市場對券商投資評等之反應實證

Abstract

本文進行台灣市場對於券商投資評等的反應實證研究，關於此ㄧ議題，過去台灣已有些許相關文獻，不過不同文獻之結果不盡相同。因此本文採用2004-2012年間TEJ與鉅亨網之樣本，期望能從透過較長的樣本期間與使用不同資料庫的樣本來全面性地探討此ㄧ議題。除此之外，為了探討何種情況下券商報告有較大的影響力，本文依照發佈券商、發佈媒體、不同評等語氣等分類方式分別比較市場反應情形。而為了探討不同投資人看待投資評等的態度是否不同，研究評等發佈當日三大法人與散戶交易的方向為何。最後，除了標的股票外，本文亦探討投資評等對於整體市場情況以及個股期貨之資訊內涵。

There were some researches about the market reaction to stock recommendation in the past few years. However, there is still no general consensusbecause these researches each showed different results.This thesis compares the empirical results with samples from different databases and periods, expecting to have a complete view on the topic.And it also compares the magnitude of market reactions from varieties of aspects.The comparings are based on different reporting institutions, releasing medias and words used in recommendation. Besides, this thesis also considers the abnormal trading volumeof institutional investors and retail investors when a report was disclosured. Finally, this article studys the informativeness of the analyst reports on macroeconomic and on the stock furtures.