券商評等目標價與投資人行為

Abstract

多數投資人會參考卷商發布之投資建議作為依據進行買賣，故本研究主要探 討券商目標價及投資評等對股票異常報酬及投資人行為的影響，利用台灣經濟新報資料庫，研究期間為 2019 年至 2021 年共 3 年的期間，整理共 3818 筆數據，主要標的鎖定為元大 0050 相關成份股。本文先將投資評等及目標價進行疏理及彙整後，藉由事件研究法分類檢驗評等及目標價的相關超額報酬，再以不同投資人行為因子去探討與超額報酬之關係。 研究結果有以下幾點: (一) 正面評級於前ㄧ、兩日具有異常報酬，呼應了過往文獻的券商宣告效果外，本文也額外點出了持有長天期不賣出可能會面臨顯著負報酬的影響，另外，本土及外資券商於正面評級時有完全不同的超額報酬表現，本土相對具資訊價值。 (二)中立評級於投資者解讀中多近於負面評級，無論長短期皆出現顯著超額負報酬，也呼應了券商多為樂觀看待標的，若調整看法時將造成一定的市場反應。 (三)負面評級於發布當下具有最高超額負報酬，之後慢慢收斂縮小，而本土券商報告資訊價值相對外國券商更為顯著及資訊價值。 (四)週轉率於正面和中立評級時多為顯著正相關，而於負面評級發布時呈反向，而融資比率於正面及中立時多為顯著負相關，但於負面評級發布時呈正相關，而最後融券比率於正面及中立時多為顯著正相關，於負面評級正反各半。

Most investors will refer to the investment recommendations issued by brokers as a basis for trading. Therefore, this research mainly discusses the impact of brokerage target prices and investment ratings on abnormal stock returns and investor behavior. Used by the Taiwan Economic News as Database. The research period is three-year period from 2019 to 2021. The main targets were locked in 0050-related constituent stocks and recognized a total of 3818 data. In this paper, the investment rating and target price are first sorted out and aggregated. The relative excess return of rating and target price is classified and tested by using the event research method, and then discussed with different investor behavior factors between the investment and the return.

The findings of the study are as follows: 1. The positive rating has abnormal returns in first and second days. In addition to echoing the effect of brokerage announcements in the past literature, this article also points out that holding for a long period of time without selling may face significant negative returns. Besides, foreign securities firms have completely different excess return performance compare to local one when they are positively rated. Local one give more information value 2. Neutral ratings are mostly close to negative ratings in investors' interpretations. Significant excess negative returns have occurred in both the long and short term, which also echoes the fact that securities companies are mostly optimistic about the target. Once they adjust their views, it will cause a certain market reaction. 3. When a negative rating is published, it has the highest excess negative return at present, and then gradually converges and shrinks. Besides, the information value reported by local securities companies is more significant and accurate than foreign securities companies 4. The turnover ratio is mostly significantly positively correlated when the positive rating and the neutral rating are issued, but it is negatively correlated when the negative rating is issued. The financing ratio is mostly negatively correlated when positive rating and neutral rating are issued, but it is positive when the negative rating is issued. The securities lending ratio is mostly significantly positive when it is positive and neutral, and it is evenly divided when it is negative.