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Analysts’ Return Expectations 分析師預期報酬 Consider the security analysts whose job it is to forecast future earnings and target prices for stocks. 考慮分析師的安全工作是在預測股票未來收益和 目標價格 Like executives, analysts’ expectations of future stock returns (implied by the target prices they establish) appear to be related to beta, size, and book-to-market equity. 像經理一樣，分析師預期未來股票報酬(他們建立含 蓄的目標價格)似乎對風險、大小和股價淨值比有關 聯。 Do analysts perceive the relationship between risk and return differently from executives? The answer is yes, they do. 分析師是否察覺風險和報酬之間的關聯與經理不 同?答案是肯定的，他們這麼覺得。 The data used to answer the last question come from two sources, First Call and Value Line. 此數據用來回答最後一個問題，來自兩個消息來 源First Call和Value Line。 The firm First Call Corporation collects the daily commentary, earnings forecasts, target prices, and stock recommendations of security analysts, portfolio strategists, and economists at major U.S. and international brokerage firms. Data pertaining to analysts’ one-year return expectations for the study discussed here come from First Call and were collected between November 1996 and December 2001. 該公司First Call股份(有限)公司收集每日的評論、預期獲 利、目標價格、股市在主要的美國和國際券商的證券分 析師，投資組合戰略家，經濟學家的建議。這裡研究資 料討論有關分析師一年預期報酬來自First Call公司收集 1996年11月和2001年12月之間。 Data pertaining to analysts’ three-year return expectations were based on The value Line Investment Survey. 資料有關分析師三年預期報酬基礎在 價值線投資調查。 What do these data tell us? Unlike executives, analysts expect high-beta stocks to earn higher returns than low-beta stocks. That is, analysts treat the relationship between beta and expected return as being positive. 這些數據告訴我們什麼?和經理不同，分析師預 期高風險股票比低風險股票賺取更高報酬。也就 是說，分析師看待風險和預期報酬之間的關係。 The scatter plot in Exhibit 4.3 is the counterpart to the plot displayed in Exhibit 4.2, with one exception: The responses in Exhibit 4.3 are from analysts who cover the technology sector containing the stocks in question. 圖表4.3散佈圖相當於圖表4.2散佈圖，但有一例外: 此反應在圖表4.3來自分析師涵蓋技術部門包含有 問題的股票。 Notice that these analysts generally perceive the relationship between expected return and beta to be positive. 注意的是分析師普遍認為預期報酬和風險之間的關 係是正向的。 Holding beta constant, analysts also expect smaller-capitalization stocks to earn higher returns than larger-capitalization stocks. In contrast, executives rate large-capitalization stocks higher than small-capitalization stocks in terms of long-term investment value. 保持高險不變，分析師也預期小資本化股票比大資 本化股票賺取更高報酬。相比之下，經理認為大資 本化股票比小資本化股票期間是長期投資價值。 What about book-to-market equity? On this dimension, the evidence on one-year expectations actually suggests that analysts behave like executives. 什麼是淨值市價比?在這範圍內，此證據1年內預期 實際建議分析師行為像經理一樣。 Analysts expect growth stocks to earn higher returns than value stocks, or at best to perform about as well. 分析師預期成長型股票比價值型股票，可以賺取 較高的報酬或更易執行 In this respect, analysts’ return expectations are the mirror opposite of the historical pattern for realized return. 在這方面，分析師預期報酬是反應對立的歷史形 態的實際報酬。