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      다국어 초록 (Multilingual Abstract)

      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.
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      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 promine...

      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.

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      참고문헌 (Reference)

      1 고봉찬, "애널리스트 이익예측의 정확성과 추천종목의 수익성" 36 (36): 1009-1047, 2007

      2 이군희, "사회과학 연구방법론" 법문사 2001

      3 김동순, "국내외 애널리스트들의 투자의견 및 목표주가 변경이 주가에 미치는 영향력 분석" 35 (35): 75-108, 2006

      4 Lee, C., "What is the Intrinsic Value of the Dow?" 54 : 1693-1741, 1999

      5 Gebhardt, W., "Toward an Implied Cost of Capital" 39 : 135-176, 2001

      6 Jorgensen, B., "The Valuation Accuracy of Equity Value Estimates Inferred from the Abnormal Earnings Growth Model" Working paper 2009

      7 Bradshaw, M., "The Use of Target Prices to Justify SellSide Analysts’ Stock Recommendations" 16 : 27-41, 2002

      8 Dugar, A., "The Effect of Investment Banking Relationship on Financial Analysts’ Earnings Forecasts and Investment Recommendations" 12 : 131-160, 1995

      9 Ball, R., "The Effect of International Factors on Properties of Accounting Earnings" 29 : 1-52, 2000

      10 Fairfield, P., "The Differential Persistence of Accruals and Cash Flows for Future Operating Income versus Future Profitability" 8 : 221-243, 2003

      1 고봉찬, "애널리스트 이익예측의 정확성과 추천종목의 수익성" 36 (36): 1009-1047, 2007

      2 이군희, "사회과학 연구방법론" 법문사 2001

      3 김동순, "국내외 애널리스트들의 투자의견 및 목표주가 변경이 주가에 미치는 영향력 분석" 35 (35): 75-108, 2006

      4 Lee, C., "What is the Intrinsic Value of the Dow?" 54 : 1693-1741, 1999

      5 Gebhardt, W., "Toward an Implied Cost of Capital" 39 : 135-176, 2001

      6 Jorgensen, B., "The Valuation Accuracy of Equity Value Estimates Inferred from the Abnormal Earnings Growth Model" Working paper 2009

      7 Bradshaw, M., "The Use of Target Prices to Justify SellSide Analysts’ Stock Recommendations" 16 : 27-41, 2002

      8 Dugar, A., "The Effect of Investment Banking Relationship on Financial Analysts’ Earnings Forecasts and Investment Recommendations" 12 : 131-160, 1995

      9 Ball, R., "The Effect of International Factors on Properties of Accounting Earnings" 29 : 1-52, 2000

      10 Fairfield, P., "The Differential Persistence of Accruals and Cash Flows for Future Operating Income versus Future Profitability" 8 : 221-243, 2003

      11 Modigliani, F., "The Cost of Capital, Corporation Finance and the Theory of Investment" 48 : 261-297, 1958

      12 Lys, T., "The Association between Revisions of Financial Analysts’ Earnings Forecasts and SecurityPrice Changes" 13 : 341-363, 1990

      13 Brown, L., "Security Analyst Superiority Relative to Univariate TimeSeries Models in Forecasting Quarterly Earnings" 9 : 61-87, 1987

      14 Carter, R., "Securities Analysis and Portfolio Management: A Survey and Analysis" 16 (16): 81-85, 1990

      15 Malkiel, B., "Risk and Return Revisited" 23 : 9-14, 1997

      16 Jegadeesh, N., "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency" 48 : 65-91, 1993

      17 Ali, A., "ResidualIncomeBased Valuation Predicts Future Stock Returns: Evidence on Mispricing vs. Risk Explanations" 67 (67): 377-396, 2003

      18 Easton, P., "PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital" 79 : 73-95, 2004

      19 Etimur, Y., "Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts" 45 : 567-606, 2007

      20 Liu, J., "Market and Analyst Reactions to Earnings News: An Efficiency Comparison" Working paper 2003

      21 Lee, C., "Market Efficiency and Accounting Research: A Discussion of ‘Capital Market Research in Accounting’ by S.P. Kothari" 31 : 233-253, 2001

