재무분석가의 분석기업 결정과 예측특성에 영향을 미치는 요인 = Factors Associated with Analyst Following and Forecast Characteristics

다국어 초록 (Multilingual Abstract)

This study compares the forecast accuracy of analysts and random walk model forecasts. Previous studies find that analysts do not forecast more accurately than the random walk model when controlling the forecast timing advantage for analysts. However, most studies didn`t use earnings forecasts published in analysts` individual firm reports. Therefore, we re-examine the forecast ability of analysts using earnings forecasts in individual firm reports. Also, we investigate what factors are related to analyst following of firms and how these factors are related to the characteristics of analysts` earnings forecasts. It would be useful for investors to know the relation between the characteristics of forecasts and factors associated with analyst following. Using earnings forecasts in individual firm reports published during 2000 and 2001, we find that analysts` forecasts are more optimistic and more accurate than forecasts by the random walk model. This result does not change even after controlling timing advantage for analysts. Also, firm size, business group affiliation, return - variability, equity holdings by foreign investors, profitability, and leverage are associated with analyst following. Further, firm size, business group affiliation and leverage are significantly related to forecast accuracy.