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標題: 分析師提供資訊有效性之實證分析
An Empirical Study on Information Reputation and Performance among Security Analysts
作者: 丁介甫
Ding, Jeff
關鍵字: Investment consulting corporation
Market Model
出版社: 應用經濟學研究所
摘要: 本研究主要在探討投資顧問公司提供資訊之有效性,並進一步分析個別分析師資訊有效性、不同分析師資訊差異性與不同會費等級間績效差異性。本研究蒐集國內一家具規模投資顧問公司旗下三位分析師在2004年4月1日至2004年5月31日每個交易日個別提供給會員之傳真資料共773筆推薦資訊進行分析,運用市場模式(Market Model)推估預期報酬率計算出事件期前三日到後十日的異常報酬率(AR)與累計異常報酬率(CAR)並加以檢定,再針對研究主題加以分析。經過本文實證分析,主要研究結果如下: 1、 投顧整體資訊驗證結果顯示,在推薦後異常報酬率在事件日後各期表現均不顯著為正,故在本研究統計分析上並不支持推薦資訊報酬率勝過大盤報酬率之假設。 2、 個別分析師資料分別驗證並比較結果出現極大差異性,且個別分析師聯合F檢定結果亦呈現顯著差異,顯示使用相同公司研究資源之不同分析師因操作習慣與選股方式的不同,報酬率表現亦出現極大差異性。 3、 不同等級會員資料成對T檢定結果顯示,收取不同會費之不同等級會員報酬率各分析資料均無顯著差異,顯示投資人參加較高等級會員付出較高會費並不會帶來較高報酬,分析師績效強者恆強不因會員等級不同有所改變,投資人應以選擇分析師為重。
This study measures the effectiveness of common stock investing recommendations, suggested by certain Investment Consulting Corporation, by testing if the performances of the following three different conditions are equal statistically: the payment patterns, the magnitudes of performance, and the different memberships. During April and May of 2004, total 773 recommendations made by 3 individual analysts in some investment consulting corporation were adopted in this article. Market Model is adopted to evaluate the abnormal returns (ARs) and the cumulative abnormal returns (CARs) from these recommended portfolios. Three major conclusions are: 1. Statistic results show that ARs and CARs of the given recommended portfolios are not significantly positive after the event-date. The hypothesis that the securities that recommended by the given analysts outperform the Taiwan stock index during analytical period do not support by statistical results in this study. 2. Performance difference exists significantly among individual analysts by using F test. This implies that even three analysts use the same informative support services given by the corporation, the gaps of performance among the recommendations from different experts can be found because of their particular stock selections and specific habitual operation patterns. 3. The relationship between membership expenses and extra returns are not significantly supported by statistical results during these two months. Investors who pay the high membership fee are not necessary get high return from the recommendation. Thus, the effectiveness of recommendation information is not consistent with the level of memberships. To ensure the higher returns from investment, investors need to choose analyst(s) first.
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