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    题名: 投資人可否從券商推薦的股票獲利？
    Can investors profit from brokerages’ stock recommendations?
    作者: 張清發
    Chang, Ching Fa
    贡献者: 陳威光
    林靖庭
    Chen, Wei Kuang
    Lin, Ching Ting
    張清發
    Chang, Ching Fa
    关键词: 券商推薦
    分析師推薦
    券商評等
    交易策略
    市場效率
    超額報酬
    Analyst recommendations
    Stock recommendations
    Investment recommendation
    Efficient Market
    Trading Strategy
    Abnormal Return
    日期: 2016
    上传时间: 2016-07-01 15:00:05 (UTC+8)
    摘要: 過去國內文獻大致指出投資人難以依靠券商的投資建議獲利，此與大部份國外文獻的發現相異。本文參考Barber et al. (2001)，建構一個適用於台灣股票市場的研究方法，再以四因子模型做實證。本文以2007年3月至2015年12月，共48987筆卷商個股報告為研究樣本，來探討券商報告的投資建議能否獲利。本文研究結果發現，台灣的券商報告擁有額外的資訊價值，此與Barber et al. (2001)及其他國外文獻大致相同。
    本研究依券商的推薦強度建構四個投資組合。發現推薦程度高的投資組合平均月報酬為正，且高於大盤；而推薦程度低的投資組合平均月報酬顯著低於大盤，且擁有顯著的負超額報酬。本文進一步建構買進賣出策略，即買進推薦股票高的投資組合並賣出推薦程度低的投資組合，發現此策略報酬顯著高於零及大盤，且存在顯著的正超額報酬。另外在台股多頭期間，本研究的實證結果更加顯著，推薦程度高的投資組合平均月報酬增加至顯著高於大盤，且超額報酬顯著為正；推薦程度低的投資組合之大盤調整報酬及負超額報酬的顯著程度提高；而買進賣出策略獲得超額報酬的顯著程度也大幅提高。
    Past Taiwanese literatures generally indicated that it is difficult to obtain profit from Taiwanese stock recommendations of brokerage, which is different from most of foreign literatures. Referring to Barber et al. (2001), we improve and build a research methodology applied to Taiwanese stock market, conducting empirical analysis with four-factor model. From March 2007 to December 2015, we use total 48987 brokers’ stock recommendations as sample to investigate whether inventors could earn profit from the broker recommendations. Our empirical results show that Taiwanese broker reports hold additional information, which is consistent with Barber et al. (2001) and most of foreign literatures.
    According to the strength of recommendation, we construct four portfolios and find that the return of the most favorable portfolio is higher than market, while the return of the least favorable portfolio is significantly smaller than market and holds significantly negative access return. We further construct a long-short strategy, which buys the most favorable portfolios and shorts the least favorable portfolios. The return of this strategy is significantly higher than market, and excess return is significantly positive. During Taiwanese bull market, the significance of our empirical result improves. The significance level of market-adjusted return and access return for both the most favorable and least favorable portfolio is higher. In addition, the significance level of excess return for long-short strategy also greatly improves.
    參考文獻: 【英文參考文獻】
    1. Agrawal, A., & Chen, M. A. (2012). Analyst conflicts and research quality. The Quarterly Journal of Finance, 2(02).
    2. Barber, B., Lehavy, R., McNichols, M., & Trueman, B. (2001). Can investors profit from the prophets? Security analyst recommendations and stock returns. The Journal of Finance, 56(2), 531-563.
    3. Boni, L., & Womack, K. L. (2006). Analysts, industries, and price momentum. Journal of Financial and Quantitative Analysis, 41(01), 85-109.
    4. Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57–82.
    5. Cowen, A., Groysberg, B., & Healy, P. (2006). Which types of analyst firms are more optimistic?. Journal of Accounting and Economics, 41(1), 119-146.
    6. Desai, Hemang, and Prem C. Jain, 1995, An analysis of the recommendations of the ‘superstar’ money managers at Barron’s annual roundtable, Journal of Finance 50, 1257–1273.
    7. Diefenbach, Robert E., 1972, How good is institutional brokerage research? Financial Analysts Journal 28, 54–60.
    8. Green, T. C. (2006). The value of client access to analyst recommendations. Journal of Financial and Quantitative Analysis, 41(01), 1-24.
    9. Irvine, P. J. (2004). Analysts` forecasts and brokerage-firm trading. The Accounting Review, 79(1), 125-149.
    10. Jackson, A. R. (2005). Trade generation, reputation, and sell‐ side analysts. The Journal of Finance, 60(2), 673-717.
    11. Jegadeesh, Narisimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65–91.
    12. Jegadeesh, N., Kim, J., Krische, S. D., & Lee, C. (2004). Analyzing the analysts: When do recommendations add value?. The journal of finance, 59(3), 1083-1124.
    13. Keim, Donald B., and Ananth Madhavan, 1998, The cost of institutional equity trades, Financial Analysts Journal 54, 50–69.
    14. Womack, Kent L., 1996, Do brokerage analysts’ recommendations have investment value? Journal of Finance 51, 137–167.

    【中文參考文獻】
    1. 邱淑珍(1997)，股票公開推薦資訊有效性之實證研究，碩士論文，國立台灣大學。
    2. 林昭芃(2007)。股市之價值溢酬及多因子模型之探討-以台灣股票市場為例，碩士論文，國立中央大學。
    3. 胡玉雪(1994)。益本比、淨值/市價比及公司規模對股票報酬之影響：相似無關迴歸法之應用，碩士論文，國立臺灣大學。
    4. 陳建成(1999)，股票推薦價值與影響因素之研究，碩士論文，國立中正大學。
    5. 陳彥如(2007)。台灣股票報酬四因子模型再檢定---分量迴歸之應用，碩士論文，義守大學。
    6. 連婉琦(2011)，產業專精與本土券商及外資券商之推薦績效，碩士論文，嶺東科技大學(EMBA)。
    7. 張尊悌(1996)。貝它,公司規模及淨值市價比三因子評價模型之研究:以台灣股市為例，碩士論文，國立清華大學。
    8. 黃舒瑜(2004)，台灣經濟新報股票投資評等之長期績效分析，碩士論文，私立東海大學。
    9. 鄭雯芳(2009)，產業與券商推薦績效持續性，博士論文，國立中正大學。
    10. 劉貞芸(2004)，報紙推薦資訊之實證研究，碩士論文，私立淡江大學。
    11. 蕭君怡(2005)，國內券商與外資券商投資評等績效之比較，碩士論文，國立華大學。
    12. 蕭秋芸(1997)，證券分析師選股建議有用性之實證研究，碩士論文，國立中興大學。
    描述: 碩士
    國立政治大學
    金融學系
    102352024
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102352024
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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