平面財經媒體推薦之短期資訊內涵及過度反應之研究 –以商業周刊為例

Abstract

台灣股市近幾年的散戶比例雖然有逐年下降的趨勢，不過根據證券交易所的統計資料，散戶投資人仍占高達股市組成人數六成以上，而一般投資人主要獲得的股票推薦資訊來源除了參與財經頻道或特定管道的會員外，大多數皆來自平面的財經媒體，所以這些在市場上不停出現的推薦來源，就是一個值得深入探討的議題。本文以「事件研究法」(Event Study)為研究方法，佐以GARCH(1,1)模型為衡量股價波動行為，並以台灣財經雜誌發行量最大-商業周刊為研究樣本。主要研究目的是探討平面財經媒體之推薦資訊是否有其資訊內涵，值得投資人關注，並且也討論台灣股票市場是否符合半強式效率市場；再者，嘗試以過度反應的觀點，探究投資人會否有過分重視近期媒體推薦的資訊，而忽略長期的基本資訊等之短視的現象。最後，也分別在全部樣本及不同特性下如市場期間、公司規模及產業間探討上述現象市場反應是否有所差異。實證結果發現在全部樣本、公司規模小、電子產業及金融保險產業的討論下，平面財經媒體內之推薦資訊確有其資訊內涵，不過在事件日過後的隔日正異常報酬便迅速消失，故台灣股市符合半強式效率市場假說；而在全部樣本、多頭市場、公司規模小及電子產業下，市場會對於平面財經媒體的公開推薦的資訊存在有過度反應的現象。

Although the proportion of individual investors has been decreasing recently, they still accounts for more than 60% in Taiwan Stock Exchange Market. Because most of individual investors can easily get the stock recommendations from financial magazines or newspapers, the phenomenon of more and more financial press is worth discussing. Besides, according to the Behavioral Economics, investors in the stock market usually overreact to the recent news compare to the long term basic information. Therefore, we are also curious about if the investors overreact to the financial press. The purpose of this study is to verify the information contents and the overreaction to the recent stock recommendations of financial press. In addition, we also examine the efficiencies in TSEC. The method we use is event study with GARCH(1,1) model, and the data comes from Taiwan Business Weekly. The empirical result shows that Taiwan is a Semi-Strong Form Efficient Market. Recommendations in all samples, small firm size companies, electronic industry and finance & insurance industry on the financial press have information contents. Moreover, the recommendations on the financial press makes investors overreact in Taiwan stock market, especially in all samples, bullish market, small firm size companies and electronic industry.