本論文主要研究的目在於瞭解報紙專欄推薦資訊對台灣股票價格之影響,並觀察不同產業股價之市場反應是否有差異。我們以經濟日報每週日刊登的「每週精選潛力股」專欄為例,取樣的時間從2004年1月到2005年10月間。實證結果發現報紙專欄推薦資訊的確對台灣股票價格產生影響,且經該專欄推薦的股票在刊登日前即有顯著正的異常報酬,其可能原因是由於該專欄傾向推薦刊登日之前表現良好之個股。而在推薦資訊公開後,投資人只能在事件日當日獲得異常報酬,之後正異常報酬便迅速消失,故台灣股市符合半強式效率市場假說。若持有至事件日之後,其損失將隨時間增加而增加,顯示事件日前股價表現有反應過度的現象。最後發現在刊登日附近,報紙專欄所推薦類股的產業別不同,其推薦效果亦會有所差異,其中又以電子類股的反應最為顯著。
The main purpose of this study is to examine if investors could exploit the information from the newspaper's security recommendation and if the stock prices from different industry segments react in the same degree to these recommendations. We employ the data from the ”Weekly Well-chosen & Potential Stocks” columns which appear in the Economic Daily News on every Sunday from January 1, 2004 to October 31, 2005. We observed that significant positive abnormal returns in the pre-event period possibly because firms recommended by newspaper tend to have performed quite well before the publication day and investor can earn abnormal returns only if they buy on the event day. However, the abnormal returns diminish quickly and last for only one day and if investors purchase the stock after the event day, the abnormal returns disappear and investors could even encounter losses. It thus displays some patterns of price overreaction. Finally, firms from various industry segments responded differently to these recommendations and the reactions from electronics industry are the most evident.