Abstract
摘要:[第一年計畫]
以美總統與參眾議院選舉事件期間證券分析師預測與推薦頻率及修正值建構產業/企業之政治敏感度指標
摘要:
本研究計畫希望藉由證券分析師預測與推薦頻率及修正值,建構產業/企業的「政治敏感度指標」,或可形成一項新的股價預估因子。預備蒐集證券分析師在(1) 選舉過程中顯示重大民意轉向之蓋洛普民意調查結果公告 (2) 美國總統選舉及期中選舉結果揭曉以後,其所提出短期(FY1)或多年期(FY2、FY3、FY4…...FY7)盈餘預測及推薦值修正之(1)頻率、(2)時效、(3)修正方向與幅度,藉以描述該企業之政治事件衝擊敏感度。進一步將衡量該指標穩定性,以及其對三因子或四因子模
型異常股價報酬的預測能力。
[第二年計畫]
產業/證券分析師 短、中、長期資本支出、營業收入、盈餘預測與原物料業實際資本支出暨產品價格間關聯性
摘要:
本研究利用證券分析師對於 CRB 期貨指數成份原物料產業中各上游企業「資本支出」、「營業收入」、「盈餘」均有作短期(FY1)或多年期(FY2、FY3、FY4…...FY7)預測,檢視其預測原物料價格績效,比較其與以(1) 時間序列, (2) 期貨價格變動,或(3) 總體與產業變數估計所得的波動劇烈的原物料價格預測相較,是否有較佳的預測能力? 抑或其會落後於原物料期貨價格變動?我們也預備要利用分析師不同年期(如 FY1、FY2 相較於 FY3、FY4;FY1、FY2 相較於 FY6、FY7)預測修正方向/幅度差異,觀察其預測值所隱含各農牧礦業產品價格在存貨增減、資本支出擴增、價格漲跌事件後之回歸至均數速度,此一數值或許可為後續研究所應用;並擬從而觀察該隱含回歸至均數速度數值與統計實證所估計回歸至均數速度數值間差異。
Abstract: 第一年計畫]
Constructing an Indicator of Political Sensitivity for Industry/Firm Using the Revision Frequency and Magnitude of Security Analyst Earnings Forecasts and Recommendations
Abstract:
This research project aims at the political sensitivity for US industries /firms. It adopts both revision frequency and revision direction/magnitude of security analyst earnings forecasts and investment recommendations to construct an indicator of political sensitivity. Specifically, we plan to identify surprising Gallup presidential, senate, and house poll announcement event date/time points and election result broadcast date/time points of presidential elections and midterm elections. Then we plan to collect the current year and multi-year analyst earnings forecast and recommendation revisions, adopting the (1)frequency, (2) timeliness, and (3) direction and magnitude, and construct the sensitivity indicator for each industry/firm. We plan then to examine the accuracy of the political sensitivity indicator in predicting three- or four-factor model abnormal security returns.
[第二年計畫]
Association between Security Analyst Current and Multiple-year Forecasts of Capital Expenditure/Revenue/Earnings and Actual Capital Expenditure/Commodity Price
Abstract:
This research project aims at analyst capital expenditure forecasts, revenue forecasts, and earnings forecasts for the upstream CRB commodity firms, examining the extent to which these forecasts help predict the commodity prices, which are typically quite volatile. Specifically, security analysts provide not only current year forecasts but also multi-year forecasts. We plan to explore whether analyst forecasts out-perform (1) time series, (2) future prices, and (3) macroeconomic as well as industrial variables in predicting commodity prices. We also will examine the lead-lag relationship between each of these three sets of variables and commodity prices. Furthermore, we plan to examine the difference between shortand long-horizoned forecast revisions, exploring whether there exist different magnitudes of impact associated with inventory increases/decreases, capital expenditures, and/or commodity price changes on different forecasts. Thereby we plan to develop a measure of implied speed of mean reversion parameter for commodity prices. Then we plan to make comparison between the implied speed of mean reversion measure with the actual speed measure we obtain from empirical commodity price data.
Keyword(s)
美國總統選舉
期中選舉
政治敏感度指標
證券分析師
盈餘預測
股票推薦
產業/證券分析師
多年期預測
資本支出預測
營業收入預測
盈餘預測
原物料業實際資本支出
原物料產品價格
商品價格隱含回歸至均
Presidential Election
Midterm Election
Political Sensitivity
Security Analyst Earnings Forecasts
Investment Recommendations
Security Analyst
Multiple-year Forecasts
Capital Expenditure Forecasts
Revenue Forecasts
Earnings Forecasts
Actual Capital