外資券商之股票投資評等是否存在利益衝突

Abstract

本研究以2003年12月至2004年10月的美林證券、瑞士信貸第一波士頓、摩根大通證券3家外資券商之研究部門的研究報告提供與其自營部門的實際操作，探討其是否會引發券商與其客戶之間的利益衝突以從中不當獲利的行為。 主要透過利益衝突指數的建立，藉由各家外資券商在平均利益衝突指數，以分析外資券商的利益衝突類型與利益衝突程度高低，並檢定利益衝突程度高低是否對累積異常報酬具有解釋能力。 結果發現，在升級或買進投資建議下，美林證券利益衝突程度較另兩家更高且高度違反其投資評等。在中立投資建議下，3家外資券商皆存在發佈投資評等後卻透過自營部門進行買進或賣出的行為。在降級或賣出投資建議下，瑞士信貸第一波士頓證券的利益衝突較嚴重。而在檢定利益衝突是否存在異常報酬的結果，僅在升級或買進投資建議下，以外資券商自營部門進出前後一週資料所計算出的利益衝突指數（CII1）在利益衝突程度較嚴重時對於累積異常報酬較具解釋能力，因此外資券商在投資評等發佈當日的確可能透過此利益衝突行為而從中獲利，而投資評等發佈日後則無法再從中獲利。

We discuss whether the announcement of the research reports of the foreign security houses and the proprietary trading would lead to conflicts of interest between the security houses and its clients regarding pursuing inappropriate interests. For this purpose, we use the research reports and the actual transaction data of proprietary trading divisions from three foreign security houses, Merrill Lynch, Credit Suisse First Boston, and JPMorgan Chase & Co., from December 2003 to October 2004. For this purpose, we analyze the types of conflicts of interest and its levels of foreign security houses by creating the conflicts of interest index (CII). We also evaluate how the level of conflicts of interest explains the accumulated abnormal returns by conducting hypothesis tests. The results indicate that under the investment recommendations of upgrading or buying, the level of conflicts of interest for Merrill Lynch is higher than other two security houses. It also shows that Merrill Lynch highly departs from its investment rating. Under the holding investment recommendations, all three security houses show the behavior of buying or selling through its proprietary after announcing investment recommendations. Under the recommendations of downgrading or selling, Credit Suisse First Boston shows a higher level of conflicts of interest. In the evaluation of whether there exist abnormal returns regarding conflicts of interest, the results indicate that only under the investment recommendation of upgrading or buying, the CII1, calculated by the data of one week before and after the transaction of the proprietary trading, explains the accumulated unusual returns better when the level of conflicts of interest is high. Hence, foreign security houses indeed gain profits from conflicts of interest on the announcement date of investment recommendations but not after that date.