleted from the MSCI Taiwan Index 25
4.4.3 Price responses for stocks deleted from the MSCI Taiwan Index before and after Internet bubble burst 26
5. Conclusion 27
Chapter III. Analyst Responses of Earnings Forecasts to Stocks Indices Adjustments
1. Introduction 60
2. Literature Review 62
2.1 The performance of local and foreign analysts 62
2.2 Forecast accuracy of analysts and optimism 63
3. Data and methodology 64
3.1 Sample description 64
3.2. Analyst earnings forecast 66
3.3. Absolute forecast error 68
4. Changes in analysts’ EPS forecast 69
4.1 Magnitude of EPS forecast changes for firms added to the Nikkei 225 Index and the matched firms 69
4.2 Magnitude of EPS forecast changes for firms added to the MSCI Taiwan Index and the matched firms 72
5. Absolute forecast errors of analysts 74
5.1 Absolute forecast errors for firms added to the Nikkei 225 Index and the matched firms 74
5.2 Absolute forecast errors for firms added to the MSCI Taiwan Index and the matched firms 76
6. Conclusions 77
Chapter IV. Conclusions and Future Studies 96
Appendices…………………………………………………………… 99
References…………………………………………………………… 100
List of Figures
Figure 2.1 Mean cumulative abnormal returns for stocks added to the Nikkei 225, 1991- 2008. 29
Figure 2.2 Mean cumulative abnormal returns for large-scale and small-scale stocks added to the Nikkei 225, 1991- 2008. 30
Figure 2.3 Mean cumulative abnormal returns for electronic and non-electronic stocks added to the Nikkei 225, 1991- 2008. 31
Figure 2.4 Mean cumulative abnormal returns for upwards and downwards earnings forecast revision stocks added to the Nikkei 225, 1991- 2008. 32
Figure 2.5 Mean cumulative abnormal returns for stocks added to the Nikkei 225 Index before and after the Internet bubble burst 33
Figure 2.6 Mean cumulative abnormal returns for stocks deleted from the Nikkei 225 Index, 1991- 2008. 34
Figure 2.7 Mean cumulative abnormal returns for large-scale and small-scale stocks deleted from the Nikkei 225 Index, 1991- 2008. 35
Figure 2.8 Mean cumulative abnormal returns for electronic and non-electronic stocks deleted from the Nikkei 225, 1991- 2008. 36
Figure 2.9 Mean cumulative abnormal returns for stocks deleted from the Nikkei 225 Index before and after the Internet bubble burst 37
Figure 2.10 Mean cumulative abnormal returns for stocks added to the MSCI Taiwan Index, 1999- 2007. 38
Figure 2.11 Mean cumulative abnormal returns for large-scale and small-scale stocks added to the MSCI Taiwan Index, 1999- 2007. 39
Figure 2.12 Mean cumulative abnormal returns for electronic and non-electronic stocks added to the MSCI Taiwan Index, 1999- 2007. 40
Figure 2.13 Mean cumulative abnormal returns for upwards and downwards earnings forecast revision stocks added to the MSCI Taiwan Index, 1999- 2007. 41
Figure 2.14 Mean cumulative abnormal returns for stocks added to the MSCI Taiwan Index before and after the Internet bubble burst 42
Figure 2.15 Mean cumulative abnormal returns for stocks deleted from the MSCI Taiwan Index, 1999- 2007. 43
Figure 2.16 Mean cumulative abnormal returns for large-scale and small-scale stocks deleted from the MSCI Taiwan Index, 1999- 2007. 44
Figure 2.17 Mean cumulative abnormal returns for electronic and non-electronic stocks deleted from the MSCI Taiwan Index, 1999- 2007. 45
Figure 2.18 Mean cumulative abnormal returns for stocks deleted from the MSCI Taiwan Index before and after the Internet bubble burst 46
List of Tables and Appendices
Tables
Table 2.1 Changes in the Nikkei 225 Index and MSCI Taiwan Index. 47
Table 2.2 The price effects of stocks added to or deleted from the Nikkei 225 Index, 1991- 2008. 48
Table 2.3 Mean cumulative abnormal returns from day 2 to day T for stocks added to or deleted from the Nikkei 225 Index, 1991- 2008. 49
Table 2.4 Analysis of CARs of category 1: Large-scale and Small-scale stocks added to the Nikkei 225 Index, 1991- 2008. 50
Table 2.5 Analysis of CARs of category 2: Electronic and Non-Electronic stocks added to the Nikkei 225 Index, 1991- 2008. 50
Table 2.6 Analysis of CARs of category 3: Upwards and Downwards earnings forecast revision stocks added to the Nikkei 225 Index, 1991- 2008. 51
Table 2.7 Analysis of CARs for stocks added to the Nikkei 225 Index before and after the Internet bubble burst 51
Table 2.8 Analysis of CARs of category 1: Large-scale and Small-scale stocks deleted from the Nikkei 225 Index, 1991- 2008. 52
Table 2.9 Analysis of CARs of category 2: Electronic and Non-Electronic stocks deleted from the Nikkei 225 Index, 1991- 2008. 52
Table 2.10 Analysis of CARs for stocks deleted from the Nikkei 225 Index before and after the Internet bubble burst 53
Table 2.11 The price effects of stocks added to or deleted from the MSCI Taiwan Index, 1999- 2007. 54
Table 2.12 Mean cumulative abnormal returns from day 2 to day T for stocks added to or deleted from the MSCI Taiwan Index, 1991- 2007. 55
Table 2.13 Analysis of CARs of category 1: Large-scale and Small-scale stocks added to the the MSCI Taiwan Index, 1999- 2007. 56
Table 2.14 Analysis of CARs of category 2: Electronic and Non-Electronic stocks added to the MSCI Taiwan Index, 1999- 2007. 56
Table 2.15 Analysis of CARs of category 3: upwards and downwards earnings forecast revision stocks added to the MSCI Taiwan Index, 1999- 2007. 57
Table 2.16 Analysis of CARs for stocks added to the MSCI Taiwan Index before and after the Internet bubble burst 57
Table 2.17 Analysis of CARs of category 1: Large-scale and Small-scale stocks deleted from the the MSCI Taiwan Index, 1999- 2007. 58
Table 2.18 Analysis of CARs of category 2: Electronic and Non-Electronic stocks deleted from the MSCI Taiwan Index, 1999- 2007. 58
Table 2.19 Analysis of CARs for stocks deleted from the MSCI Taiwan Index before and after the Internet bubble burst 59
Table 3.1 Changes in analysts’ EPS forecasts for firms added to the Nikkei 225 Index and the matched firms 80
Table 3.2 Changes in analysts’ EPS forecasts for firms added to the MSCI Taiwan Index and the matched firms 84
Table 3.3 EPS absolute forecast errors for firms added to the Nikkei 225 Index and the matched firms 88
Table 3.4 EPS absolute forecast errors for firms added to the MSCI Taiwan Index and the matched firms 92
Appendices
Appendix A: The Descriptive Statistics of P, MV and VO for Nikkei 225 Index Addition Firms and the Matched Firms. 99
Appendix B: The Descriptive Statistics of P, MV and TU for MSCI Taiwan Index Addition Firms and the Matched Firms. 99
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