      22 Gode, D., "Inferring the Cost of Capital Using the OhlsonJuettner Model" 8 : 399-431, 2003

      23 Bradshaw, M., "How Do Analysts Use Their Earnings Forecasts in Generating Stock Recommendations?" 79 : 25-50, 2004

      24 Abarbanell, J., "Fundamental Analysis, Future Earnings, and Stock Prices" 35 (35): 1-24, 1997

      25 Ohlson, J., "Expected EPS and EPS Growth as Determinants of Value" 10 : 349-365, 2005

      26 Bernard, V., "Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings" 13 : 305-340, 1990

      27 Liu, J., "Equity Valuation Using Multiples" 40 : 135-172, 2002

      28 Claus, J., "Equity Premia as Low as Tree Percent?: Evidence from Analysts’ Earnings Forecasts for Domestic and International Stock Markets" 56 : 1629-1666, 2001

      29 Ohlson, J., "Earnings, Book Values, and Dividends in Equity Valuation" 11 : 661-687, 1995

      30 Leuz, C., "Earnings Management and Investor Protection:An International Comparison" 69 (69): 505-527, 2003

      31 Rajgopal, S., "Does the Stock Market Fully Appreciate the Implications of Leading Indicators for Future Earnings? Evidence from Order Backlog" 8 : 461-492, 2003

      32 Sloan, R., "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings" 71 : 289-316, 1996

      33 Bradshaw, M., "Do SellSide Analysts Exhibit Differential Target Price Forecasting Ability?" Working paper 2006

      34 Womack, K., "Do Brokerage Analysts’ Recommendations Have Investment Value?" 51 : 137-167, 1996

      35 Abarbanell, J., "Do Analysts’ Earnings Forecasts Incorporate Information in Prior Stock Price Changes?" 14 : 147-165, 1991

      36 Elton, E., "Discrete Expectational Data and Portfolio Performance" 41 : 699-713, 1986

      37 Hope, O.-K., "Disclosure Practices, Enforcement of Accounting Standards and Analysts’ Forecast Accuracy: An International Study" 41 (41): 235-272, 2003

      38 Elgers, P., "Delayed Security Price Adjustments to Financial Analysts’ Forecasts of Annual Earnings" 76 (76): 613-632, 2001

      39 Lakonishok, J., "Contrarian Investment, Extrapolation, and Risk" 49 (49): 1541-1578, 1994

      40 Michaely, R., "Conflict of Interest and Credibility of Underwriter Analysts Recommendations" 12 : 653-686, 1999

      41 Barber, B., "Comparing the Stock Recommendation Performance of Investment Banks and Independent Research Firms" 85 : 490-517, 2007

      42 Stickel, S., "Common Stock Returns Surrounding Earnings Forecast Revisions: More Puzzling Evidence" 66 (66): 402-416, 1991

      43 Fama, E., "Common Risk Factors in the Returns on Stocks and Bonds" 33 : 3-56, 1993

      44 Schipper, K., "Commentary on Analysts’ Forecasts" 5 : 105-121, 1991

      45 Barber, B., "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns" 56 (56): 531-563, 2001

      46 Amihud, Y., "Asset Pricing and the Bid–Ask Spread" 17 : 223-249, 1986

      47 Jegadeesh, N., "Analyzing the Analysts: When Do Recommendations Add Value?" 59 : 1083-1124, 2004

      48 O’ Brien, P., "Analysts’Forecasts as Earnings Expectations" 10 : 53-83, 1988

      49 Ali, A., "Analysts’ Use of Information about Permanent and Transitory Earnings Components in Forecasting Annual EPS" 67 (67): 183-198, 1992

      50 Bandyopadhyay, S., "Analysts’ Use of Earnings Forecasts in Predicting Stock Returns: Forecast Horizon Effects" 11 : 429-445, 1995

      51 Gleason, C., "Analyst Forecast Revisions and Market Price Discovery" 78 (78): 193-225, 2003

      52 Barth, M., "Accruals, Cash Flows, and Equity Values" 4 (4): 205-229, 1999

      53 Frankel, R., "Accounting Valuation, Market Expectation, and CrossSectional Stock Returns" 25 : 283-319, 1998

      54 Abarbanell, J., "Abnormal Returns to a Fundamental Analysis Strategy" 73 : 19-45, 1998

      55 Block, S., "A Study of Financial Analysts:Practice and Theory" 55 : 86-95, 1999

      56 Kang, T., "A Comparison of Analysts’and Investors’Biases in Interpreting Accruals: A Valuation Approach" 22 (22): 382-422, 2007

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2022 평가예정 계속평가 신청대상 (등재유지)
      2017-01-01 평가 우수등재학술지 선정 (계속평가)
      2013-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2010-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2008-01-01 평가 등재 1차 FAIL (등재유지) KCI등재
      2006-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2004-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2001-07-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      1999-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 1.45 1.45 1.48
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      1.64 1.69 2.793 0.2
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