從字裡行間挖掘分析師利益衝突的影響

Abstract

本研究使用某間美國知名券商的分析師報告，以文字探勘的方式從報告中收集分析師報告語調、利益衝突兩項主要變數，挖掘文字特性對於分析師報告投資評等的影響以及利益衝突對文字特性和投資評等關係的調節作用。本研究發現當分析師使用較多正面的詞彙時會傾向做出樂觀的投資評等並建議買進股票，後續以此關係為基礎來分析是否受利益衝突之影響，此外，在控制基本面表現和分析師報告語調之後，仍有數種利益衝突會影響投資評等。最後則發現利益衝突確實會調節分析師文字對應到投資評等的關係。整體而言，本研究的實證結果表明Rule 2711並未全然除去利益衝突的影響，同時也發現特定類型的利益衝突對於分析師報告的可信度存在負面影響，或許可供後續法規的修訂方向提出具體指引，另一方面也可供投資人於日後閱讀分析師報告作為參考。

This research examines the impact of textual characteristics on stock recommendations and whether this impact is conditional on the conflicts of interest as disclosed in the analyst report. The result shows that when analysts use more positive words, they tend to make buy recommendations. In addition, several types of conflicts of interest affect stock recommendations. Finally, the result shows that conflicts of interest do moderate the relation between the tone of analyst report and stock recommendations. Overall, the empirical results indicate that Rule 2711 has not completely eliminated the impact of conflicts of interest, and also provide evidence that certain types of conflicts of interest may bias stock recommendations in analyst reports. It may be used as a guide for the revision of subsequent regulations, and on the other hand, it can also be used by investors as a reference when reading analyst reports.