分析師對個股報酬中市場和規模成份的擇時能力

Are Analysts Timing Market and Size Components of Individual Security Returns in Making Investment Recommendations?

廖桂葶(Guei-Ting Liao)

指導教授 ： 林修葳

國立臺灣大學/管理學院/國際企業學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.00619

摘要

本文研究分析師的推薦報告是否具有市場風險及規模這兩個成分的專業能力，本研究主要貢獻為：(1)本文在分析師對個股、產業專業能力的研究基礎上，率先探討分析師對於總體市場環境變化的專業判斷能力，探討是否能在市場報酬與規模較小股票報酬變化中調整其推薦；(2)本文率先將個股報酬拆分成市場風險、規模成分以及其他剩餘價值，分別探討其與分析師推薦的關係。
本文的研究結果顯示，分析師推薦值整體上並不具備或至少未傳遞其擇時專業能力，並未根據市場報酬或小股報酬起伏，調整推薦的個股；進一步針對個股間系統性風險係數(Beta)值差異較大產業，發現分析師能夠根據市場報酬的大小，調整推薦名單中較大Beta值公司與較小Beta值公司比例，顯示在此類產業分析師在作推薦時，也納入關於個股報酬中可歸因於市場波動成份，確實意圖傳遞相關訊息。以後續月報酬衡量分析師推薦個股績效時，發現分析師推薦買進(賣出)期間個股存在正(負)超額報酬，並非來自對市場風險或不同規模報酬變化之掌握；最後僅觀察分析師推薦後五日之累積報酬率，去除分析師追逐消息發布的影響後發現，分析師並無預作估算(Proactive)專業，顯示其為追逐市場消息(Reactive)作推薦。

關鍵字

分析師 ； 推薦 ； 市場報酬 ； 規模報酬 ； 擇時能力

並列摘要

This paper analyzes whether analysts time market and size components of security returns in making their investment recommendations. The study contributes to the concurrent studies in that (1) there is few, if any, prior paper focuses on analysts’ expertise in macroeconomic changes on the basis of studies on security and industry expertise; (2) it deconstructs the components of individual security returns to market risk, size and residual returns and investigates the association between each component and analyst recommendations.
The empirical results reveal that analysts are generally not timing the market, indicating analysts do not adjust their recommendation portfolios based on changes in market returns or size premiums. There, nevertheless, exist significant differences among industries. Specifically, for the industries with large within-sector differences in company beta, analysts appear to adjust the proportion of large and/or small beta securities in their recommended lists according to the level of contemporary excess market returns. The result indicates that analysts aim to respond to changes in overall market returns. Moreover, this study examines monthly individual security returns accompanying and subsequent to recommendations. The result implies that analysts recommend to buy (sell) the securities with abnormal current return but does not support the notion that they foresee changes in market or size returns. Finally, we investigate five-day returns subsequent to analyst recommendations to discriminate against the competing explanation of analysts’ being reactive to market information, documenting that analysts behave reactively instead of being proactive to increases or decreases in general market prices.

並列關鍵字

Analyst ； Recommendation ； Market return ； Size return ； Market-timing

參考文獻

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