市場對券商投資評等之反應實證

Song-Pei Chou; 周松霈

請用此 Handle URI 來引用此文件： http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62543

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.advisor	胡星陽
dc.contributor.author	Song-Pei Chou	en
dc.contributor.author	周松霈	zh_TW
dc.date.accessioned	2021-06-16T16:04:07Z	-
dc.date.available	2013-07-03
dc.date.copyright	2013-07-03
dc.date.issued	2013
dc.date.submitted	2013-06-27
dc.identifier.citation	Barber, B., R. Lehavy, M. McNichols, and B.Trueman (2001), “Can Investors Profit from the Prophets? Security Analyst Recommendationsand Stock Returns”, Journal of Finance, 56,531-563. Brav and Lehavy (2003), “An Empirical Analysis of Analysts' Target Prices: Short-term Informativeness and Long-term Dynamics”, The Journal of Finance 5, 1033-1967 Bagnoli, Mark E., Clement, Michael B., Crawley, Michael J. and Watts, Susan G(2009).,“The Profitability of Analysts’ Stock Recommendations: What Role Does Investor Sentiment Play?”, Working paper Francis and Soffer (1997), “The Relative Informativeness of Analysts’ Stock Recommendations and Earnings Forecast Revisions”,Journal of Accounting Research Loh and Stulz (2010),” When are Analyst Recommendation Changes Influential?,Review of Financial Studies Michael B. Mikhail, Beverly R. Walther, and Richard H. Willis (2007),”When SecurityAnalysts Talk, Who Listens?”, The Accounting Review: October 2007, Vol. 82, No. 5, pp. 1227-1253 Malmendier, Ulrike and Shanthikumar, Devin M. (2007), “Are Small Investors NaiveAbout Incentives?”, Journal of Financial Economics, Forthcoming Chan K. W.,C.Chang and A. Wang (2004),” Put Your Money Where Your Month Is: Do Financial Firms Follow Their Own Recommendations?”, Woroking Paper, Department of Applied Economics and Management, Cornell University R. Jegadeesh, N., J. Kim, S. D. Krische, and C. M. C.Lee (2004),“Analyzing the Analysts: When do Recommendations Add Value?”, The Journal of Finance, 59, 1083-1124 Womack, K. L. (1996),“Do Brokerage Analysts’Recommendations Have Investment Value?”, Journal of Finance, 51, 137-167 王芊儒 (2012)，「台股外資分析師報告預測目標價之正確性與影響因素分析」，碩士論文，交通大學財務金融研究所池祥萱、蕭君怡 (2005)，「券商投資評等報告的資訊內涵－本國券商與外資」，《金融風險管理季刊》，第一卷第三期，27-45。沈中華、池祥麟、高于婷(2004)，「證券商股票推薦之利益衝突及影響」，《台灣金融財務季刊》，第六輯第二期吳宜鴻 (2007)，「外資券商分析師目標價宣告之資訊內涵」，未出版碩士論文，東華大學企業管理學系。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」，《真理財金學報》，41-70。連婉琦 (2011)，「產業專精與本土券商及外資券商之推薦績效」，未出版碩士論文，嶺東科技大學高階主管企管碩士在職專班。
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62543	-
dc.description.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。	zh_TW
dc.description.abstract	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.	en
dc.description.provenance	Made available in DSpace on 2021-06-16T16:04:07Z (GMT). No. of bitstreams: 1 ntu-102-R00723078-1.pdf: 1594745 bytes, checksum: a229d6c5a202bce542fa8b610f4426f0 (MD5) Previous issue date: 2013	en
dc.description.tableofcontents	中文摘要 ............................................. i ABSTRACT ............................................ ii 目錄 ............................................. . iii 一、緒論..............................................1 1.1 研究動機與背景.....................................1 1.2 研究流程與架構.....................................2 二、文獻回顧..........................................3 2.1 國外文獻.......................................... 3 2.2 台灣文獻.......................................... 4 三、評等建議對標的股票報酬率之影響................... 6 3.1 研究方法...........................................6 3.2 股票評等分級與樣本來源說明.........................7 3.3 TEJ 與鉅亨網之比較.................................9 3.4 金融海嘯前後之比較................................13 3.5 不同券商之比較....................................18 3.6 不同發佈媒體之比較................................21 3.7 不同評等用詞之比較............................... 29 3.8 異常報酬之平均數與中位比較........................29 四、三大法人與散戶交易量對股票評等之反應.............32 4.1 三大法人買賣超與股票評等之相關性..................32 4.2 融資買賣差額與股票評等之相關性....................34 五、市場大盤與個股期貨之反應........................ 35 5.1 市場大盤與股票評等之相關性........................35 5.2 個股期貨報酬與評等建議之相關性....................37 六、結論.............................................39 參考文獻............................................. 42
dc.language.iso	zh-TW
dc.subject	分析師	zh_TW
dc.subject	投資評等	zh_TW
dc.subject	散戶	zh_TW
dc.subject	國內法人	zh_TW
dc.subject	stock recommendation	en
dc.subject	individual investors	en
dc.subject	domestic security firms	en
dc.subject	analyst	en
dc.title	市場對券商投資評等之反應實證	zh_TW
dc.title	The Market Reaction To Stock Recommendation	en
dc.type	Thesis
dc.date.schoolyear	101-2
dc.description.degree	碩士
dc.contributor.oralexamcommittee	陳明賢,莊文議
dc.subject.keyword	投資評等,分析師,國內法人,散戶,	zh_TW
dc.subject.keyword	stock recommendation,analyst,domestic security firms,individual investors,	en
dc.relation.page	43
dc.rights.note	有償授權
dc.date.accepted	2013-06-27
dc.contributor.author-college	管理學院	zh_TW
dc.contributor.author-dept	財務金融學研究所	zh_TW
顯示於系所單位：	財務金融學系

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