投資人解讀相似公司名稱推薦資訊的反應

Stock Market Reaction to the Similar Corporate Name in Recommendations?

吳青修(Ching-Hsiu Wu)

指導教授 ： 戴維芯

國立暨南國際大學/管理學院/財務金融學系/碩士(2008年)

摘要

台灣股票市場中，當投資人接收到分析師推薦資訊時，對於所推薦的相似名稱公司股票是否都能夠正確的辨別而不受混淆，這是值得探討的。本研究觀察4組分析師推薦相似公司名稱股票及其配對股票，資料可取得期間由1995年1月1日到2004年6月30日。一方面將名稱相似配對公司樣本期間分為推薦期間與非推薦期間，去分析推薦期間及非推薦期間的報酬率、週轉率、成交量的相關程度是否有差異，以釐清是否是推薦資訊所造成的偏誤。接著，採用事件研究法觀察分析師推薦時，對被推薦公司配對相似公司名稱股票在事件日前後超額報酬、超額交易量及超額週轉率來判別影響的顯著性，最後從散戶較容易受誤導的公司特徵去判斷，探討散戶的偏誤情形是否會更加嚴重。
在推薦事件期間報酬率及週轉率二者相關性顯著較高，表示部分散戶投資人對於分析師推薦相似公司名稱在股價的反應是會受到混淆的，但此混淆並沒有對股票價格基本面產生顯著影響，但在週轉率及成交量方面，可能因預期心理，造成進出市場次數增加。另外也發現散戶投資人對於規模小、股票價格低、成立年度久及散戶持股較多的公司股票受誤導的情形更嚴重。

關鍵字

行為財務 ； 效率市場 ； 雜訊交易者 ； 相似公司名稱

並列摘要

In Taiwan stock market, it is worth to discuss that whether the investors can tell similar corporate names of stocks correctly when they receive the recommendation message from stock analysts. The sample data adopted by this study include the daily performance such as returns of stock price, turnover, and trade volume of four pairs of similar corporate-name stocks during the period from January 1, 1995 to June 30, 2004. First, we divide the sample period into two types according to whether the investors can receive recommendation message from analysts, namely recommended period and non-recommended period, and we compare the difference of the correlation between similar corporate name stock data in the two types of periods. Then, we use the event study to explore the correlation between the performance of the recommended stock and the stock with a similar corporate name as the recommended one during the pre-recommended period. And then, we want to examine whether the correlation between similar corporate name stocks is more significant when the recommended stocks with some corporate characteristics preferred by individual investors, such as small scale.
The empirical result shows that the correlation of returns of stock price with similar corporate names is more significant during the recommended period, and indicates that individual investors would be confused about the recommendation message from analysts. However, the confusion has no influence on the fundamentals of stock price. Both the correlations of turnover and trade volume of stocks with similar corporate names are also significant. This might be because individual investors have expectation of stock price due to recommendation message, and they tend to increase the frequency of buying and selling stocks. Moreover, the correlation between similar corporate name stocks is more significant when the recommended stocks have some corporate characteristics such as small scale, low stock price, older corporate age, and more stock share of individual investors.

並列關鍵字

Behavioral Finance ； Efficient Market ； Noise Trader ； Similar Corporate Name

參考文獻

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