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題名 投資人可否從券商推薦的股票獲利？
Can investors profit from brokerages’ stock recommendations?
作者 張清發
Chang, Ching Fa
貢獻者 陳威光<br>林靖庭
Chen, Wei Kuang<br>Lin, Ching Ting
張清發
Chang, Ching Fa
關鍵詞 券商推薦
分析師推薦
券商評等
交易策略
市場效率
超額報酬
Analyst recommendations
Stock recommendations
Investment recommendation
Efficient Market
Trading Strategy
Abnormal Return
日期 2016
上傳時間 1-Jul-2016 15:00:05 (UTC+8)
摘要 過去國內文獻大致指出投資人難以依靠券商的投資建議獲利，此與大部份國外文獻的發現相異。本文參考Barber et al. (2001)，建構一個適用於台灣股票市場的研究方法，再以四因子模型做實證。本文以2007年3月至2015年12月，共48987筆卷商個股報告為研究樣本，來探討券商報告的投資建議能否獲利。本文研究結果發現，台灣的券商報告擁有額外的資訊價值，此與Barber et al. (2001)及其他國外文獻大致相同。
本研究依券商的推薦強度建構四個投資組合。發現推薦程度高的投資組合平均月報酬為正，且高於大盤；而推薦程度低的投資組合平均月報酬顯著低於大盤，且擁有顯著的負超額報酬。本文進一步建構買進賣出策略，即買進推薦股票高的投資組合並賣出推薦程度低的投資組合，發現此策略報酬顯著高於零及大盤，且存在顯著的正超額報酬。另外在台股多頭期間，本研究的實證結果更加顯著，推薦程度高的投資組合平均月報酬增加至顯著高於大盤，且超額報酬顯著為正；推薦程度低的投資組合之大盤調整報酬及負超額報酬的顯著程度提高；而買進賣出策略獲得超額報酬的顯著程度也大幅提高。
Past Taiwanese literatures generally indicated that it is difficult to obtain profit from Taiwanese stock recommendations of brokerage, which is different from most of foreign literatures. Referring to Barber et al. (2001), we improve and build a research methodology applied to Taiwanese stock market, conducting empirical analysis with four-factor model. From March 2007 to December 2015, we use total 48987 brokers’ stock recommendations as sample to investigate whether inventors could earn profit from the broker recommendations. Our empirical results show that Taiwanese broker reports hold additional information, which is consistent with Barber et al. (2001) and most of foreign literatures.
According to the strength of recommendation, we construct four portfolios and find that the return of the most favorable portfolio is higher than market, while the return of the least favorable portfolio is significantly smaller than market and holds significantly negative access return. We further construct a long-short strategy, which buys the most favorable portfolios and shorts the least favorable portfolios. The return of this strategy is significantly higher than market, and excess return is significantly positive. During Taiwanese bull market, the significance of our empirical result improves. The significance level of market-adjusted return and access return for both the most favorable and least favorable portfolio is higher. In addition, the significance level of excess return for long-short strategy also greatly improves.
參考文獻 【英文參考文獻】
1. Agrawal, A., & Chen, M. A. (2012). Analyst conflicts and research quality. The Quarterly Journal of Finance, 2(02).
2. Barber, B., Lehavy, R., McNichols, M., & Trueman, B. (2001). Can investors profit from the prophets? Security analyst recommendations and stock returns. The Journal of Finance, 56(2), 531-563.
3. Boni, L., & Womack, K. L. (2006). Analysts, industries, and price momentum. Journal of Financial and Quantitative Analysis, 41(01), 85-109.
4. Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57–82.
5. Cowen, A., Groysberg, B., & Healy, P. (2006). Which types of analyst firms are more optimistic?. Journal of Accounting and Economics, 41(1), 119-146.
6. Desai, Hemang, and Prem C. Jain, 1995, An analysis of the recommendations of the ‘superstar’ money managers at Barron’s annual roundtable, Journal of Finance 50, 1257–1273.
7. Diefenbach, Robert E., 1972, How good is institutional brokerage research? Financial Analysts Journal 28, 54–60.
8. Green, T. C. (2006). The value of client access to analyst recommendations. Journal of Financial and Quantitative Analysis, 41(01), 1-24.
9. Irvine, P. J. (2004). Analysts` forecasts and brokerage-firm trading. The Accounting Review, 79(1), 125-149.
10. Jackson, A. R. (2005). Trade generation, reputation, and sell‐ side analysts. The Journal of Finance, 60(2), 673-717.
11. Jegadeesh, Narisimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65–91.
12. Jegadeesh, N., Kim, J., Krische, S. D., & Lee, C. (2004). Analyzing the analysts: When do recommendations add value?. The journal of finance, 59(3), 1083-1124.
13. Keim, Donald B., and Ananth Madhavan, 1998, The cost of institutional equity trades, Financial Analysts Journal 54, 50–69.
