券商分析師的個股推薦與產業推薦之探討

本研究釐清個股推薦和產業推薦的關聯，與券商分析師傳遞的訊息差異。本文實證發現個股推薦不只包含產業內排序的訊息，還納入跨產業間差異的訊息。此外，本文藉由買入推薦的隱含價值推估出買入推薦門檻值，並發現個股推薦的投資價值不是跨產業的同質性。同時，本文結果顯示投資人在短天期的異常報酬可以倚賴個股推薦，中長天期的異常報酬則要多參考產業推薦。券商報導的方式存在差異性，不是每家券商都會同時報導個股和產業推薦，就算會報導產業推薦的券商，也會挑選與產業關聯性高的公司才附加產業推薦。這些報導方式的不同，會造成股票推薦對異常報酬的預測力有所不同。最後，儘管券商分析師有選股和排序產業的能力，但沒有證據顯示券商分析師有擇時的能力。

關鍵字

券商分析師；個股推薦；產業推薦；跨產業的差異；擇時能力

並列摘要

This study investigates the difference and relationship of the information being conveyed through analysts’ individual firm recommendation and industry recommendation provided to the market at the same date. It documents that an analyst’s individual firm recommendation is not uncorrelated with her recommendation regarding the industry to which the firm belongs. Namely, individual firm recommendations do not simply convey an analyst’s within-industry rankings of firms. Furthermore, with both individual firm and industry recommendations, we identify the differences in the triggering levels of intrinsic value to price ratio among industries. Even if firm recommendation help add to ranking the future profitability of companies in different industries, it do not imply that the investment value of (firm) buy recommendation means the same across industry. By means of logit model, we estimate differential thresholds for buy recommendation after controlling the effect of individual firm’s financial ratio and cross-industry information. Our results also show that (1) the investors with a short-horizon benefit more from individual firm recommendations and (2) the investors with a intermediate- to long-horizon benefit more from individual firm recommendations. Analysts differ in whether or not to provide the industry recommendations. Moreover, for the analysts who provide industry recommendations, they appear to choose to report their industry ratings for certain companies they cover but not the others. Furthermore, certain brokerage firms have the job position for strategist (industry analysts) to produce the report of cross-industry difference, but the others’ analysts do not receive such internal services from industry experts in the same brokerage house. Finally, despite that the analysts appear to be able to satisfactorily rank individual firms and industries by their future abnormal returns, the beta of their recommended portfolio is not positively related to future capital market return. Namely, we find no evidence that supports analysts’ market timing ability.

並列關鍵字

Sell-side analyst ； Firm recommendation ； Industry recommendation ； Cross-industry differences ； Market timing

參考文獻

Asquith, P., M. Mikhail, and A. Au, 2005, Information Content of Equity Analyst Reports, Journal of Financial Economics, 75, 245-282.

Barber, B.M., R. Lehavy, M. McNichols, and B. Trueman, 2001, Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns, The Journal of Finance, 56, 531-563.

Barber, B.M., R. Lehavy, and B. Trueman, 2010, Ratings Changes, Ratings Levels, and the Predictive Value of Analysts' Recommendations, Financial Management, 39, 533-553.

Bradley, D., S. Gokkaya, and X. Liu, 2013, Before an Analyst Becomes an Analyst: Does Industry Experience Matter? Working Paper.

Bradshaw, M.T., 2004, How Do Analysts Use Their Earnings Forecasts in Generating Stock Recommendations, The Accounting Review, 79, 25-50.

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券商分析師的個股推薦與產業推薦之探討

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