재무분석가 제공정보의 상호관련성 및 미래주가 예측력에 관한 연구

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.