外資券商分析師投資評等與目標價修正之宣告效果探討

The information content of the recommendations and target price revisions by foreign investment institutions

陸逸威(Iat-Wai Lok)

指導教授 ： 郭文忠

國立臺北大學/社會科學學院/經濟學系/碩士(2013年)

摘要

台灣股票市場多數參與者為個人投資人，而多數個人投資人取得相關資訊的來源主要為媒體報導和相關的投資報章雜誌，因此在取得資訊能力有限的情況下，散戶常把外資機構所宣佈的投資報告當作一種重要的參考。近年來外資機構投資報告在媒體與市場的影響力舉足輕重，本論文的主要目的為檢視外資研究報告內容是否具有資訊內涵。
本論文以2010年1月至2012年6月的資料作研究，結果發現外資機構對投資評等和目標價的修正動作，在報紙上刊登前的交易日股價已提前部份反應，而在刊登當天亦產生顯著異常報酬，並與其調整方向一致。另外，依投資評等修正而言，累積異常報酬效果隨時間持續擴大。而依目標價修正言，累積異常報酬效果在事件日後一天開始出現反轉現象。

關鍵字

外資研究報告 ； 目標價 ； 評等調整 ； 異常報酬

並列摘要

Domestic individual investors are the major participants in Taiwan stock market. Most of them only can obtain related investment information from newspapers and magazines. So, under the limitation of information, individual investors often use the foreign investment institution announced investment report as main reference. The main purpose of this paper is to examine whether there is information content from the report.
In this paper, we collect the data over the period January 2010 to June 2012 for research. The results show that the market reacts before the publication of recommendation and target price. In the publication days, there are also significant abnormal returns in the market and are the same direction with the recommendation and target price adjustment. We also found that the abnormal returns were ascending from the publication day of recommendation and were descending after the publication day of target price.

並列關鍵字

target price

參考文獻

1. 沈中華與李建然 (2000)，《事件研究法》，台北：華泰文化事業股份有限公司。

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