Informativeness of Financial Analyst Multi-Year Earnings Forecasts

本文探討當給定分析師發佈的近年期盈餘預測下，多年期盈餘預測所具有之邊際資訊意涵。我們發現分析師多年期盈餘預測的發佈頻率，會受投資人對企業的矚目程度，及投資人是否需借助分析師專業來判讀企業成長性的影響，因而將企業區分為分析師發佈多年期預測選擇性較高與較低兩類，當分析師發佈選擇性較高，其多年期盈餘預測蘊含較多的邊際資訊意涵，選擇性較低時，則較近似於由近年期盈餘預測與成長性預測所推算出的替代估計值。我們建立了對一年期盈餘預測恆常性成份的衡量指標，區分出其中所隱含的暫時性成份，恆常性成份對最後的推薦具邊際解釋力，近年期預測則追求一年期的預測誤差極小化，釐清近年期與多年期盈餘預測乃分析師針對不同目的的發佈工具，兩者間具有對企業恆常性與暫時性盈餘預測的互補性。本文在長窗期盈餘檢測也發現，多年期盈餘預測對企業評價有邊際貢獻，具價值攸關，可藉以形成投資組合，形成交易策略。We investigate the marginal information implications in analyst multi-year earnings forecasts given the current-year forecasts. In this paper, we explore the underlying reasons for analyst to give multi-year earnings forecasts, and examine the relationships between multi-year predictions and their corresponding values of analysts'' recommendations, future EPS estimates, and the rates of return when multi-year earnings forecasts are incorporated into corporate valuation models, respectively. We find that the frequencies analysts make multi-year forecasts depend on the extent of investors’ focus on the businesses. Moreover, common investors’ needs for professional judgments appear to drive analysts to report multi-year forecasts. We thereby partition our samples into two groups, the firms that analysts may feel obligated to provide multi-year forecasts for (hereafter the obligated group) and the firms that analysts can discretionarily choose whether or not to make multi-year forecasts. Analyst multi-year forecasts for the latter group of forecasts appear to be more informative. We make comparisons between analyst’s multi-year forecasts and the proxy estimates based on their current-year forecasts and one plug the growth estimate. We document that for the obligated group firms they provide their multi-year estimates closer to their proxy estimates and less informative given the current-year forecasts as compared with the other group analysts’. By establishing a proxy to measure permanent components, we extract temporary elements from one-year-ahead forecasts so as to clarify the roles analysts assign to these two forecasts. The permanent components exhibit marginal explanatory ability to the final recommendations. It turns out that two forecasts complement each other for different purposes. The long-windowed returns test findings show that multi-year forecasts make marginal contribution to business valuation, providing additional value-relevant information that helps forming long-term investment strategy