網際網路股票推薦資訊之實證研究-以「群益證券」及「建華證券」為例

The information Effect of recommendation on internet-the empirical study of CAPITAL and SINOPAC.

徐順輝(Shun-Huei Syu)

指導教授 ： 徐靖志

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00958

摘要

台灣股票市場中散戶占了將近85%的比重，一般而言，散戶不像投信、外資、自營商擁有專業知識，也無法快速取得攸關訊息，因此各報章雜誌紛紛刊出投資建議專欄。目前市面上所謂的專業股票周刊或報紙專欄五花八門、琳瑯滿目，由於各刊物的定位、區隔、與專業層次各有不同，在資訊流動、資訊互動、資訊回饋等方面，都有各自的型態特色。

本論文主要研究目的為：一、投資人是否可藉由網際網路公開推薦之股票獲得異常報酬。二、依推薦股票之產業分組，以瞭解不同產業間股價的反應程度是否具有差異。本研究採用Brown and Warner (1980) 所提出之事件研究法並利用市場模式估計異常報酬率，選取建華證券與群益證券推薦『目標價』之股票，民國92年9月1日至民國94年9月30日為研究期間，共包含1099個有效樣本。實證結果發現：（一）該證券推薦標的，多在事件日前即有顯著異常報酬，其可能原因是由於該券商傾向推薦事件日前表現良好之個股。（二）推薦資訊公開後，投資人無法在事件日當日獲得顯著異常報酬，且若持有至事件日之後，其報酬將隨時間增加而減少，顯示事件日前股價表現有反應過度的現象。（三）在事件日附近，網際網路所推薦類股的產業別不同，其推薦效果亦會有所差異。

關鍵字

超額報酬 ； 股票推薦 ； 事件分析

並列摘要

In Taiwan Stock Exchange Market are 85% individual investors, who lack of professional investment experience as institutional investors. This may account for the prosperity of the public recommended information from various newspapers and magazines of professional analysts.

We use the event study method employed by Brown and Warner (1980) and the market model to estimate the abnormal returns and the study attempts to comparison between two CAPITAL and SINOPAC that have different reader for investment professional situation.

The study period is from September 2003 to September 30, 2005 and the research sample comprises 1099 observations.
The empirical results are as follows:
1. We have observed significant abnormal returns in the pre- event period possibly because firms recommended by
information from internet tend to have performed quite
well before the publication day.
2. Investor can not earn abnormal returns if they buy on
the event day.
However, the abnormal returns vanish quickly after event
day.
When hold it more time, will get fewer abnormal returns
after event day.
It displays some patterns of overreaction.
3. Firms from various industry segments respond differently
to these recommendations.

並列關鍵字

Abnormal Return ； Stock Recommendations ； Event Study

參考文獻

Grossman, Sanford J. and Joseph E. Stiglitz, (1980), “On the Impossibility of Informationally Efficient Markets”, American Economic Review, Vol. 70, pp. 393-408.

第39-61 頁。（1999）

Albert, Robert L. Jr. and Timothy R. Smaby, (1996), “Market Response to Analyst Recommendations in the ‘Dartboard’ Column: The Information and Price- pressure Effects”, Review of Financial Economics, Vol. 5, pp. 59-74.

Ball, Ray and Phillip Brown, (1968), ”An Empirical Evaluation of Accounting Income Numbers.”, Journal of Accounting Research, Vol. 6, pp. 159-178.

Beaver, H. W., (1968), “ The Information Content of Annual Earnings Announcement”, Journal of Accounting Research, Vol.6, pp. 67-92.