外資券商投資評等宣告對股價影響之研究

A Study on the Effect of Foreign Securities Houses’ Investment Rating Announcement on Stock Prices

李思漢(Sz-Han Li)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2012年)

摘要

本研究主要在探討從2011年6月1日至2011年11月30日，外資券商投資評等宣告對於股價異常報酬的影響，並以事件日前100天為估計期，採用事件研究法來檢驗總樣本期間、牛市期間及熊市期間，各外資機構不同評等宣告後的報酬表現；並將五大外資券商評等的股票報酬做差異檢定，以瞭解不同外資機構間的投資評等宣告後，在事件窗口(0,5)、(0,10)、(0,30)是否有顯著異常超額報酬，實證結果歸納如下幾項主要結論：
一、 實證顯示：五大外資券商投資評等宣告，於熊市期間除美林在事件窗口(0,10)的各級評等皆有顯著差異外，其餘四家都沒有顯著差異，且整體而言，熊市期間外資投資評等宣告較牛市期間相對較無資訊內涵。
二、 實證顯示：牛市期間外資券商在代表看壞後市的評等2宣告之後，除了美林有顯著的負異常報酬外，其餘大多呈現正異常報酬，代表多數外資在多頭期間的偏空評等宣告後股價出現反彈。
三、 實證顯示：在完整樣本期間內，五大外資在事件窗口(0,30)的異常報酬最為顯著，投資人若參考外資評等投資以30天較具資訊內涵。
四、 實證顯示:在完整樣本期間內，美林在評等2、評等3及評等4，宣告後的10天及30天都出現顯著的異常報酬，最具資訊內涵；而瑞士信貸則在評等3及評等4的事件窗口(0,30)中特別具資訊內涵；花旗則在所有評等及窗口中皆無顯著的異常報酬。
五、 實證顯示，投資人可藉由外資投資評等宣告獲得異常超額報酬，顯示台股並不符合半強式效率市場。

最後，由本文的研究實證顯示，部份外資的投資評等宣告對股價的異常報酬的確產生顯著影響，若不考慮稅賦及交易成本，投資人可以參考特定外資之建議而獲得超額報酬。

關鍵字

投資評等宣告 ； 資訊內涵 ； 事件研究法 ； 牛熊市

並列摘要

This study investigated the effect of foreign securities houses’ investment rating announcement on stock prices in the period from June 1, 2010 to November 30, 2011. A hundred days prior to the event date were regarded as the estimate period. The method of event study was adopted to examine the return performances resulting from various rating announcement during the overall period, the bullish period, and the bearish period respectively. In addition, a significance test for five foreign securities houses’ stock returns was conducted to examine the abnormal returns among three event windows: (a) (0,5), (b) (0,10), and (c) (0,30). The findings of this study were summarized as follow:

1. Merrill Lynch was the only one who showed the significance in the event window of (0.10) during the bearish period. Moreover, in general, the information value during the bearish period was less than that during the bullish period.

2. Four foreign securities houses except Merrill Lynch showed a result of positive returns after announcing the rank 2 for poor future market during the bullish period. This indicated that stock prices could be rebounded after foreign securities houses announced the bad news.

3. The five foreign securities houses’ most significant abnormal returns fell in the event window of (0, 30) during the overall period. This showed that investors could receive more information value by referencing 30-day announcement.

4. Merrill Lynch showed the significant abnormal returns in 10 days and 30 days since the announcement of rank 2, rank 3 and rank 4 and had the most information value during the overall period. In addition, Credit Suisse had the most information value in the event windows of (0, 30) in rank 3 and rank 4 respectively. However, Citi had no abnormal returns in any ranks or windows.

5. The result of the abnormal returns gained from foreign securities houses’ investment rating announcement indicated that Taiwan stock market is not semi-strongly efficient.

To conclude, this study demonstrated that some foreign securities houses’ investment rating announcement affects significantly the abnormal return of stocks. Therefore, if not considering taxes and the transaction cost, the suggestions given by certain foreign securities houses were valuable in terms of gaining returns.

並列關鍵字

Investment rating announcement ； information value ； event study ； bull market ； bear market

參考文獻

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