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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/48959
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48959


    Title: 比較外資與國內法人機構發布推薦報告前後之資訊內涵、交易行為及對投資人的影響
    Comparing recommendation reports about information content, trading behavior, and the impact on investors between foreign and domestic institutions
    Authors: 許家蓉
    Hsu, Chia Jung
    Contributors: 李志宏
    Lee, Jie Huan
    許家蓉
    Hsu, Chia Jung
    Keywords: 推薦報告
    資訊內涵
    買賣超行為
    Date: 2009
    Issue Date: 2010-12-08 01:54:18 (UTC+8)
    Abstract: 台灣股票市場一直以來以散戶為主要參與者,隨著上市櫃公司家數的大幅成長,如何從龐大數量的個股裡挑選出獲利標的已非易事,加上散戶蒐集與分析資訊的能力有限,因此低成本且易入手的公開資訊,如券商的推薦報告、機構法人的買賣超動態行為等公開資訊,自然成為散戶投資決策的重要參考指標。
    本研究採用事件研究法探討外資及國內法人機構發布公開推薦報告之可信度、資訊內涵的多寡、及三大法人買賣超行為與推薦報告之關聯性,希望能提供市場投資者在採納機構法人報告時,更瞭解其背後的實質意義。
    研究結果顯示,在強烈買進評等及加碼評等,不論是外資或國內法人機構的報告,皆存在報告發布前外資投資人即先行買進的動作,外資成為股票市場的最大贏家,散戶則承擔了最多損失。在中立評等裡市場對國內法人發布中立評等的報告較偏向正面解讀,對外資機構的建議則真的採取中立態度。在外資及國內法人機構的減碼報告中,平均異常報酬皆有提前下降且維持相當短暫,且外資投資人對外資機構發布的減碼報告信任度極高,但實證結果此時的股市未必如想像中糟糕,外資投資人有過度賣超的疑慮。最後在強烈賣出評等部份,外資報告確實具有一定的資訊內涵,但可能外資於報告發布前已事先布局,股價已對相關資訊有所調整,等到報告發布後大部分的資訊已反應在股價上,使得散戶等到報告出爐再依建議進行買賣股票動作時將產生虧損。
    總而言之,外資及國內法人機構發布之推薦報告通常具有一定之資訊內涵,外資投資者更有在報告發布前提前進行策略性布局的動作,因此散戶在參考推薦報告時勿盡然相信其說,避免成為市場上的輸家。
    Reference: 一、中文文獻
    1. 余世珍(1998),投資顧問公司推薦個股之績效分析,私立逢甲大學企業管理學系碩士論文。
    2. 沈中華與李建然(2000),事件研究法,台北:華泰文化事業股份有限公司。
    3. 吳欽杉(2002),證券分析專業人員推薦意見對被推薦股價的影響,國立中山大學企業管理學系國科會計畫。
    4. 林嬋娟、蔡彥卿、李文智(1993a),簡介盈餘資訊內涵,會計研究月刊,第88期,129-132。
    5. 林嬋娟、蔡彥卿、李文智(1993b),簡介增額資訊內涵,會計研究月刊,第89期,123-127。
    6. 邱淑珍(1997),股票公開推薦資訊有效性之實證研究 ,國立台灣大學商學研究所碩士論文。
    7. 林國興(2001),媒體資訊揭露對於股票價格影響之實證研究─以工商時報、經濟日報所揭露之上市公司訊息為例,南華大學經濟學研究所碩士論文。
    8. 馬若荃(1997),分析師票選股票績效之實證研究,國立中興大學會計研究所碩士論文。
    9. 徐靖志(1999),專家選股意見對股價的影響,淡江人文社會學刊,第四期,39-62。
    10. 高武忠(2006),各系外資研究報告之可信度及對個股股價表現影響,國立臺灣大學財務金融學研究所碩士論文。
    11. 張嘉桓(1998),證券商推薦資訊實用性之實證研究,國立台灣大學商學所碩士論文。
    12. 陳達新、陳維寧、劉貞芸(2006),報紙推薦資訊之實證研究─以經濟日報每週精選潛力股專欄為例,真理財經學報,41-70。
    13. 曾昱達(2002),大眾媒體推薦資訊對台灣股票市場之影響,私立朝陽科技大學財務金融所碩士論文。
    14. 黃舒瑜(2003),台灣經濟新報股票投資評等之長期績效分析,私立東海大學國際貿易學系碩士論文。
    15. 黃旭輝、許惠婷(2004),分析師的推薦股票可以實際獲利嗎?,財經論文叢刊,第一期,101-127。
    16. 黃思衡(2004),外資券商投資評等宣告之資訊內涵,私立朝陽科技大學財務金融研究所碩士論文。
    17. 盧志昌(1999),證券投顧公司投資組合競賽傳達訊息之研究,國立中正大學財務金融研究所碩士論文。
    18. 蕭秋芸 (1997),證券分析師選股建議有用性之實證研究,國立中興大學會計研究所碩士論文。
    19. 蕭君怡(2004),國內券商與外資券商投資評等績效之比較,國立東華大學國際經濟研究所碩士論文。
    20. 蕭君怡、池祥萱(2005),券商投資評等報告的資訊內涵-本國券商與外資券商的比較,金融風險管理季刊,第一卷,第三期,27-45。
    二、英文文獻
    1. Ball, R. J. and Brown, P. (1968), “An empirical examination of accounting income number”, Journal of Accounting Research, pp.159-178.
