外資券商分析師關注什麼？價值還是成長？

What Does Foreign Securities Houses Concern? Value or Growth?

王麗惠(Lie-Huey Wang) ； 鄭昌錞(Chang-Chun Cheng) ； 郭憲章(Hsien-Chang Kuo)

《證券市場發展季刊》 30卷2期 (2018/06) Pp. 1-61

https://doi.org/10.6529/RSFM.201806_30(2).0001

摘要

外資在證券市場發展佔有重要的地位，外資券商分析師報告則扮演了推波助瀾的角色。本研究以2006/1/1至2012/6/30之1,220家臺灣上市櫃公司為研究對象，利用多層次追蹤資料隨機效果模型(multilevel panel data random-effects model)探討以下兩個問題：(1)外資券商及其分析師所關注的公司具有那些基本面特徵？(2)外資券商分析師是否關注價值-成長指標？實證結果發現，外資券商分析師關注的公司具有高股價淨值比的特徵，但二者存在顯著倒U型關聯性。另外，外資券商分析師對高營業毛利率、公司規模較大、低股價報酬率、高股票週轉率、高機構投資人持股、高資訊透明度、以及電子科技與生技醫療之公司的關注度較高。本研究並發現外資券商分析師關注度確實會影響三大法人之股票交易，外資機構投資人利用分析師報告作為買進的參考，而本國機構投資人則以分析師報告呈現與外資機構投資人反向對作的行為。

關鍵字

分析師關注度 ； 基本面特徵 ； 價值-成長指標 ； 多層次追蹤資料隨機效果模型

並列摘要

The foreign institutional investors play an important role in securities markets, and the sell-side foreign security analysts' reports enhance much better institution trading. Any modification of the analyst coverage can be an early indicator of a firm's future fundamental, capital market activities and performances. As a result, we use a sample of 1,220 Taiwanese listed firms from January 2006 to June 2012, and employ the multilevel panel data random-effects model to examine two questions. (1)What are the fundamental characteristics of those target firms concern from foreign securities houses and analysts? (2)Do the value-growth ratios exist when analysts care about their following firms? The results show that the value-growth ratios are determinants affecting analyst coverage. The firms with higher price-to-book ratio are likely to be followed up as target firms, but there is an inverted U-shaped relationship. In addition, the firms with better financial performance, more stock liquidity, higher institutional ownership, and more transparency will attract the foreign securities houses to follow up. Moreover, we also find that the analyst coverage does affect behavior of institutional investors in Taiwan Stock Market.

並列關鍵字

Analyst Coverage ； Fundamental Characteristics ； Value-Growth Ratios ； Multilevel Panel Data Random-Effects Model

參考文獻

王麗惠、郭憲章、吳壽山 (2009)，「公司報酬演化階段與市價淨值比溢酬現象之探討」，《證券市場發展季刊》，第 21 卷第 3 期，1-24。

金慶平、周彥妤、李佳玲 (2015)，「機構投資者持股與分析師跟隨對企業股權價值評估之攸關性」，《當代會計》，第 16 卷第 2 期，175-209。

謝文良、李進生、王芊儒 (2013)，「台股外資分析師報告預測目標價之正確性與影響因素分析」，《臺大管理論叢》，第 24 卷第 1 期，43-70。

Abel, A. and J. Eberly (2011), “How Q and Cash Flow Affect Investment without Frictions: An Analytic Explanation,” Review of Economic Studies, Vol. 78, No.4, 1179-1200.

Aggarwal, R., I. Erel, M. Ferreira and P. Matos (2011), “Does Governance Travel Around the World? Evidence from Institutional Investors,” Journal of Financial Economics, Vol.100, No.1, 154-181.