애널리스트의 이익추정과 행동재무학적 휴리스틱

Abstract

In stock market, financial consumers have limited information about investment options and lack sophistications for proper investment decision. Therefore, many financial consumers rely on analysts' forecasts on earnings of prospective companies. Analysts take major roles in stock market by gathering and analyzing information about prospective companies and provide evaluation and recommendations for trades to financial consumers. Analysts also can help alleviate information asymmetry between financial consumers and companies and play the role of watchdogs for companies' management on fairness in the market. In this regards, analysts struggle to provide accurate evaluations about companies’ prospects. In Korean stock market, individual financial consumers take major portion in the trading thus, analysts’ evaluation quality is very important. There has been array of research on evaluations about analysts’ forecasts in finance and behavioral finance literature. Much research has tried to identify whether analysts underreact or overreact on information. However, most of the previous research focused on limited numbers of behavioral biases on analysts' forecast. In this research a more comprehensive examination on behavioral heuristics was explored. This study replicates Amir and Ganzach(1998) and Marsden et al.(2008) study on analysts' forecasts bias using Korean stock market data. Four hypotheses were developed based on previous studies on analysts' overreation and underreaction in stock market forecasts. Specific behavioral heuristics that influence analysts' forecasts include leniency, representativeness, anchoring and adjustment, and time-dependent preferences. Leniency will influence analysts overreaction on forecasts; anchoring and adjustment will produce more sensitive reactions to analysts' own forecasts in previous months than previous year's actual earnings; representativeness and anchoring and adjustments will lead analysts' overreation in forecast changes and underreation in forecast revisions; and time-dependent preferences will lead to increasing forecast errors with forecast horizon. To test analysts' behavioral bias, Korean stock market data between January 2000 and December 2010 from FnGuide were analyzed. Results showed that Korean analysts also showed leniency bias by optimistically forecast earnings and this result supports hypothesis 1. In fact, Korean analysts showed stronger leniency bias than US and other developed countries' analysts. Financial consumers need to keep this in mind when they make investment decision based on analysts' recommendations. In general, many of the analysts’ reports focused on ‘buy’ recommendation for most of the companies that the analysts examined. Individual financial consumers may need to avoid relying heavily on analysts' ‘buy’ recommendations. Instead, individual financial consumers need to gather broader information and seek professional unbiased help on investment decision. Korean analysts also showed anchoring and adjustment bias by reacting sensitively to analysts' own forecasts in previous months than previous year's actual earnings. This result supports hypothesis 2. The anchoring and adjustment bias suggests that analysts' own forecasts from previous months influence future forecasts and the magnitude could be very strong, therefore other new and key information may not be incorporated in the analyses effectively. Financial consumers need to broaden their scope of using analysts' forecasts by expanding the number of analysts' reports that they review. Partial support on representativeness bias was found (partial support for hypothesis 3). Korean analysts have not shown consistent tendency on overreaction to the positive news, however, they showed underreation to the bad news. This finding also provides significant implications for financial consumers. If analysts underreacted to the bad news and failed to properly adjust their forecasts, this could be biased investment information to financial consumers. Individual investors may fail to react market changes in timely manner if they solely relied on analysts' forecasts. Time-dependent preferences were shown in certain periods only (partial support for hypothesis 4). This finding may suggest that Korean analysts could have inconsistent time preferences. Or the reason of partial support for hypothesis 4 could be the possibility of over-optimistic evaluation of quarterly reports by analysts. Even though Korean analysts may not show time-dependent preferences in a systematic way, financial consumers need to understand that there are more than one behavioral heuristic that can lead biased forecasts by analysts.This research has several implications for financial consumers, practitioners, and future research. First, this research expanded previous literature on analysts' earning forecast bias by incorporating several behavioral heuristic. By examining more than single behavioral bias this research provided possibilities of expanding research scope and provide alternative explanation on financial market participants decision making. The findings also included practical information on analysts' forecast evaluation for financial consumers. Second, the fact that Korean analysts' leniency is stronger than other developed countries' suggests the need for financial consumer education on information search. Financial analysts' efforts on forecasts' quality improvement is also required. Third, financial consumers can use the findings of this research for better investment decision. They need to be careful on utilizing ‘buy’ recommendations from analysts. Overall, they need to understand the general limitations on forecasts' reports. Further studies based on behavioral finance theories in stock market decision making are recommended. Especially future research needs to consider the economy and market trends in the analyses.