券商投資建議之升降級對股價報酬率之影響

本研究旨在探討券商投資建議改變對股價報酬率之影響，將建議報告依照訊息改變方向分為升級和降級後，使用事件研究法中的市場指數調整模式，分別探討在建議訊息由反轉正，以及由正轉反時，是否會有對應之顯著異常報酬率。此外，本研究將所蒐集到的樣本，依照發布券商之持有人之國籍，分作本土及外資兩大類別，再重複上述檢定之步驟，看本土及外資券商之評價改變時，是否會有顯著之異常報酬率產生。最後，本研究發現以降級訊息發布日作為事件日時，能夠發現顯著為負之平均異常報酬率及平均累積異常報酬率，此外，外資券商在降級時，在事件日當天便能發現顯著為負之平均異常報酬率和平均累積異常報酬率，但本土券商要在事件日隔天才能反應出來。本研究之主要貢獻有二，第一是運用較少見的升降級變化，來看證券分析師之投資建議報告，是否能夠相信，並據其操作而獲利；第二則是將研究期間拉長，且經歷2008年金融海嘯時期，投資建議報告仍能夠具有資訊內涵，未來若是再次面臨總體經濟衰退時，能夠依據報告之降級來規避可能的投資損失。

關鍵字

事件研究法；市場指數調整法；投資建議；異常報酬

並列摘要

This study focuses on the impact of the change of recommendations that announced by sell-side brokerage houses. We observed that there is a great difference between the amount of positive recommendations and negative ones and started examining the impact of upgrade and downgrade of these investment recommendations. In order to track the influence of this information, we employed Event Study which is most commonly used in finding out the impact of specific event on stock price in each category. Some scholars argued that foreign investment banks’ recommendations are more trust-worthy. However, the others didn’t agree with this argument. To extend this contention, we separated our data into two categories: foreign and local. Each recommendation was put into only one of these groups by considering the nationality of the investment bank who announced this report. After categorizing, we repeated the process mentioned above again. Finally, we found out that those downgrade recommendations could generate significantly negative both abnormal return and cumulative abnormal return. Furthermore, foreign investment banks’ recommendations discover these two kinds of return before those announced by local competitors. To sum up, this study’s major contribution is that investors could adjust their portfolio based on the recommendation changes so that they could earn benefits from stock market.

並列關鍵字

Event Study ； Market-Adjusted Returns Model ； Investment Recommendation ； Abnormal Return

參考文獻

連婉琦(2011)：產業專精與本土券商及外資券商之推薦績效。嶺東科技大學經營管理研究所碩士論文。

Agrawal, A., & Chen, M. A. (2005). Do analyst conflicts matter? Evidence from stock recommendations. American Law & Economics Association Annual Meetings (p. 23). bepress.

Agrawal, A., & Chen, M. A. (2012). Analyst conflicts and research quality. The Quarterly Journal of Finance, 2(02).

Ljungqvist, A., Marston, F., Starks, L. T., Wei, K. D., & Yan, H. (2007). Conflicts of interest in sell-side research and the moderating role of institutional investors. Journal of Financial Economics, 85(2), 420-456.

Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159-178.

國際替代計量

券商投資建議之升降級對股價報酬率之影響

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