非事件日得獎分析師推薦股報告對市場價量衝擊

Abstract

有鑑於證券分析師提出分析報告之時機常為企業之重大事件日，致使分析師報導所引起市場反應大小之實證研究或有虛假相關，本研究刪除分析師包含事件日報告，以釐清得獎分析師是否確實具有對市場較大的影響力，本研究透過異常交易量、異常報酬率、法人買賣超觀察得獎分析師是否能夠引起較非得獎分析師對此三變數顯著的影響，研究結果發現得獎分析師並不會引起較非得獎分析師顯著的異常交易量。在異常報酬率部份，薦售的情況下，得獎分析師會引起較非得獎非析師顯著的負向異常報酬率，其他情況下皆無顯著差異。在法人買賣超部分，在薦售情況下，得獎分析師會造成較非得獎分析師顯著的國內法人買超，但在強力薦購與強力薦售下，得獎分析師都引起了較非得獎分析師顯著的反向買賣超。本研究也以重複得獎分析師檢測分析師得獎後是否較非得獎分析師對市場具有顯著的影響力，結果顯示重複得獎分析師在強力薦購與薦售下，引起較非得獎分析師顯著的異常報酬率。

Because analysts usually announce reports along with major company events, there may exists spurious association between the reaction of market and the announcement of analysts’ reports. This study excludes the reports accompanying company event days to clarify whether all-star analysts are more influential than the others. This study examines abnormal volume, abnormal return, and net buy/sell of institutional investors to investigate whether all-star analysts can cause more significant affection than non all-star analysts. The result suggests that all-star analyst reports do not cause significant abnormal volume than non all-star analysts’ , as for the abnormal return, tests regarding sell recommendations, all star analysts appear to cause more significant negative abnormal return than non all-star analysts, and yet make no difference under other recommendations. All-star analysts can cause more significant domestic institutional investor net buy than non all-star analysts. As for strong buy and strong sell, nevertheless, all-star analysts can cause more significant opposite net buy and net sell. This study also identifies repeated all-star analysts to test the perceived informativeness of their reports after analysts won the prize. The result suggests that the strong buy and strong sell recommendations provided by the repeated all-star analyst cause more significant abnormal return than non all-star analysts.