市場模糊與投資人對於證券商推薦評等從眾行為的反應

Market Ambiguity and Investors' Reaction to Herding among Analysts' Recommendations

林美珍(Mei-Chen Lin) ； 楊儀專(Yi-Chuan Yang) ； 胡家康(Chia-Kang Hu)

《證券市場發展季刊》 31卷3期 (2019/09) Pp. 35-78

https://doi.org/10.6529/RSFM.201909_31(3).0002

摘要

本研究實證結果顯示市場模糊程度影響投資人對於證券商從眾行為的反應。市場極端模糊之際，投資人會反應證券商發布投資推薦的從眾行為。市場模糊對投資人反應從眾行為的影響會因為降評而有所不同，市場中度模糊之際，投資人會反應證券商發布降等的投資推薦所存在的從眾行為。市場極端模糊之際，市場也會反應證券商對小型股和成長股發布推薦評等存在的從眾現象，亦會反應頻繁修正投資推薦的證券商的從眾行為。然而，規模較大的證券商無論市場模糊程度為何，投資人皆會反應其從眾行為。在多頭時期，無論市場模糊程度為何，投資人沒有明顯的反應分析師的從眾行為；但是在空頭時期，只有當市場處於中、高度模糊之際，投資人才會反應分析師的從眾行為。

關鍵字

市場模糊 ； 從眾行為 ； 推薦評等

並列摘要

The study finds that ambiguity is associated with the market reaction to the herding behavior among analysts in Taiwan security market. Overall, investors observe analysts' herding behavior under extremely high ambiguity. When downgrading, the relation between herding among analysts and market reaction occurs under moderate ambiguity. In addition, under extremely high ambiguity, the market reaction to herding among analysts is more pronounced for small and growth firms; investors have stronger response to the herding of analysts who frequently change their recommendations. Irrespective of ambiguity, investors can observe the herding of analysts who belong to a larger broker. The reaction to analysts' herding is also stronger upon moderate and high ambiguity in periods of the bear market.

並列關鍵字

Ambiguity ； Herding ； Stock recommendations

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