券商報告之績效分析

Abstract

本文主要研究券商分析報告的績效分析，以及探討影響績效的因素。研究其間為2008年至2013年，共6061筆數據。本研究將其間分為二段，2008至2012，與2013整年，利用券商報告的評等及目標價作為操作策略，計算絕對報酬並用Jensen’s Alpha計算超額報酬，最後以超額報酬為因變數探討其他相關因素的影響。研究結果主要有三點，第一，券商報告在市場狀況不佳的時候較具有參考價值，市場表現良好的時候券商報告難以獲得正向超額報酬。第二，目標價的達成率低，因此只能當作信心指標，不因當作獲利了結的標準。第三，券商報告的超額報酬不受公司市值、股價淨值比、周轉率等因素影響，且外資券商的績效並未比本土績效突出。

This research investigates the performance of analyst recommendations and discusses the factors which influence the performance. The research examines 6061 data points form 2008 to 2013 ,and divide the 5 year period into to segments: 2008~2012,and 2013. Trading strategy following the analyst recommendations and target price is devised to quantify the absolute returns and subsequently calculates the excess returns based on Jensen’s Alpha. Lastly, adopting the excess returns as the dependent variable, we run a regression model to analyze the impact of factors that affect target price error and excess returns. There are three main results. First, equity research reports are of higher value during bear markets, while it is difficult to earn positive excess returns by analyst’s recommendations during bull markets. Secondly, price targets are rarely met. Therefore, instead of using it as an exit reference, target price should be regarded as a confidence indicator. Thirdly, the excess returns for analyst recommendations are not susceptible to companies’ market capitalization , price to book ratio, number of analyst reports and turnover rate. In addition, foreign broker’s performances do not outpace those of local brokers.