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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30970


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    題名: The Impacts of Foreign Analysts` Recommendations on Taiwan`s Stock Market
    作者: 張容容
    Chang, Jungjung
    貢獻者: 張元晨
    Chang, Yuanchen
    張容容
    Chang, Jungjung
    關鍵詞: Analyst` Recommendations
    Stock Price
    Trading Volume
    日期: 2003
    上傳時間: 2009-09-14
    摘要: This paper investigates both the information contents of recommendations disseminated by foreign security firms and the interaction of foreign security firms’ trading activities with their recommendations in Taiwan’s stock market. Using event study, correlation test, and regression analysis, we find negative average abcdrmal returns(AARs) and average cumulative abcdrmal returns(CARs) for negative and neutral foreign analysts’ recommendations levels and recommendation changes in the pre-recommendation period. AARs and CARs for positive recommendations in pre-recommendation period are positive, but reverse to negative three days after the event day. Our results also show that correlation coefficients of recommendations (both in recommendation levels and recommendation changes) and holding period returns are significantly positive in the pre-recommendation period, but insignificantly negative in the post-recommendation period.
    In the regression analyses, we find that price momentum factor is significantly related to foreign analysts’ recommendation, but the incremental contribution of this factor to foreign analysts’ recommendations are marginal and not significant. We also find that foreign security firms respond more rigorously to stocks receiving recommendation above buy recommendations and stocks being downgraded. These results show that foreign security firms are more conservative toward trading stocks in Taiwan’s stock market. They only buy stocks above buy recommendations (in a delay pattern), but immediately sell downgraded stocks.
    參考文獻: [1] Barber, Brad M., and Douglas Loeffler (1993), “The dartboard column: Second-hand information and price pressure”, Journal of Financial and Quantitative Analysis, Vol. 28, p. 273-284.
    [2] Barber, Brad M., Reuven Lehavy, Maureen McNichols, and Brett Trueman (2001), “Can investors profit from the prophets? Security analyst recommendations and stock returns”, Journal of Finance, Vol. 56, p. 531-563.
    [3] Bauman, Datta, and Iskandar-Datta (1995), “Investment analyst recommendations: A test of the announcement effect and the valuable information effect”, Journal of Business Finance and Accounting, Vol. 22, p. 659-670.
    [4] Beneish , Messod D. (1991), “Stock price and the dissemination of analysts` recommendations”, Journal of Business, Vol. 64, p. 393-416.
    [5] Chan, Louis K., Narasimhan Jegadeesh, and Josef Lakonishok (1996), “Momentum strategy”, Journal of Finance, Vol. 51, p. 1681-1713.
    [6] Chan, Siu-Yeung, and Wai-Ming Fong (1996), “Reactions of the Hong Kong stock market to the publication of second-hand analysts` recommendations information”, Journal of Business Finance and Accounting, Vol. 23, p. 1121-1139.
    [7] Chang, Charles (2003), “Information footholds: Expatriate analysts in an emerging market”, UC-Berkeley working paper, February.
    [8] Cooper, Rick A., Theodore E. Day, and Araig M. Lewis (2001), “Following the leader: A study of individual analysts` earnings forecasts”, Journal of Financial Economics, Vol. 61, p. 383-416.
    [9] Copeland, Thomas E., and David Mayers (1982), “The Value Line enigma: A case study of performance evaluation issues”, Journal of Financial Economics, Vol. 10, p. 289-321.
    [10] Dimson, Elory and Paul Marsh (1984), “An analysis of broker`s and analysts` unpublished forecasts of UK stock returns”, Journal of Finance, Vol. 39, p. 1257-1292.
    [11] Huth, William L., and Brian A. Maris (1992), “Large and small firm stock price response to `Heard On The Street ` recommendation”, Journal of Accounting, Auditing & Finance, Vol. 7, p. 27-47.
    [12] Jegadeesh, Narasimhan, and Sheridan Titman (1993), “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Financial and Quantitative Analysis, Vol. 48, p. 65-91.
    [13] Jegadeesh, Narasimhan, Joonghyuk Kim, Susan D. Krische, and Charles M. C. Lee (2002), “Analyzing the analysts: When do recommendations add value?”, Case Western Reserve University, Cornell University, and University of Illinois working paper, May.
    [14] Kim, Sok Tae, Ji-Chai Lin and Myron B. Slovin (1997), “Market structure, informed trading, and analysts` recommendations”, Journal of Financial Quantitative Analysis, Vol. 32, p. 507-524
    [15] Krische, Susan D., and Charles M. C. Lee (2000), “The information content of analyst stock recommendations”, Cornell University and Johnson Graduate School of Management working paper, December.
    [16] Lee, C. M. C., and B. Swaminathan (2000), “Price momentum and trading volume”, Journal of Finance, Vol. 55, p. 2017-2070.
    [17] Lin, H. W., and M. F. McNichols (1998), “Underwriting relationship, analysts` earnings forecasts and investment recommendation”, Journal of Accounting and Economics, Vol. 25, p. 101-127.
    [18] Liu, Pu, Stanley D. Smith, and Aznat A. Syed (1990), “Stock price reactions to the Wall Street Journal`s securities recommendations”, Journal of Financial and Quantitative Analysis, Vol. 25, p. 399-410.
    [19] Michaely, R., and K. Womack (1999), “Conflict of interest and the credibility of underwriter analyst recommendations”, Review of Financial Studies, Vol. 12, p. 653-686.
    [20] Seasholes, Mark S. (2000), “Smart foreign traders in emerging markets”, Harvard University working paper, January.
    [21] Stickel, Scott E. (1985), “The effect of Value Line investment survey rank changes on common stock price”, Journal of Financial Economics, Vol. 14, p. 121-143.
    [22] Womack, Kent L. (1996), “Do brokerage analysts` recommendations have investment value?”, Journal of Finance, Vol. 51, p. 137-167.
    描述: 碩士
    國立政治大學
    財務管理研究所
    91357018
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091357018
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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