各系外資研究報告之可信度及對個股股價表現影響

Abstract

近年來國內資本市場快速發展，上市櫃家數已逾千家，各專業研究機構所發佈之推薦資訊成為一般投資人或機構法人投資的重要參考依據，至2005年10月止外資投資台灣股票市場比重更已高達27.14%，顯見其已成為國內證券市場之重要參與者。加上外資因具備專業之投資研究及分析能力，故其發佈之研究報告往往成為國內本土法人及市場散戶關注之焦點。為瞭解外資研究報告之可信度及對其他投資者投資行為之影響，因此本研究採事件研究法進行相關之研究，研究結果發現：(一)外資本身在多頭時會因買進建議而擴大買超，在空頭時亦會因賣出建議而擴大賣超，但當研究建議與市場趨勢不一致時，其會站在市場面的一方，而不遵循研究建議；但國內法人對外資發佈之買進建議則偏向趁利多時出脫持股；而散戶對外資研究報告之反應並不明顯。(二)各系外資在發佈買進建議前均有先買進之行為，而美系及歐系外資發佈賣出建議前，外資亦均有事先賣出動作。(三)國內法人對於美系及亞系外資之賣出建議信任度較高，但外資及散戶反而較信任歐系券商之賣出建議；至於買進建議方面，國內法人及散戶對外資均不信任。(四)外資之賣出建議在盤整及多頭階段均有顯著負面影響，但在空頭階段則不顯著；而買進建議則只在空頭階段具顯著激勵作用。(五)在準確度方面，買進建議以歐系及美系外資之建議較高，但賣出建議則以亞系外資之建議較可信任。

As the local capital market steadily undergoing rapid development in recent years, fueling the number of public listed and OTC-traded firms to reach more than one thousand, referral information released by a host of professional research institutions has become crucial references to general investors and institutional investors alike in making investment decisions. And with the weighing of foreign capital investing in the Taiwan stock market reaching as high as 27.14% as of October 2000, it is evident that foreign capital has become a crucial participant in the local stock market. Coupled with the fact that foreign capital comes with professional investment research and analytical capability, the research reports that foreign capital releases often becomes a focal point sought after by local institutional investors and small cap investors. In an effort to discern the reliability of foreign capital’s research reports and their impact to the investment behaviors of other investors, the study has adopted the event study method to conduct relevant studies, and the study findings reveal that, (1) Foreign capital tends to buy aggregately in response to buy-in recommendations when the market is up, and tends to sell off aggregately in response to sell-off recommendations when the market down, but would side with the market without following research recommendations when research recommendations conflict the market trends; small cap investors’ response to foreign capital’s research reports is less discernable. (2) Foreign capital of different systems invariably buys in before releasing buy recommendations, and foreign capital invariably sells off in advance before sell recommendations are released by foreign capital of the U.S. system and European system. (3) Local institutional investors tend to have a higher confidence on sell-off recommendations from the U.S. and Asian foreign capital systems, whereas foreign capital and small cap investors inadvertently tend to have a higher confidence on sell-off recommendations from the European brokerage system; with regard to buy-in recommendations, neither local investors nor small cap investors wage their confidence on foreign capital. (4) Foreign capital’s sell-off recommendations tend to bear a negative impact when the shares are undergoing reshuffling or the market is in a rebound stage, but no discernable correlation could be identified in a downturn stage; and buy-in recommendations tend only to create a buoying effect in a downturn stage. (5) In accuracy, foreign capital of the European and U.S. systems’ recommendations tend to be higher on buy-in recommendations, whereas foreign capital of the Asian system’s sell-off recommendations are found more reliable.