外資評等的訊息強度對投資人交易行為與股價報酬之探討

Market Reaction to the Rating Reports with Mixed or Consistent Follow-Ups: A Price and Trading Behavior Analysis

方富正(Fu-Cheng Fang)

指導教授 ： 趙莊敏

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2010年)

摘要

過去文獻關於探討分析師評等時，多數研究皆專注於分析師之單一評等對於投資人與報酬率之影響，較少文獻對於類似事件發生的次數對於投資人與報酬的率影響，本研究認為若在一段時間內僅有一則分析師評等報告，可能代表此股票較為冷門，並非市場上之熱門股且不受投資人之關注，因此所產生之交易量或是報酬的變動，可能無法代表全體投資人之行為。不僅如此，若僅有一則分析師評等報告，在現今資訊充斥的股票市場，很容易就被投資人所忽略而無法有顯著之影響。反觀若在一段時間內若有多次的分析師評等，一來會增加分析評等之能見度，再者會提升投資人會對訊息可靠度。因此本研究將以此觀點切入；且將定義分析師訊息強度，由行為觀點出發，探討是否訊息強度對投資人與報酬率是否存在關係。
本研究將以台灣50指數成分股作為樣本公司，並依照外資評等發佈情形與訊息內容做分類，利用事件研究法探討事件期的異常報酬率，另外將投資人分為在資機構投資人與一般投資人兩大類，並且分為買入、賣出與整體交易量三大區塊，進行一連串的交易行為分析，目的為了解在外資發佈評等訊息時市場的報酬率表現以及投資人行為，進而使得讓投資人能夠更進一步了解當身處外資發佈何種訊息應當做出最適當的反應，並且透過投資人的行為分析，解析投資人的投資策略心理。

關鍵字

行為財務學 ； 事件研究法 ； 資訊價值 ； 股市資訊

並列摘要

Traditional financial theory often refers to the stock market as an efficient market. By this, it means that the stock price already reflects all the information of the market. However, a growing literature provides empirical evidence that markets are measurable subject and are important mispricing. On the other hand, several studies provide evidence that investors are too credulous in the sense that they do not pay fully attention to the incentives of interested parties, such as firms, brokers, analysts, or other investors, who tend to manipulate available information. They investigate the trading behavior of institutional and individual investors around the day of stock information announced. They find that the recommendations by foreign institutions have a significant effect on the abnormal trading volume for both institutional and individual investors.
Mainly, the purpose of this study is to investigate the security returns and trading behavior of individual investors and foreign institutional investors around the stock recommendations by foreign institutions. The given recommendations of the same stock may be re-enforced or challenged by subsequent ratings from other institutions, this study is going to distinguish our sample into those who got consistent ratings and those who got mixed rating results during the sample event period. Base on these distinguishes, this study is going to examine whether the intense attention will affect the market outcomes as well as the trading behavior of the individual investors.

並列關鍵字

Trading behavior ； Event study ； Information context ； Market information

參考文獻

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