證券投顧公司股票推薦報告有效性之探究-以S公司為例

對於股票投資人而言，能否利用證券投資顧問公司所提供投資建議以提高股票報酬是一重要課題。本研究以國內某家證券投資顧問公司為個案公司，從該公司於2013 年至 2016 年所提供機構投資人之個股研究報告，選出推薦買進之股票為研究樣本。本研究目的係檢視個案公司股票推薦有效性，本研究亦檢視能否藉由本益比或股價淨值比進一步篩選出值得投資個股，以提升投資人報酬率。實證結果顯示，投資人若根據投資建議買進股票，除了2015年，其他年度之一個月、三個月及六個月報酬率均顯著為正，且投資股票持有期間越長，投資報酬率越高。實證結果亦顯示，推薦買進上市公司股票之報酬率顯著高於同期加權股價指數，然推薦買進上櫃公司股票之報酬率則不顯著高於同期櫃買指數。無論推薦買進股票為電子類股或電子類股，其股票報酬均未顯著高於同期大盤指數。此外，實證結果顯示，若投資人根據投資建議及本益比或股價淨值比買進上市公司，其一個月及三個月報酬率均顯著高於加權股價指數。然若投資人根據投資建議及本益比或股價淨值比購買上櫃股票者，其股票報酬均不顯著高於櫃買指數。本研究實證結果亦顯示，投資人根據股票推薦及本益比與股價淨值比購買篩選出上市或上櫃公司，其股票報酬均未顯著高於同期大盤指數。

關鍵字

證券投資顧問公司；買進推薦；股票報酬；本益比；股價淨值比

並列摘要

Whether stock returns can increase if investors purchase stocks based on buy recommendations from securities investment consulting firms is an important issue. This study uses a domestic securities investment consulting firm as a case company. Buy recommendations obtained from research reports issued by the case company to institutional investors from 2013 to 2016 are used as a sample. The purpose of this study is to examine the validity of stock recommendations issued by the case company. This study also examines whether stock returns can increase by further selecting stocks from buy recommendations based on price to earnings (P/E) ratio or price to book (P/B) ratio. The empirical results show that except for 2015, the one-month, three-month and six-month returns are significantly positive if investors buy stocks according to stock recommendations. Stock returns are higher for a longer investment horizon. The empirical results also show that stock returns for buying stocks of listed companies are significantly higher than those of the Taiwan Stock Exchange Weighted Stock Index (TSEWSI) for the same period. However, stock returns for buying OTC stocks are not significantly higher than those of OTC stock index for the same period. The stock returns for buying electronic or electronic companies are not significantly higher than those of the TSEWSI or OTC index. In addition, the empirical results show that one-month and three-month stock returns are significantly higher than those of the TSEWSI if investors purchase listed companies’ stocks based on buy recommendations and P/E or P/B ratio. However, stock returns are not significantly higher than those of the OTC index if the investor purchases OTC stocks based on buy recommendations and P/E or P/B ratio. The empirical results also indicate that stock returns are not significantly higher than those of the TSEWSI or OTC index for the same period if investors purchase stocks based on buy recommendations as well as P/E and P/B ratios.