    2. Barber, B. and Loeffler, Douglas (1993), “The “Dartboard” Column: Second-Hand Information and Price Pressure”, Journal of Financial and Quantitative Analysis, 28: 273-284.
    3. Barber, B., R. Lehavy, M. McNichols, and B. Trueman (2001), “Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns”, Journal of Finance, Vol. lvi, No.2.
    4. Barber, B., R. Lehavy, and B. Trueman (2007), “Comparing the stock recommendation performance of investment banks and independent research firms”, Journal of Financial Economics, 85: 490-517.
    5. Beaver, W. H. (1968), “The information content of annual earnings announcements”, Journal of Accounting Research, 6: 67-92.
    6. Beneish, Messod D. (1991), “Stock price and dissemination of analysts’ recommendation”, Vol.64, Iss.3, pp. 393-416.
    7. Bjerring, J. H., J. Lakonishok, and T. Vermaelen (1983), “Stock price and financial analysts’ recommendations”, Journal of Finance, Vol.38, Iss.1, pp.187-204.
    8. Black, F. (1973), “Yes Virginia, there is hope: Test of the value ranking system”, Financial Analysts Journal, Vol.29, Iss.5, pp.10-14.
    9. Copeland, T. E. and D. Mayers (1982), “The Value Line enigma (1965-1978): A case study of performance evaluation issues”, Journal of Financial Economics, Vol.10, Iss.3, pp.289-321.
    10. Davies, P. L., and M. Canes (1978), “Stock prices and the publication of second-hand information”, Journal of Business, Vol.51, Iss.1, pp.43-55.
    11. Desai, Hemang and P. C. Jain (1995), “An analysis of the recommendations of the superstar money manager at Barron’ s Annual Roundtable”, Journal of Finance, Vol.50, Iss.4, pp.1257-1273.
    12. Devenow, A., and Welch, I. (1996),” Rational herding in financial economics”, European Economic Review 40, pp.603-615.
    13. Graham, J.R. (1999), “Herding among investment newsletters: Theory and evidence”, Journal of Finance, Vol. 54, Iss.1, pp.237- 269.
    14. Graves, John Affleck and Mendenhall, Richard R. (1992), “The relation between the Value Line enigma and post-earnings-announcement drift”, Journal of Financial Economics, Vol. 31, Iss.1, pp.75-96.
    15. Greene, Jason and Scott Smart (1999),“Liquidity provision and noise trading: Evidence from the ‘Investment Dartboard’ column”, Journal of Finance, Vol.54, Iss.5, pp.1885-1899.
    16. Grinblatt, M., Titman, S., Wermers, R. (1995), “Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior”, American Economic Review, Vol.85, Iss.5, pp.1088-1116.
    17. Holloway, Clark (1981),“A note on testing in aggressive investment Strategy using Value Line ranks”, Journal of Finance, Vol.36, Iss.3, pp.711-719.
    18. Huth, William L. and Maris, Brian A. (1992), “Large and small firm stock price response to ‘Heard on the Street’ recommendation”, Journal of Accounting, Auditing & Finance, Vol.7, Iss.1, pp.27-47.
    19. Liu, Pu, Stanley D. Smith, and A. A. Syed (1990), “Stock price reactions to the Wall Street Journal’s securities recommendations”, Journal of Financial and Quantitative Analysis, Vol.25, Iss.3, pp.399-410.
    20. Palmon, Oded, Huey-Lian Sun, and Alex P. Tang (1994), “The impact of publication of analysts’ recommendations on returns and trading volume”, Financial Review, Vol.29, Iss.3, pp.395-417.
    21. Peterson, David R. (1987), “Security price reactions to initial reviews of common stock by the Value Line Investment Survey”, Journal of Financial and Quantitative Analysis, 22: 483-494.
    22. Peterson, David R. and Peterson, Pamela P. (1995), “Abnormal return and analyst’s earnings forecast revisions associated with the publication of ‘Stock Highlights’ by Value Line Investment Survey”, Journal of Financial Research, Vol.18, Iss.4, pp.465-477.
    23. Pruitt, Stephen, B. F. V. Ness and R. A. Van Ness (2000), “Clientele trading in response to published information: Evidence from the dartboard column”, Journal of Financial Research, Vol.23, Iss.1, pp.1-13.
    24. Sant, Rajiv, and M. A. Zaman (1996), “Market reaction to business week ‘Inside Wall Street’ column: a self-fulfillling prophecy”, Journal of Banking and Finance, Vol.20, Iss.4, pp.617-643.
    25. Stickel, Scott E. (1985), “The effect of value line investment survey rank changes on common stock price”, Journal of Financial Economics, Vol.14, Iss.1, pp.121-143.
    26. Womack, Kent L. (1996), “Do brokerage analysts’ recommendations have investment value? ”, Journal of Finance, Vol.51, Iss.1, pp.137-167.
    Description: 碩士
    國立政治大學
    財務管理研究所
    97357006
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357006
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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