分析師推薦與股票交易者從眾行為

本文使用臺灣證券交易所之高頻資料，包含各類型投資者 (外國投資人、投資信託、其他法人及散戶) 對上市股票之委託單交易紀錄及成交單資料。本文研究臺灣股票市場之分析師推薦與股票交易者從眾行為，研究目的如下： (1) 分析師一致推薦之股票對各類型投資人從眾程度之影響效果；(2) 分析師強烈推薦之股票對各類型投資人從眾程度之影響效果；(3) 股票特性與分析師推薦強度之交互效果是否會影響各類投資人從眾程度；(4) 各類型投資人從眾行為對後續股票報酬率產生什麼影響；(5) 在不同市場條件下，投資人從眾行為對後續股票報酬產生的影響為何。本文實證研究發現，分析師一致推薦買入或賣出之股票對投信基金造成從眾影響程度最大，此原因可能來自於投信基金和分析師之選股觀點較一致，且投信從眾行為可能與其私人信息有關。當分析師強烈推薦買入股票時，法人之從眾程度皆高於散戶；而當分析師強烈推薦賣出股票時，投信之從眾程度相對於其他交易者則顯得較低。股票特性與分析師推薦強度會影響投資人從眾程度，例如：公司周轉率、淨值市值比與公司規模。最後，本文發現投信基金從眾於分析師建議買入之股票時，其後續報酬顯著為正，顯示投信基金績效良好；而散戶從眾於分析師推薦股票時，其後續報酬率表現相對不佳。

關鍵字

分析師；從眾行為；羊群效應；投資人類別；推薦；股票報酬

並列摘要

This paper uses high frequency intraday data in the Taiwan Stock Exchange, including order- and trade-level detailed information of investors’ types (foreign investors, investment trusts, other institutions, and individuals) trading on listed stocks. We examine analysts’ recommendations and stock traders’ herding behavior. Specifically, the purposes of this study include: (1) the impact of analysts’ consensus recommendation on the herding behavior across investor types, (2) the impact of analysts’ strong recommendation on the herding behavior across investor types, (3) the interaction effects of firm characteristics and analysts’ recommendation on the herding behavior across investor types, (4) the relationships between various traders’ herding behavior and future stock returns, and (5) the relationships between various traders’ herding behavior and future stock returns under different market conditions. This study yields several findings as follows. First, the impact of analysts’ consensus recommendation on investment trusts’ herding behavior is larger than on other traders. One possible reason is that investment trusts and analysts have similar opinion toward firm prospects and their herding may correlate to private information. Second, the impact of analysts’ strong buy recommendation on institutional herding is larger than on individual herding; however, the impact of analysts’ strong sell recommendation on investment trusts’ herding is lower than on other traders. Third, the interaction effects of specific firm characteristics and analysts’ recommendation on the herding behavior are significant, such as turnover rate, book-to-market ratio, and firm size. Finally, we find stocks with investment trusts’ higher herding perform better following analysts’ buy consensus recommendation. By contrast, individuals’ herding will experience worse stock performance when they follow analysts’ recommendations.

並列關鍵字

Analysts ； Herding Effect ； Herding measure ； Investor Types ； Recommendations ； Stock Return

參考文獻

黃旭輝與許惠婷，2006，「券商的推薦股票可以實際獲利嗎?」，證券市場發展季刊，第18券第2期，頁79-115。

Google Scholar

Amiram, Dan, Wayne R. Landsman, Edward L. Owens, and Stephen Stubben, 2017, How are analysts’ forecasts affected by high uncertainty? Columbia Business School Research Paper 13-68, 13-24.