券商投資評等改變之外溢效果─產業競爭程度所扮演的角色

Abstract

在文獻上，券商發佈的投資評等對於投資人的投資決策是否有幫助，有許多的討論。本文探討被改變投資評等的公司是否會影響同產業中未被改變評等的同儕公司，亦即投資評等改變是否存在外溢效果(spillover effects)。研究方法主要依照Loh (2006)的作法，再根據Herfindahl-Hirschman Index (HHI) 將未被改變投資評等的同儕公司分成兩組，即集中的產業與競爭的產業，以檢驗外溢效果在不同競爭程度的產業中是否不同。實證結果顯示，投資評等改變的外溢效果在集中的產業並不顯著；然而在競爭的產業中，若投資評等不是大幅調升或調降，投資評等改變的競爭效果大於傳染效果。

The usefulness (limitations) of analysts’ stock recommendations has been heavily discussed in many studies. This paper examines spillover effects of stock recommendation changes onto peer firms in the same industry by following the procedure of Loh (2006). I further divide the peer firms into two groups based on Herfindahl-Hirschman Index (HHI) to conduct the tests. I investigate whether the degree of industry competition affects spillover effects of stock recommendation changes. The results show that recommendation changes have no influence on corresponding peer firms in concentrated industries. However, the findings in competitive industries suggest that competitive effects dominate contagion effects in recommendation changes if these changes issued by analysts are not drastic.