外資研究報告目標價與評等之資訊內涵及對券商買賣行為之影響

Abstract

本論文探討外資研究報告中目標價改變在臺灣股票市場是否具有資訊內涵。本文的實證結果發現目標價改變和報告宣告效果的累積異常報酬之間有正向關係。本文也探討券商的利益衝突現象，針對外國投資銀行證券經紀部門在該投資銀行發佈報告前後的買賣行為，檢驗經紀部門是否有提早洩漏報告給客戶的可能性。本文的實證結果發現，券商在報告發佈前四週、前兩週、前一週累積至報告發佈日的買賣超均顯著與報告資訊同向，推測經紀部門有提前洩漏研究報告資訊給客戶的可能性。

This thesis studies market reactions to equity analyst reports issued by foreign brokerage houses. It finds that the cumulative abnormal return caused by the release of analyst reports is positively associated with target price change. This thesis also investigates the possibility of the conflicts of interest that brokerage houses may reveal the information contents of the reports to their clients before the reports are released to the public. It finds that the net traded patterns of 1, 2, and 4 weeks before the release of analyst reports are consistent with the changes in buy/sell recommendations and target price in the reports.