證券商股票推薦評等之利益衝突及其影響－本國券商與外資券商之比較

Comparing the Conflicts of Interest in Stock Recommendations of Domestic and Foreign Security Firms

池祥萱(Hsiang-Hsuan Chih) ； 沈中華(Chung-Hua Shen)

《證券市場發展季刊》 22卷1期 (2010/04) Pp. 105-137

摘要

本文比較證券商經紀部門與自營部門之間的利益衝突，並同時比較本國券商和外資券商的利益衝突；過去的文獻大都是研究證券商經紀部門與承銷部門之間的利益衝突，且局限討論本國券商的利益衝突。本文定義的「利益衝突」如下：（1）如果證券商推薦買進（賣出）前而自己先行買進（賣出），（2）推薦買進（賣出）後而自己卻賣出（買進），（3）推薦升級（降級）前自己先買進（賣出），（4）推薦升級（降級）後自己卻賣出（買進）。我們的結果發現，本國券商和外資券商的推薦都可能「有利益衝突」的情況。特別是當下列情況：第一，在本國券商在推薦賣出之前，以及推薦強力買進之後。第二，在外資券商在推薦買進之前。第三，不論是推薦升級或是降級報告，在推薦前兩種券商皆會先進場佈局，呈現「有利益衝突」的情況。除此之外，本國券商可以藉由筆數最多的評等5和評等3的推薦報告，因利益衝突而獲取超額報酬，至於外資券商可以藉由公佈推薦買進以及升級的報告，因利益衝突而獲取超額報酬。

關鍵字

股票推薦 ； 利益衝突 ； 本國券商 ； 外資券商

並列摘要

This paper studies ＂the conflict of interest＂ between proprietary trading and brokerage divisions of domestic and foreign securities firms in Taiwan. Our paper differs from the past papers in two aspects, earlier studies typically investigate ＂the conflict of interest＂ between underwriting and brokerage divisions and focus more on domestic security firms. The ＂conflict of interest＂ is defined as follows. First, if a security firms issues a buy (sell) recommendation but buys (sells) in advance; Next, if a security firms issues a buy (sell) recommendation but sells (buys) actually; Third, if a security firms issues a upgrade (downgrade) recommendation but buys (sells) in advance; Fourth, if a security firms issues a upgrade (downgrade) recommendation but sells (buys) actually. Our results show that ＂the conflict of interest＂ does exist for both domestic and foreign security houses. It exists under the following conditions: first, when domestic security firms issue sell and strong buy recommendations; second, when foreign security firms issue buy recommendations; third, when domestic and foreign security firms both buy (sell) in advance before issuing upgrade (downgrade) recommendations. In addition to the above three results, we also find that domestic security firms can make abnormal returns via ＂the conflict of interest＂ by issuing strong buy and hold recommendations and foreign security firms can make abnormal returns via issuing buy and upgrade recommendations.

並列關鍵字

stock recommendation ； conflict of interest ； domestic security firms ； foreign security firms

參考文獻

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