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| Title: | 以券商報告預測台股橫斷面期望報酬
Cross-Sectional Return Predictability of Brokerage Reports in Taiwan |
| Authors: | 洪子勝
HUNG, TZU-SHENG |
| Contributors: | 鍾令德
洪子勝
HUNG, TZU-SHENG |
| Keywords: | 因子投資
分析師特徵
券商預測
投資組合
Factor Investing
Analyst Characteristics
Brokerage Forecasts
Investment Portfolio |
| Date: | 2025 |
| Issue Date: | 2025-07-01 14:38:31 (UTC+8) |
| Abstract: | 本文探討券商報告中分析師預測對台股橫斷面報酬的預測能力，並檢視其作為投資人投資策略依據之可行性。本文選取五種券商相關變數包括分析師的覆蓋度、盈餘預測、預測歧異度、預測調整與買賣建議，結合股票的市值規模，建構共二十五個投資組合來進行回測分析。研究發現，以分析師指標排序的小型股投資組合報酬普遍優於相對應的大型股組合，惟整體多空投資策略報酬表現不一，並同時發現小型股組別在特定年份的高額報酬是由少數個股所主導，顯示小型股報酬可能是由特定標的驅動。因此，在進行穩定度測試後，上述五種特徵僅有盈餘預測與券商推薦仍能有效獲取超額報酬，顯示台股與美股市場在資訊傳遞效率、投資人結構與制度環境等面向存在差異，特別是台股的小型股投資組合的報酬受個別標的影響較大，更凸顯台股投資人若將券商報告作為投資依據，需謹慎評估投資組合背後的報酬驅動來源。
This paper examines cross-sectional return predictability of analyst forecast characteristics disclosed in brokerage reports and evaluates their feasibility as investment signals in the Taiwan stock market. We consider five types of analyst-related variables, namely analyst coverage, earnings forecasts, forecast dispersion, forecast revisions, and stock recommendations. After double-sorting by firm size, we construct twenty-five investment portfolios for backtesting. Our empirical results indicate that, when sorted by analyst indicators, small-cap portfolios generally outperform their large-cap counterparts. However, the performance of long-short strategies is mixed. Our analysis reveals that the high realized returns of small-cap portfolios in certain episodes are often driven by a few individual stocks, suggesting that such returns may be outliers. After conducting robustness tests, only earnings forecasts and stock recommendations can consistently deliver abnormal returns. These findings highlight structural differences between the Taiwan and U.S. stock markets in terms of information diffusion efficiency, investor compositions, and institutional environment. Notably, due to the outsized influence of individual stocks in small-cap portfolios, investors should carefully evaluate the underlying return drivers when making their investment decisions based on analyst reports in Taiwan. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
112351028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112351028 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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