在台外資分析師股票推薦準確度的實證研究

An Empirical Analysis on the Extent of Accuracy of Stock Recommendation by QFII Sell-side Analysts in Taiwan

程正樺(Cheng-Hua Cheng)

指導教授 ： 李吉仁

國立臺灣大學/管理學院/臺大－復旦EMBA境外專班/碩士(2019年)

https://doi.org/10.6342/NTU201900763

摘要

股票市場上，外資圈的分析師對於個股的建議具有一定的影響力。由於分析師在推薦股票的過程中，會面臨許多外部的壓力而有失去理性判斷的可能性，因而進一步影響到分析的可信度。因此，分析師的推薦看法是否真的準確可信，是個有趣而值得深入探究的議題。本研究希望透過對台灣的外資分析師操作策略的報酬與投資建議準確度的實證分析，來驗證外資證券分析師的股票投資建議是否值得信賴。
我們透過分析2001年到2017年台灣市值前六十大上市公司與市值前十大上櫃公司的資料，發現外資分析師的投資建議策略績效沒有比個股本身的表現還要好；同時，我們也發現分析師並沒有具備判斷股價高低點準確調整投資評等的能力。進一步的研究發現，在不同產業間，分析師的準確度並沒有顯著的差異，僅能區別出一些明星分析師看股票的準確度是優於其他分析師的現象。
綜合本研究結果顯示，分析師對股價推薦的判斷是不夠準確的；由於分析師在推薦股票時考慮的因素不只有股價本身，還包括了與上市公司的關係維持、是否與市場共識相同等等因素，這些因素對分析師的建議可能存在不可忽略的影響力，這也是後續研究可以深入探討的方向。除此之外，由於本研究樣本僅止於台股市值前六十大的公司，未來類似研究若可延伸至中國股票市場或美國股票市場，可以針對此一議題取得更為嚴謹的研究推論結果。

關鍵字

外資分析師 ； 投資建議報告 ； 股價高低點判斷

並列摘要

QFII security analysts exert a significant influence on the investment behavior of the stock market. However, whether the analyst's investment suggestions is sufficiently accurate to predict stock price is a question that is worthy for an in-depth exploration and discussion. Due to external pressures analysts faced, they may make mistake and reduce their credibility of the analysis. Therefore, it would be interesting if we can undertake an ex-post performance validation based on the security analysts’ investment report and see if their investment guidance is trustworthy through an analytical angle.
Based on the stock information of the 60 largest listed companies of Taiwan Stock Exchange Market and 10 largest companies of the Over-the-counter Market from 2001 to 2017, our research found that the investment performance based on QFII security analyst’s suggestions is not better than that of individual stocks. Moreover, analysts don’t make correct adjustments of the investment rating at the right time. Furthermore, the above mentioned results maintain across industries, except for some star analysts whose suggestion accuracy is better than their peers. Overall, our study shows that the analyst's investment suggestions are not accurate since there may be too many external factors that would induce analysts to make irrational and even inaccurate investment advices.
Of course, there are limitations due to data coverage and longevity, which may affect the extent of validity of research results. Future research may include comparable data in China or USA stock markets to validate this important hypothesis. Implications based on the current results are also discussed.

並列關鍵字

QFII Analyst ； Investment Recommendation ； Analysis on Stock Price

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