한국 재무분석가 이익예측치의 속성 분석：정보성․합리성․대칭성 (Properties of Financial Analysts’ Earnings Forecasts： Informativeness․Rationality․Symmetry)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 23권 / 3호 / 83 ~ 117페이지
· 저자명 : 신인석, 정도진

초록

미국 자본시장에서 재무분석가의 이익예측치는 주가에 대하여 정보성은 있지만, 그러한 이익예측
치가 모든 정보를 반영하지는 못하며, 낙관적 편이를 가지고 있고, 기업가치에 긍정적인 정보와 부
정적인 정보 등에 대하여 대칭적이지도 못한 것으로 알려져 있다. 국내 자본시장에서 재무분석가
의 행태에 대한 연구는 상대적으로 아직 미진하다. 본 연구에서는 재무분석가의 행태를 이익예측
치를 기준으로 하여 정보성⋅합리성⋅대칭성의 관점에서 실증 분석하였다. 2003년부터 2005년까
지 국내 20여 개 증권사의 재무분석가들이 발표한 이익예측치를 분석한 결과는 다음과 같다. 첫째,
재무분석가의 주간별 이익예측치는 같은 주간의 초과수익률에 유의한 설명력을 가지지만 미래 초
과수익률에 대한 예측력은 없는 것으로 나타나, 이익예측치의 정보성에 한계가 있음을 발견하였
다. 둘째, 현재 이익예측치의 평균이 과거 주가와 유의한 관계를 나타냄으로써, 과거의 정보가 당
시의 이익예측치에 모두 반영되지 못함을 발견하였다. 셋째, 긍정적인 정보보다 부정적인 정보가
이익예측치에 지연되어 반영됨을 발견하였다.

영어초록

The purpose of this study is to empirically test three properties of financial
analysts’ earnings forecasts, informativeness․rationality․symmetry.
Prior studies suggest that Korean financial analysts’ earnings forecasts are
more accurate than time-series models’ earnings forecasts. Also, they find
that financial analysts’ earnings forecasts have optimistic bias. However,
there have been few studies on the rationality and symmetry of financial
analysts’ earnings forecasts. In order to empirically investigate the informativeness,
rationality, and symmetry of financial analysts’ earnings forecasts,
this study collects 14,428 weekly earnings forecasts that were released
by 20 Korean Securities Companies from 2003 to 2005. The earnings forecasts
is the average of financial analysts’ earnings forecasts for firm i in week
t. The research method and empirical results are as follows. First, weekly
market-adjusted stock returns are regressed on contemporaneous weekly
earnings forecasts revisions after controlling for prior stock returns. The
earnings forecast revisions are concentrated on 0. Especially, 48.5 percent
of all revisions are 0. The median of revisions is 0, but the mean is -0.0024,
implying that analysts’ earnings forecasts are likely to be revised downward
during the sample period. The empirical results on the first regression model
report that the coefficient of earnings forecast revision is statistically
significant. That is, there appear to be informative of financial analysts’
earnings forecasts about contemporary stock prices. However, financial analysts’
earnings forecasts do not predict future stock price returns.
Second, current earnings forecast revisions are regressed on prior
stock returns in order to test whether all available information is reflected
on contemporaneous earnings forecasts. If financial analysts’ earnings fore-
casts reflect all value-relevant information, there is no significant association
between current earnings forecast revisions and prior stock returns.
However, the empirical results on the second regression model report that
current earnings forecast revisions are significantly associated with prior
stock returns, imply that all available information is not reflected on contemporaneous
earnings forecasts.
Third, current earnings forecast revisions are regressed on positive
stock returns and negative stock returns, individually, in order to test whether
financial analysts symmetrically react to good news and bad news. The
empirical tests on positive stock returns show that the coefficient of stock
returns in week t-1 is significantly positive. However, coefficients of stock
returns in week t-2, t-3, and t-4 are not statistically significant. These
results imply that positive information about firm value is reflected on financial
analysts’ earnings forecasts after about one week. On the other hand,
the empirical tests on negative stock returns show that coefficients of stock
returns in week t-1 and t-2 are significantly positive. However, coefficients
of stock returns in week t-3 and t-4 are not statistically significant. These
results imply that negative information about firm value is reflected on financial
analysts’ earnings forecasts after about three or four week. Therefore,
financial analysts react to positive information differently from negative
information due to financial analysts’ reward system.
Fourth, current earnings forecast revisions are regressed on positive
stock returns and negative stock returns for 40 big firms and 40 small firms,
individually. The empirical results on positive stock returns for 40 big firms
report that coefficients of all prior stock returns are not statistically significant,
implying that positive information about firm value of 40 big firms
is reflected on financial analysts’ earnings forecasts without delay. The empirical
results on negative stock returns for 40 big firms report that the coefficient
of stock returns in week t-1 is not statistically significant, but coefficients
of stock returns in week t-1, t-2, and t-3 are significantly positive,
implying that negative information about firm value of 40 big firms is reflected
on financial analysts’ earnings forecasts after about two or four week.
On the other hand, the empirical results on both positive and negative stock
returns for 40 small firms show that coefficients of all prior stock returns
are not statistically significant.

참고자료

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