本論文以分析師盈餘預測酒醒效應為主題，由兩篇研究所組成。第一篇研究假設分析師會有群體的盈餘共識預測並引用Sweeny and Krizan (2013)在心理學上的酒醒效應說明分析師盈餘預測與實際盈餘不一致的預測偏差，辨識分析師不同時間點的盈餘預測品質。使用2000年至2017年台灣證券交易所及櫃檯買賣中心上市上櫃公司，我們發現盈餘預測存在酒醒效應，即分析師預測初期盈餘預測容易出現樂觀預期；愈靠近盈餘宣告日，分析師的預測即會向下調整至真實盈餘值。另外考量盈餘預測是否因分析師對被預測公司熟悉度以及市場情緒所影響。實證發現當分析師對被預測公司不熟悉及熊市時期，其盈餘預測酒醒效應更為顯著。

延續第一篇研究，第二篇研究是否投資人可透過分析師盈餘預測酒醒效應所造成的偏誤行為形成可獲利的交易策略？使用2000年1月至2021年12月在台灣證券交易所及櫃檯買賣中心上市上櫃之股票資料，實證顯示分析師盈餘預測的酒醒效應程度愈大未來長期異常報酬愈小，呈負向關係。另外，發現分析師熟悉度高且盈餘預測酒醒效應程度較小的投資組合每月異常報酬大於分析師熟悉度低且盈餘預測酒醒效應程度較大。在牛市時期，酒醒效應程度愈小投資組合每月異常報酬高於酒醒效應程度愈大。三種實證交易策略長期上(5年)皆可獲得顯著報酬，其中在牛市時期買進酒醒效應程度較小的投資組合，同時放空酒醒效應程度較大的投資組合的交易策略可獲得每月異常報酬為最高。

The dissertation contains two essays on the effect of sobering-up on analysts’ earnings forecast. In the first chapter, hypothesizing analysts’ consensus forecasts and following sobering up of Sweeny and Krizan (2013) in psychology explains the forecast bias between the forecasted earnings per share and the actual of earnings and can identify the extent of the earnings forecast quality at different time points. Using companies listed and traded on the Taiwan Stock Exchange and the Taipei Exchange between January 2000 and December 2017, our findings provide evidence for the existence of sobering up effect on sell-side analysts’ earnings forecasts. That is, analysts become less optimistic as the release dates of actual earnings get closer. In addition, we examine whether earnings forecast quality is influenced by analysts’ familiarity and market sentiment. The empirical evidence finding show that the sobering-up effect is larger for the forecasted companies that analysts are less familiar with and becomes stronger in bear markets.

Continuing the first chapter, the second chapter of dissertation investigates whether investors benefit from building a trading strategy by using the forecast bias of analysts’ forecast earnings on sobering up effect. Using companies listed and traded on the Taiwan Stock Exchange and the Taipei Exchange between January 2000 and December 2021, the empirical results show negative relation that the greater the magnitude of analysts’ strength of sobering up, the lower the long-term stock abnormal returns. Moreover, the empirical results indicate the monthly abnormal returns for the greater the magnitude of analysts’ strength of sobering up with those firms that analysts have less familiarity is higher than the smaller the magnitude of analysts’ strength of sobering up with those firms that analysts have more familiarity. Meanwhile, during the bullish period, we find that the monthly abnormal returns for stocks with small magnitude of sobering-up effect are much higher than those for stocks with the large magnitude of sobering-up effect. Those three trading strategies can generate a significant positive long-term (5-year) stock abnormal return. Especially in the bullish period, short large magnitude of sobering-up effect and long small magnitude of sobering-up effect can generate a significant positive long-term stock abnormal return, which is superior to the sobering-up trading strategy as well as the sobering-up plus familiarity trading strategy.

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