Application to time-series model of stock returns and risk based on analysts' forecast

本研究探讨股票报酬率/风险与分析师盈馀预测/评等/目标价之间的关系。首先，我们分析了盈利预测的准确性和分析师预测的差异性以及分析师的覆盖率。此外，我们还采用事件研究法考察了分析师评级的公告效应。我们考察了投资者的主观预期对已实现收益的影响，并将目标价格的变化应用到时间序列模型中。

This research investigated the relationship between stock returns/risk and analysts' earnings forecast/rating/target price. First of all, we analyzed accuracy of earnings forecast and discrepancy of analysts' forecast and number of analysts' coverage. Moreover we investigated about the announcement effect of analysts' ratings by the event study approach. We have examined the effect of subjective expectations of investors on the realized return and applied the variation of target price to the time series model.