재무분석가 제공정보의 상호관련성 및 미래주가 예측력에 관한 연구 (Relationships among analysts’ earnings forecasts, target prices, and stock recommendations, and their abilities to predict future stock returns)

서지정보

· 발행기관 : 한국경영학회
· 수록지 정보 : 경영학연구 / 39권 / 1호 / 29 ~ 54페이지
· 저자명 : 차승민, 유용근

초록

본 연구에서는 한국의 재무분석가가 제공하는 주된 요약정보인 이익예측치, 목표주가, 그리고 투자추천의견의 상호관련성에 대해 분석하고 이들 세가지 요약정보들을 이용하여 한국 주식시장에서 미래의 주가변동을 예측할 수 있는지 분석하였다. 우선, 한국의 재무분석가들이 제공하는 이익예측치, 목표주가, 그리고 투자추천의견 사이에 양(+)의 상관관계가 관찰되었다. 이는 미국의 재무분석가들을 대상으로 한 Bradshaw(2004)의 연구결과와는 달리 한국의 재무분석가들이 이들 요약정보를 상호 일관성 있게 제공하고 있다는 실증적 증거이다. 아울러, 한국의 재무분석가들이 제공하는 세가지 요약정보 들을 종합적으로 이용하여 미래의 주가변동을 예측할 수 있었다. 이러한 실증결과를 고려하면 한국의 재무분석가들이 공시하는 요약정보들이 상호 일관성 있게 제공되고 있으며, 나아가 한국의 재무분석가들이 주식시장에서 잘못 평가 되고 있는 주식들에 대한 정보를 적절히 제공함으로써 주식시장의 효율성 제고에 기여할 수 있을 것이라는 결론을 내릴수 있다.

영어초록

This study examines the relationships among analysts’ earnings forecasts, target prices, and stock recommendations as well as their abilities to predict future stock returns in Korean stock market.
Sell-side analysts are considered as the most prominent information intermediaries who can contribute to the improvement of stock market efficiency. While sell-side analysts provide detailed value relevant information in their research reports, investors may focus on analysts’summary information, such as forecasted earnings, target prices, and stock recommendations, for their decision making. Thus, it is an important research question whether those three summary information can enhance investors’ efficiency in stock valuation. Although those three summary information should be provided systematically as a precondition for such a role, it is not guaranteed if analysts’ behaviors are influenced by some incentive factors, such as the need to maintain good relationships with managers or the performance evaluation criterion based on stock trading commission. Furthermore, Bradshaw (2004) also concludes that analysts’ earnings forecasts and their stock recommendations are not positively correlated with each other in the U.S. stock market. Thus, given that information environments for analysts in Korean stock market may differ from that in the U.S. stock market, it is an empirical question whether analysts’ three summary measures are positively associated with each other in Korean stock market as well as whether those three measures can indicate investors’ mispricing of stocks in Korean stock market. By using 1,088 Korean firm/year observations between 2001 and 2006, we find that analysts’ earnings forecasts, target prices, and stock recommendations are positively correlated with each other, which is contrary to Bradshaw (2004) who fails to report such positive correlations in the U.S. stock market. Furthermore, we also find that those three kinds of summary information provided by analysts can significantly predict future stock returns in Korean stock market. These results indicate that analysts in Korea may be able to enhance the market efficiency by providing investors with appropriate information through those three summary measures. Our study may enhance investors’ as well as researchers’ understanding of the usefulness or limitation of analysts’ summary information in their role to improve efficiency in stock valuation.

참고자료

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