券商推薦股票評等報告之績效分析

Performance of Analyst Stock Recommendation

林靖庭(Ching-Ting Lin) ； 張清發(Ching-Fa Chang) ； 陳威光(Wei-Kuang Chen)

《風險管理學報》 19卷2期 (2017/12) Pp. 116-140

摘要

本文探討投資者是否可根據券商對股票的評等推薦獲利。結果發現，評等高的投資組合有正超額報酬，而評等低的投資組合有顯著的負超額報酬。進一步將推薦報告來源分成本土或外資券商，若根據本土券商發佈的報告買賣股票，可獲得比外資券商的推薦更高的報酬。當新的資訊出現，愈早進場的投資者延遲成本愈低，可享受較高的報酬。

關鍵字

券商推薦 ； 券商評等 ； 市場效率 ； 超額報酬 ； 價格漂移

並列摘要

This paper investigates whether investors can make profits from security analyst recommendations. This paper constructs portfolios based on the strength of recommendation and shows that there exists positive abnormal return of the most favorable portfolios, while portfolios with the least favorable consensus recommendations yield significantly negative abnormal return. Recommendation from local analysts has higher abnormal return than those reported by foreign analysts. Less delayed investments enjoy higher price drifts with lower delayed costs after recommendation release which leads to higher abnormal return.

並列關鍵字

Analyst recommendations ； Recommendation strength ； Abnormal return ； Efficient Market ； Price drift

參考文獻

池祥萱、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。1(3)，27-45。

黃旭輝、許惠婷(2006)。券商的推薦股票可以實際獲利嗎？。證券市場發展季刊。18(2)，79-115。

Agrawal, A.,Chen, M.A.(2012).Analyst Conflicts and Research Quality.The Quarterly Journal of Finance.2,179-218.

Bacmann, J. F. and Bolliger, G., 2006, Who are the Best? Local versus Foreign Analysts on the Latin American Stock Markets, Working Paper, University of Neuchatel.

Bae, K. H., Stulz, R. M., and Tan, H., 2006, Do Local Analysts Know More? A Cross-Country Sudy of the Performance of Local Analysts and Foreign Analysts, Working Paper, Ohio State University.