分析師推薦文之內容與市場反應

Information Content of Analysts’Recommendation and Relative Market Response

賴世懷(Shih-Huai Lai)

指導教授 ： 郭文忠

共同指導教授 ： 巫和懋(Ho-Mou Wu)

國立臺灣大學/管理學院/國際企業學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.03104

摘要

本篇論文研究的主題為分析師推薦文對股價的影響。資料的來源是Wall Street Journal裡的“Heard-on-the-Street (HOTS)”column。先前的研究顯示，在推薦文出版日當天或之前，股價在統計上會有顯著的反應(1-2%的超額報酬)。本篇論文的研究期間為1997-2004，樣本的限制為推薦文之中，僅有一家公司被推薦。研究結果顯示股價在推薦文出版日或之前就有所反應。短期內，我們的結果發現推薦日當天會有-1.5%的超額報酬。此外，推薦文之中，僅有單一推薦理由的樣本，對股價的衝擊最大。推薦的理由之中，以“市場領導者”對股價的影響最鉅，包含推薦日當天的前十日累積超額報酬達到-7.6%。其它推薦理由，像是“預期營收(獲利)的改變”、“領導能力與人事異動”、“合併或併購”、“景氣循環”、“財務報告或盈餘宣佈”以及“其它因素(如實施庫藏股、醜聞、法律訴頌等等)”等，都對股價有所影響。然而“新產品或科技”與“成本變化”這兩個推薦理由對股價並無顯著的衝擊。

關鍵字

分析師推薦文 ； 宣告效果 ； 股價 ； 超額報酬 ； 推薦理由 ； 市場領導者

並列摘要

The stock price responses to the analysts’ recommendations mentioned in the “Heard-on-the-Street (HOTS)”column of The Wall Street Journal are the subjects of this study. Previous studies show that the HOTS column appears to have a significant impact on stock prices on the publication day or before, with 1-2% abnormal return after the event day. This study generates the sample by the restriction that only one firm was recommended in the column and investigates the information content cited in HOTS column for analysts’ recommendations during the period 1997-2004. It is observed that the announcement effects are most observed before and at the event date. For the short term, our sample demonstrates that the HOTS column appears to have an impact on stock prices, with -1.5% abnormal return on the event date. Besides, there is the most influence on stock prices for only one reason recommended in the article, and the reason of “market leadership” recommended by analysts has the largest impacts on accumulative returns -7.6%. Furthermore, the influences of “expected revenue (profit) change”, “leadership and personnel matters”, “merger or acquisition”, “business cycle”, “financial reports or announcements”, “Other reasons (such as share buyback, scandals, law suits, etc)” are significantly observed, while the effects of “new product or technology” and “cost changes” are not significant.

並列關鍵字

Announcement effect ； Stock price ； Abnormal return ； Recommended reasons ； Market leadership

參考文獻

1. Albert Jr., Robert L. and Timothy R. Smaby. “Market Response to Analyst Recommendations in the ‘Dartboard’ Column: The Information and Price-Pressure Effects.” Review of Financial Economics 5(1996): 59-74.

2. Beneish, Messod D. “Stock Prices and Dissemination of Analysts’ Recommendations.” Journal of Business 64(July 1991): 393-416.

3. Bjerring, James H., Josef Lakonishok and Theo Vermaelen. “Stock Prices and Financial Analysts’ Recommendations.” Journal of Finance 38(March 1983): 187-204.

4. Hagerman R. L., Zmijewski M. E. and Shah P. “The Association Between the Magnitude of Quarterly Earnings Forecast Errors and Risk-adjusted Stock Returns.” Journal of Accounting Research 24(Autumn 1984): 526-540.

5. Liu, Pu, Stanley Smith, and Azmat A. Syed. “Stock Price Reactions to the Wall Street Journal’s Securities Recommendations.” Journal of Financial and Quantitative Analysis 25(September 1990): 399-410.