證券分析師是否忽略復甦企業股票？以行為觀點探究

Abstract

心理學文獻指出投資人處理資訊效能受認知限制所影響。本研究探討分析師是否亦受認知失調影響，以及有限的認知處理能力如何影響分析師形成投資推薦。認知失調是一種防禦機制，其避免證據與個人信念不一致時所產生的心理不適。此種認知限制可能導致分析師傾向不注意某類型證券或資訊。本研究使用負面推薦作為分析師對公司負面觀感之替代變數，發現分析師對此類公司股票之正向消息有延遲發佈的現象。本研究對分析師行為相關文獻之貢獻，在於提供分析師對過去存在負面觀感的公司股票，平均而言會有對好消息反應不足的實證證據。本研究中復甦型公司股票顯著較長的推薦保留期間與投資管理逆勢操作策略有效性結論一致。關鍵詞：分析師推薦、認知失調、有限注意力、反應不足

Motivated by psychological evidence that cognitive constraints affect investors in processing information, this study investigates whether analysts are subject to cognitive dissonance and how limited cognitive processing power influences analysts’ issuance of investment recommendation. Cognitive dissonance is a defense mechanism to avoid psychological discomfort when the evidence is inconsistent with one’s prior perception. Such cognitive constraints may limit analysts’ attention to certain stocks or information. We use preceding unfavorable recommendations to proxy analysts’ negative perceptions and find that analysts delay their incorporating positive signals into the recommendations. This paper contributes to the analyst behavior literature by providing empirical evidence that analysts’ underreaction to new information for unfavorable category stocks is partly attributable to the cognitive dissonance. The documented significantly longer duration for the recovering stocks is consistent with the effectiveness of contrarian investment strategies. Keywords: Analyst recommendation, Cognitive dissonance, Limited attention, Underreaction.