주가동조화현상과 재무분석가의 목표주가

초록

This study investigates how the level of stock return synchronicity affects the financial analyst's ability to predict the target price. High stock return synchronicity means that the stock price of an individual company sufficiently reflects the information about the company to approximate the company's fundamental value and is less likely to deviate from it (Pontiff 2006). Accordingly, we posit that the level of stock return synchronicity of a firm is positively associated with the analysts’ target price forecasting ability. To test our hypotheses, we adopt the R2 measure used in the study of Roll (1988) and Piotroski and Roulstone (2004) to gauge the degree of stock return synchronicity of individual firms. As our financial analyst's forecasting ability measures, we use financial analyst's target price prediction accuracy (TPAFE) and target price achievement (TPMETEND, TPMETANY). We find that the higher the level of stock return synchronicity, the more accurate the financial analyst's target price predictions, and the frequency at which the actual stock price reaches the target price forecast anytime during or at the end of the year increases. After controlling for earnings volatility, information asymmetry, company size, and the number of financial analysts, our results corroborate the results above. The results of our study indicate that the higher the stock return synchronicity, that is, the higher the degree to which individual company information is reflected in the stock price, the higher the information efficiency of the firm, which positively influences the target price forecasting ability of the financial analysts.

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