產業專精與本土券商及外資券商之推薦績效

Industry Specialty and Recommendations Performance of Local and Foreign Brokerage

連婉琦(Wan-Chi Lien)

指導教授 ： 鄭雯芳

嶺東科技大學/管理學院/經營管理研究所/碩士(2011年)

https://doi.org/10.6823/LTU.2011.00070

摘要

我國自1991年起開放外資券商於本國投資，投資人普遍認為外資券商相對於本土券商較具有專業知識，因為外資券商分析師僅投注於少數產業，但過去研究並未提出具體指標衡量兩者之產業專精能力。因此，本研究擬以Sonney(2009)的HI指標(Herfindahl Index)具體比較本土券商與外資券商之推薦績效，再將研究期間分為前期與後期，檢測金融風暴前後對外資券商及本土券商之推薦影響。
本研究樣本取自台灣經濟新報(Taiwan Economics Journal, TEJ)之券商投資建議資料庫，研究期間為2007年3月至2010年10月，研究樣本涵蓋27家券商28個產業559家上市公司所發佈18,207次的短期投資建議，共計4298次推薦變動。研究發現，首先，外資券商與本土券商皆具有推薦績效，其中又以外資券商推薦績效較佳。以HI高低檢測產業專精度發現外資券商皆具有推薦績效且素質較整齊，本土券商則參差不齊，只有產業專精之本土券商具推薦績效。其次，前後期檢測發現，前期外資券商較佳，後期反而本土券商較佳。四因子模型中的規模因子顯示具產業專精之券商偏好買進小公司，而不具產業專精之券商買進大公司，尤以本土券商最顯著；帳面市值比為外資券商偏向買進價值股，本土券商則以HI高者傾向買進成長股，HI低者傾向買進價值股；最後動能因子為外資券商偏好採追漲殺跌的方式，本土券商則偏好逆向操作。

關鍵字

券商 ； 分析師 ； 推薦 ； 產業專精

並列摘要

Foreign brokerages have been permitted to invest in Taiwan since 1991. Generally, investors believe foreign brokerages have more professional knowledge than local brokerages for they normally concentrate on fewer industries. However, there was no objective measure in past literature to calculate the industry specialty of local and foreign brokerages. This paper refers to the Herfindahl Index (HI) of Sonney (2009) to compare industry specialty between local and foreign brokerages, then divides the period into two sub-periods: earlier and later. It examines recommendation performances of local and foreign brokerage before and after the financial turmoil.
The sources of samples are from the Taiwan Economics Journal (TEJ). The study period is from March 2007 to October 2010. The samples include 27 brokerages issuing 18,207 short-term investment recommendations and 4,298 recommendation changes for 559 companies in 28 industries. First, the results show that both local and foreign brokerages have recommendation performances, but foreign ones are better. In regard to industry specialty measured by HI, foreign brokerages are more consistent than local ones. In addition, only local brokerages with industry specialty have recommendation performances. Next, foreign brokerages perform well in the earlier sub-period but local ones do better in the later sub-period. Finally, the loadings on the size factor in the four-factor regression suggest that brokerages with higher industry specialty tend to buy small companies; meanwhile, ones with lower industry specialty prefer to buy big companies. The loadings on the book-market ratio factor show that all foreign brokerages tend to buy value stocks; whereas local ones with higher industry specialty like to buy growth stocks, but ones with lower industry specialty prefer to buy value stocks. The loadings on the momentum factor show that foreign brokerages tend to pursue the winners and sell the losers, while local brokerages take the opposite strategy.

並列關鍵字

brokerage ； analyst ； recommendation ； industry special

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