Will An Analyst Report More Positively for Less-Covered Stocks When They Are First Included on His/Her List?

Abstract

分析師納入或剔除其所分析股票，取決於追蹤成本與效益，所以其將機構投資人較少進出且只被少數分析師關注的股票納入分析，必然是其相當看好該企業前景。因此本文比較證券商或分析師首次分析特定股票時，對分析師關注程度不同個股研究報告是否有所差異及其後的市場反應。結果顯示，分析師對低市場關注股票有較正面的首次研究報告，而股票投資人對此正面訊息也有較大的回應，即使控制投資評等後，結果仍然顯著。長期則因分析師關注程度低股票有更佳的流動性改善效果，公司價值顯著增加。此外，本文也發現已上市年度愈長，首次被分析師納入者之長期表現愈好。此研究並探討證券商首次分析與分析師首次分析之差異與特點。本研究也發現低市場關注個股在分析師或證券商首次分析後，其他關注此股票之分析師數目與股票的流動性會逐漸提高，但所增加的數目並未超過原本已受到市場高度關注股票。

A security analyst may trade off the benefits of his/her covering companies against the costs. He/she includes less-covered stocks on the lists unless he/she feels optimistic regarding them. This study aims to investigate whether a security analyst would report differently when initiating coverage for the less-covered versus the well-followed stocks and how the market reacts to these reports. The results support the notion that an analyst tends to release more positive research reports for coverage initiation on the less-covered stocks, and the market reacts favorably to such positive information. Moreover, our results show that the less-covered stocks gradually increase their firm value, resulting partially from the enhancement in liquidity. Furthermore, there exists a positive relationship between the firm ages and their long-run stock returns since coverage initiation.