本研究主要目的是希望透過多因子模型之特性，解析出財務分析師針對S&P500指數成份股中，個別企業發佈之分析報告、目標價預測與分析建議中所隱含之資訊，爾後將其與Black and Litterman(1992)投資組合模型結合，實證測試是否對於傳統投資組合在實務應用上有著增值之效果?
本文使用量化資料分析師目標價預測與質化資料分析師建議實際資料，並考慮分析師預測不確定性，檢測對於此增值投資組合流程應用於實務之可行性。實證結果發現，不論是目標價預測與分析師建議，在此量化增值模式之最適化投資組合過程中，其增值效果有著明顯的績效表現以及顯著的實證結果支持此模式之績效能優於標的指數。

The main purpose of this study is to use the characteristics of the multi-factor model to decompose the implicit information in the analysts’ reports, target price forecasts and analysis recommendations issued by financial analysts for the components stocks of the S&P500 index stocks, and then combining them with Black-Litterman model (Black and Litterman,1992) to examine whether the quantitative process that employs a multi-factor model to determine the factors required for shaping forecasts is feasible.
This study uses quantitative data on analysts’ target price forecasts and qualitative data on analysts’ recommendations, and considers the uncertainty of analyst forecasts to demonstrate the feasibility of applying this enhanced portfolio process to practice. The empirical results find that whether the target price forecasts or analyst recommendations, included in the quantitative process of optimizing the enhanced portfolio, its enhanced effect has obvious performance and significant empirical results support that the performance of newly combined views of portfolio outperforms the benchmark returns.

論文審定書 ................................................................................................. i
誌 謝 ........................................................................................................ ii
中文摘要 ................................................................................................... iii
Abstract ..................................................................................................... iv
Table of Contents ....................................................................................... v
List of Tables ............................................................................................ vii
List of Figures .......................................................................................... viii
Chapter 1 Introduction ............................................................................. 1
1.1 Research Motivation and Objectives ............................................. 1
1.2 Contributions to the literature ............................................................. 5
1.3 Structure of the thesis ........................................................................ 5
Chapter 2 Literature Review .................................................................... 7
2.1 Analyst target price forecasts and recommendations ............................... 7
2.2 Multi factor model and Relation with Analyst forecast ............................. 9
2.2.1 The Multi factor model ................................................................ 9
2.2.2 Relation between Analyst Forecasts and Multi-Factor Model ............ 11
2.3 Black-Litterman model ..................................................................... 13
Chapter 3 Data and Methodology ........................................................... 16
3.1 Data Sources ..................................................................................... 16
3.1.1 Analyst forecast data – Price Target .............................................. 16
3.1.2 Analyst forecast data – Recommendation ...................................... 18
3.1.3 Accounting data on Multi-factor model ......................................... 18
3.2 Methodology and Model Construction ................................................... 22
3.2.1Implied expected return on Target price and analyst Recommendation .22
3.2.2 The Multi-Factor Model ............................................................. 25
3.2.3 The original Black-Litterman model ............................................. 27
3.2.4 Implementing the steps of quantitative approach ............................. 35
Chapter 4 Application of the Model and Empirical result ................... 38
4.1 Empirical evidence of Price Target of S&P500 .................................... 38
4.2 Empirical evidence of Analyst Recommendation of S&P500 ..................... 44
Chapter 5 Conclusions and suggestions …............................................. 51
5.1 Conclusions ....................................................................................... 51
5.2 Further Suggestions ............................................................................ 54
References .................................................................................................. 56

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