台灣股票市場中,外資、投信投顧與自營商的機構投資法人,統稱三大法人,這些機構投資人,不但具有專業的團隊,且對資訊的掌握也較一般投資者具有相對的優勢,因此大部分的投資者會對機構投資人所發佈評等的消息做為其投資參考的依據。在資訊傳播迅速的時代裡,投資人接收訊息來源愈來愈廣,其情緒會反應於市場的報酬率上,而市場上充斥著眾多的消息,外資發佈評等的消息或是個股企業宣佈其經營成果的資訊,以及媒體大眾對個別企業的新聞報導,這些訊息都會影響投資人在進行選股決策的考量依據,本研究為了探究是否上述的因素會影響市場上的異常報酬率。 本研究以台灣50做為研究的對象,以外資評等發佈的評等訊息內容做為分類,透過事件研究法探討其異常報酬率。投資人在日常生活中最容易接觸到的資訊來源,就是傳播媒體,而其對投資人也具有相當的影響力。在媒體情緒的衡量上,以往的學者研究採用不同的方法進行文字字詞上的研究分析,而將其量化有一定的難度,本研究將質性的媒體新聞報導量化成報導情緒的極性分數值,進而將媒體報導情緒視為指標,並且再加入治理、財務、投資人情緒及外資評等行為等因子,探究外資發佈評等時,股價報酬會受到何種因子的影響。
Taiwan market has three institutional investors: foreign, dealer, investment trust's. Those institutions not only have professional team to research, but also have more advantage than retail investors. Most investors will reference the rating reports which were released from the institutional investors. At the era of rapid dissemination, investors can get more and more kinds of information, and their investing sentiment will be reflected in the market return. There are large of messages in the market, such us foreign rating Reports、company financial reports、media coverage, which will influence the investors to make decision. This research is to find out whether these factors affect the abnormal return. The mainly purpose of this is to investigate the security returns of stock recommendations by foreign institutions. In order to measure the media sentiment, this study applies the algorithms developed by Lee, Wu, and Chen (2011) to directly calculate the media sentiment score based on the media reports around the stock recommendations by the foreign institutions. Our data is collected from the Taiwan Economic Journal Database (TEJ). The data used in this study is observed from 2010 to 2011. The purpose of this study is to examine if all the message on the market will influence the investor to make their decisions, even more to effect market return. Through the algorithm we can examine media sentiment, and run regressions of the estimated information on firm finance, governance, investor sentiment, and media sentiment.