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Title page for etd-0115109-132213


URN etd-0115109-132213 Statistics This thesis had been viewed 2468 times. Download 10 times.
Author Fu-Chieh Pan
Author's Email Address No Public.
Department Management Business Administration
Year 2008 Semester 1
Degree Master Type of Document Master's Thesis
Language Chinese&English Page Count 110
Title RELATIONSHIP BETWEEN ANALYST FORECAST REVISE, CORPORATE FORECAST ACCURACY & STOCK RETURNS -- VIA INFORMATION UNCERTAINTY
Keyword
  • Information Uncertainty
  • Corporate Forecast Accuracy
  • Analyst Forecast Revise
  • Analyst Forecast Revise
  • Corporate Forecast Accuracy
  • Information Uncertainty
  • Abstract Zhang (2006) discovered the uncertain information of firm value would cause market investors’ insufficient response toward good or bad news. Which makes the stock returns difference, i.e. those stocks possess higher information uncertainty, investor will have under-reactions followed the good or bad news than those with low information uncertainty’s, their stock return will relatively higher or lower. Hence, there would be certain opportunity for interest arbitration. I use the 6 uncertainty proxies: Firm Size, Firm Age, Stock Volatility, Analyst Forecast Coverage,. Analyst Forecast Dispersion,. Cash Flow Volatility chosen by Zhang plus Corporate Forecast Accuracy to discuss stock returns changes via analyst forecast revise, and find out that if the firms with higher corporate forecast accuracy eventually will reverse the degree of information uncertainty (negative correlate), therefore, the future stock returns should be lower upon the analyst forecast revise. And if the firms with lower corporate forecast accuracy (higher EPS standard deviation), the future stock returns should be higher. This is empirically tested , but only be supported when the samples of TWSE & OTC are combined together.
    Advisor Committee
  • Ruey-Shii Chen - advisor
  • Ming-Chuan Pan - co-chair
  • Yung-Cheng Huang - co-chair
  • Files indicate in-campus access only
    Date of Defense 2008-12-26 Date of Submission 2009-01-22


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