English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94188/124659 (76%)
Visitors : 29602242      Online Users : 302
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/94728
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/94728

    Title: 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
    Authors: 杜佳蓉
    Tu, Chia Jung
    Contributors: 張元晨
    Chang, Yuanchen
    Tu, Chia Jung
    Keywords: 指數調整
    index adjustment
    price response
    absolute forecast error
    Date: 2009
    Issue Date: 2016-05-09 11:45:15 (UTC+8)
    Abstract: 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.
    Reference: Bacmann, J. F. and G. Bolliger (2001), “Who Are the Best? Local Versus Foreign Analysts on Latin American Stock Markets,” working paper, University of Neuchatel.
    Bae, K. H., R. M. Stulz and H. Tan (2008), “Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts,” Journal of Financial Economics, Vol. 88, 581-606.
    Barber, B. M. and T. Odean (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, Vol.55, 773-806.
    Brennan, M. J. and H. H. Cao (1997), “International Portfolio Investment Flows,” Journal of Finance, Vol. 52, 1851-1880.
    Chakrabarti, R., W. Huang, N. Jayaraman and J. Lee (2005), “Price and Volume Effects of Changes in MSCI Indices – Nature and Causes,”Journal of Banking and Finance, Vol. 29, 1237-1264.
    Chen, H., G. Noronha and V. Singal (2004), “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and A New Explanation,” Journal of Finance, Vol. 59, 1901-1930.
    Chen, H., G. Noronha and V. Singal (2006), “S&P 500 Index Changes and Investor Awareness,” Journal of Investment Management, Vol. 4, 23-37.
    Clement, M. B. (1999), “Analyst Forecast Accuracy: Do Ability, Resources, and Portfolio Complexity Matter?,” Journal of Accounting and Economics, Vol. 27, 285-303.
    Conroy R. M. and R. S. Harris (1995), “Analysts' Earnings Forecast in Japan: Accuracy and Sell-Side Optimism,” Pacific-Basin Finance Journal, Vol. 3, 393-408.
    De Bondt, W. F. M. and W. P. Forbes (1999), “Herding in Analyst Earnings Forecasts: Evidence from the United Kingdom,” European Financial Management, Vol. 5, 143-163.
    Denis, D. K., J. J. McConnell, A. V. Ovtchinnikov and Y. Yu (2003), “S&P 500 Index Additions and Earnings Expectations,” Journal of Finance, Vol. 58, 1821-1840.
    Dhillon, U. and H. Johnson (1991), “Changes in the Standard and Poor’s List,” Journal of Business, Vol. 64, 75-85.
    Duru, A. and D. M. Reeb (2002), “International Diversification and Analysts' Forecast Accuracy and Bias,” Accounting Review, Vol. 77, 415-433.
    Froot, K. A., P. G. J. O’Connell and M. S. Seasholes (2001), “The Portfolio Flows of International Investors,” Journal of Financial Economics, Vol. 59, 151–193.
    Grinblatt, M. and M. Keloharju (2000), “The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set,” Journal of Financial Economics, Vol.55, 43-67.
    Grinblatt, M., S. Titman, and R. Wermers (1995), “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior,” American Economic Review, Vol. 85, 1088-1105.
    Gu F. and W. Wang (2005), “Intangible Assets, Information Complexity, and Analysts’ Earnings Forecasts,” Journal of Business Finance & Accounting, Vol. 32, 1673-1702.
    Guay W., D. Haushalter and B. Minton (2003), “The Influence of Corporate Risk Exposures on the Accuracy of Earnings Forecasts,” working paper.
    Hanaeda, H. and T. Serita (2003), “Price and Volume Effects Associated with a Change in the Nikkei 225 List: New Evidence from the Big Change on April 2000,” International Finance Review, Vol. 4, 199-225.
    Harris, L. and E. Gurel (1986), “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures, ” Journal of Finance, Vol. 41, 815-829.
    Hau, H. (2001), “Location Matters: An Examination of Trading Profits,” Journal of Finance, Vol. 56, 1959-1983.
    Hope, O. –K. (2003), “Disclosure Practices, Enforcement of Accounting Standards, and Analysts’ Forecast Accuracy: An International Study,” Journal of Accounting Research, Vol. 41, 235-272.
    Kaniel R., G. Saar, and S. Titman (2008), “Individual Investor Trading and Stock Returns,” Journal of Finance, Vol. 63, 273-310.
    Kaul, A., V. Mehrotra and R. Morck (2000), “Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment,” Journal of Finance, Vol. 55, 893-912.
    Ke, B. and Y. Yu (2006), “The Effect of Issuing Biased Earnings Forecasts on Analysts’ Access to Management and Survival,” Journal of Accounting Research, Vol. 44, 965–1000.
    Liu, S. (2000), “Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks,” International Review of Finance, Vol. 1, 245–267.
    Loh, R. K. and G. M. Mian (2006), “Do Accurate Earnings Forecasts Facilitate Superior Investment Recommendations?,” Journal of Financial Economics, Vol. 80, 455–483.
    Malloy, C. J. (2005), “The Geography of Equity Analysis,” Journal of Finance, Vol. 60, 719- 775.
    Odean, T. (1998), “Are Investors Reluctant to Realize Their Losses?,” Journal of Finance, Vol. 53, 1775-1798.
    Okada, K., N. Isagawa and K. Fujiwara (2006), “Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs”, Pacific-Basin Finance Journal, Vol. 14, 395–409.
    Seasholes, M. S. (2000), “Smart Foreign Traders in Emerging Markets,” working paper, Harvard University.
    Shankar, S. G. and J. M. Miller (2006), “Market Reaction to Changes in the S&P SmallCap 600 Index,” Financial Review, Vol. 41, 339-360.
    Shleifer, A. (1986), “Do Demand Curves for Stocks Slope Down?,” Journal of Finance, Vol. 41, 579-590.
    Shu, P. G., Y. H. Yeh and Y. C. Huang, (2004), “Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices,” Review of Pacific Basin Financial Markets and Policies, Vol. 7, 471-491.
    Sias R. W. (1997), “The Sensitivity of Individual and Institutional Investors' Expectations to Changing Market Conditions: Evidence from Closed-End Funds,” Review of Quantitative Finance and Accounting, Vol. 8, 245-269.
    Wurgler, J. and E. Zhuravskaya (2002), “Does Arbitrage Flatten Demand Curves for Stocks?,” Journal of Business, Vol. 75, 583-608.
    Description: 博士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093357504
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    There are no files associated with this item.

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback