Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/92381
標題: 券商投資評等的資訊內涵 – 以台灣市場為例
Information Content of Investment Ratings by Securities Dealers - An Example of the Taiwan Market
作者: Tseng Chen
曾誠
關鍵字: 異常報酬
投資評等
資訊內涵
abnormal return
investment ratings
information content
引用: 池祥萱與蕭君怡(2005),《券商投資評等報告的資訊內涵-本國券商與外資券商的比較》,金融風險管理季刊,民94,第一卷,第三期,27-45 沈中華與李建然(2000),《事件研究法》,台北:華泰文化事業股份有限公司。 盧志昌(1999),「證券投顧公司投資組合競賽傳達訊息之研究」,國立中正大學財務金融所未出版碩士論文。 劉士豪(2001),「報紙推薦資訊對股價行為影響之研究」,國立台灣科技大學企業管理研究所碩士論文 劉貞芸(2004),「報紙推薦資訊之實證研究-以經濟日報「每週精選潛力股」專欄為例」,私立淡江大學財務金融研究所未出版碩士論文。 葉彥廷(2013),券商報告之資訊內涵與外資投資行為對股價報酬之影響,國立政治大學財務管理研究所未出版碩士論文。 李思漢、陳達新(?) '外資券商投資評等宣告對股價影響之研究' 國立台北大學企業管理研究所未出版碩士論文。 陳一如(2008) '代表性偏誤影響分析師推薦行為之探討' 2008 年2 月第十一卷一期 • Vol. 11, No. 1 邱紹卿(2005) '外資投資評等的資訊內涵' 國立中興大學財務金融研究所未出版碩士論文。 Barber, B., R. Lehavy, M. McNichols, and B. Trueman (2001),'Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns,'Journal of Finance, 56,531-563. Bauman, W. S., Datta, S., &Iskandar-Datta, M. E. (1995). Investment analyst recommendations: A test of 'The Announcement Effect' and the valuable information effect. Journal of Business Finance and Accounting, 22(5), 659-670. Bjerring, Lakonishok and Vermaelen ( 1983 ),' Stock Prices and Financial Analysts' Recommendations', The Journal of Financial, Vol.38 issue 1 pages 187-204 Brown J. and B. Warner,(1985), 'Using Daily Stock Returns-The Case of Event Studies,' Journal of Financial Economics, Vol.14, p.9-13 Chan, S. Y., & Fong, W. M. (1996). Reactions of the Hong Kong stock market to the publication of second-hand analysts' recommendation information. Journal of Business Finance and Accounting, 23(8), 1121-1139. Fama, Fisher Jensen and Roll (1969), 'The Adjustment of Stock Prices to New Information,' International Economic Review Vol. 10, February 1969 Liu, Smith and Syed (1990),' Stock Price Reactions to The Wall Street Journal's Securities Recommendations' The Journal of Financial and Quantitative Analysis Vol. 25,No.3 ,pp.399-410 Womack, K. L. (1996),'Do Brokerage Analysts'Recommendations Have Investment Value?'Journal of Finance, 51, 137-167 Huth, W. L., and B. A. Maris (1992),'Large and Small Firm Stock Price Response to Heard on the Street Recommendations, 'Journal of Accounting, Auditing and Finance, 7, 27-47. Palmon, O., Sun, H. L., & Tang, A. P. (1994). The impact of publication of analysts' recommendations on returns and trading volume. The Financial Review, 29(3), 395-417. Sant, R., &Zaman, M. A. (1996). Market reaction to Business Week Inside Wall Street column: A self-fulfilling prophecy. Journal of Banking and Finance,20(4), 617-643.
摘要: 本文主要探討以台灣股票市場券商評估報告的發佈日,建議投資人買進或賣出是否存在異常報酬。利用事件分析法分析,從中計算出在券商發佈研究報告中是否有異常報酬率的存在,同時顯示出券商報告在給予投資人資訊上皆露是否具有完全性,或是有隱含資訊讓投資人可以在券商發布之前從中賺取報酬。全文資料組距時間從2010年至2015年止,年期5年,資料範圍為台灣689家上市櫃公司,分類為傳統產業與電子產業,藉此了解產業的區分不同是否有影響。其次,我們研究券商發佈評價報告中升評與降評兩大類,目的是為瞭解不同評等是否存在異常報酬。 本研究採用16063篇研究報告,進行實證分析,發現升評報告比降評報告在事件期間發生異常報酬為顯著,本文也進一步分析,比較台灣傳統產業與電子產業之異常報酬。
This paper examines the information content of the investment ratings by security firms. By investigating the statistical relation between security firms' rating announcements and abnormal stock return. We use Taiwan stock market as example and attempts to find out any relations between the upgrade ratings, downgrade ratings and individual security firms. This paper uses event study and market model analysis to calculate abnormal return of different ratings by brokerage research reports. The data samples for this paper consist 689 Taiwan public traded companies which include traditional companies and electronics companies. This paper uses about 16063 brokers' research reports collected by Taiwan Economic Journal Database (TEJ+). Either upgrade or downgrade ratings, our findings show that average abnormal return (AAR) between -1 to 1 day is statistical significant. Regarding the industry sectors, electronics companies have better average abnormal return than traditional companies. Finally, we check the different between target prices and actual stock prices of investment reports to understand brokers' prediction accuracy when it's aforesaid rating.
URI: http://hdl.handle.net/11455/92381
其他識別: U0005-0308201514065400
文章公開時間: 10000-01-01
Appears in Collections:財務金融學系所

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