券商宣告個股投資評等之資訊內涵－以台灣上市金融股為例

本研究旨在探究券商個股投資評等之宣告是否具備資訊內涵。研究期間自2008年至2017年，並以CMoney資料庫中12檔上市金融股為研究對象，利用事件研究法分析評等宣告前後的股價反應，檢驗股價變化是否產生統計上顯著之異常報酬。實證結果顯示，券商的正向評等之參考價值高於負向評等，又外資券商評等宣告之參考價值高於本國券商。再者，外資降級評等之參考價值高於升級評等。而宣告效果通常存在於事件日及其後兩日，惟外資調降評等時可持續至事件日後5個交易日，隱含台灣股市存在處置效應。總結上述，實證結果與過往相關研究文獻結果大致相同，並未因為金融股資訊透明度較高而使券商個股投資評等報告失去影響力，顯示市場參與者想看的不僅是券商報告內容所提供的新知，更在意的是券商對個股的買賣建議。

關鍵字

事件研究；投資評等；資訊內涵；異常報酬

並列摘要

This study aims to examine the information content in the stock recommendation from security firms. Targeting at 12 listed financial companies in CMoney’s data base ranged from 2008 to 2017, event study was used to analyze the reaction of the stock prices before and after the announcement of stock recommendation, and further examine if the changes in the stock prices generates significant abnormal returns. The result shows that positive recommendation from security firms was a more valuable reference than negative recommendation, and recommendation from foreign security firms was more valuable than form domestic security firms. Furthermore, downgrades recommendation from foreign security firms was more valuable than upgrades recommendation. In addition, the announcement effect usually took place on the event day and the 2 days after it, but it continued until the fifth day when foreign security firms announced downgrades recommendation. This implies that disposal effect exists in Taiwan’s stock market. In conclusion, the empirical test shows similar results with previous studies, indicating that stock recommendation from security firms still has an influence despite the fact that financial stocks have higher information transparency. It also indicates that market participants are not only interested in the information from security firms’ report, but also care more about the stock recommendation from it.