14. Womack, Kent L., 1996, Do brokerage analysts’ recommendations have investment value? Journal of Finance 51, 137–167.

【中文參考文獻】
1. 邱淑珍(1997)，股票公開推薦資訊有效性之實證研究，碩士論文，國立台灣大學。
2. 林昭芃(2007)。股市之價值溢酬及多因子模型之探討-以台灣股票市場為例，碩士論文，國立中央大學。
3. 胡玉雪(1994)。益本比、淨值/市價比及公司規模對股票報酬之影響：相似無關迴歸法之應用，碩士論文，國立臺灣大學。
4. 陳建成(1999)，股票推薦價值與影響因素之研究，碩士論文，國立中正大學。
5. 陳彥如(2007)。台灣股票報酬四因子模型再檢定---分量迴歸之應用，碩士論文，義守大學。
6. 連婉琦(2011)，產業專精與本土券商及外資券商之推薦績效，碩士論文，嶺東科技大學(EMBA)。
7. 張尊悌(1996)。貝它,公司規模及淨值市價比三因子評價模型之研究:以台灣股市為例，碩士論文，國立清華大學。
8. 黃舒瑜(2004)，台灣經濟新報股票投資評等之長期績效分析，碩士論文，私立東海大學。
9. 鄭雯芳(2009)，產業與券商推薦績效持續性，博士論文，國立中正大學。
10. 劉貞芸(2004)，報紙推薦資訊之實證研究，碩士論文，私立淡江大學。
11. 蕭君怡(2005)，國內券商與外資券商投資評等績效之比較，碩士論文，國立華大學。
12. 蕭秋芸(1997)，證券分析師選股建議有用性之實證研究，碩士論文，國立中興大學。
描述 碩士
國立政治大學
金融學系
102352024
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352024
資料類型 thesis
dc.contributor.advisor 陳威光<br>林靖庭zh_TW
dc.contributor.advisor Chen, Wei Kuang<br>Lin, Ching Tingen_US
dc.contributor.author (Authors) 張清發zh_TW
dc.contributor.author (Authors) Chang, Ching Faen_US
dc.creator (作者) 張清發zh_TW
dc.creator (作者) Chang, Ching Faen_US
dc.date (日期) 2016en_US
dc.date.accessioned 1-Jul-2016 15:00:05 (UTC+8)-
dc.date.available 1-Jul-2016 15:00:05 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2016 15:00:05 (UTC+8)-
dc.identifier (Other Identifiers) G0102352024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98566-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 102352024zh_TW
dc.description.abstract (摘要) 過去國內文獻大致指出投資人難以依靠券商的投資建議獲利，此與大部份國外文獻的發現相異。本文參考Barber et al. (2001)，建構一個適用於台灣股票市場的研究方法，再以四因子模型做實證。本文以2007年3月至2015年12月，共48987筆卷商個股報告為研究樣本，來探討券商報告的投資建議能否獲利。本文研究結果發現，台灣的券商報告擁有額外的資訊價值，此與Barber et al. (2001)及其他國外文獻大致相同。
本研究依券商的推薦強度建構四個投資組合。發現推薦程度高的投資組合平均月報酬為正，且高於大盤；而推薦程度低的投資組合平均月報酬顯著低於大盤，且擁有顯著的負超額報酬。本文進一步建構買進賣出策略，即買進推薦股票高的投資組合並賣出推薦程度低的投資組合，發現此策略報酬顯著高於零及大盤，且存在顯著的正超額報酬。另外在台股多頭期間，本研究的實證結果更加顯著，推薦程度高的投資組合平均月報酬增加至顯著高於大盤，且超額報酬顯著為正；推薦程度低的投資組合之大盤調整報酬及負超額報酬的顯著程度提高；而買進賣出策略獲得超額報酬的顯著程度也大幅提高。		zh_TW
dc.description.abstract (摘要) Past Taiwanese literatures generally indicated that it is difficult to obtain profit from Taiwanese stock recommendations of brokerage, which is different from most of foreign literatures. Referring to Barber et al. (2001), we improve and build a research methodology applied to Taiwanese stock market, conducting empirical analysis with four-factor model. From March 2007 to December 2015, we use total 48987 brokers’ stock recommendations as sample to investigate whether inventors could earn profit from the broker recommendations. Our empirical results show that Taiwanese broker reports hold additional information, which is consistent with Barber et al. (2001) and most of foreign literatures.
According to the strength of recommendation, we construct four portfolios and find that the return of the most favorable portfolio is higher than market, while the return of the least favorable portfolio is significantly smaller than market and holds significantly negative access return. We further construct a long-short strategy, which buys the most favorable portfolios and shorts the least favorable portfolios. The return of this strategy is significantly higher than market, and excess return is significantly positive. During Taiwanese bull market, the significance of our empirical result improves. The significance level of market-adjusted return and access return for both the most favorable and least favorable portfolio is higher. In addition, the significance level of excess return for long-short strategy also greatly improves.		en_US
dc.description.tableofcontents 第一章 緒論 1
第二章 文獻回顧 4
第三章 樣本選取與研究方法 8
第一節 樣本選取 8
一、 樣本來源 8
二、 推薦分類 12
第二節 研究方法 16
一、 投資組合建構 16
二、 報酬衡量 19
第四章 實證結果與分析 22
第一節 全部期間 22
第二節 多頭期間 27
第五章 結論與後續研究 31
參考文獻 34		zh_TW
dc.format.extent 1103536 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352024en_US
dc.subject (關鍵詞) 券商推薦zh_TW
dc.subject (關鍵詞) 分析師推薦zh_TW
dc.subject (關鍵詞) 券商評等zh_TW
dc.subject (關鍵詞) 交易策略zh_TW
dc.subject (關鍵詞) 市場效率zh_TW
dc.subject (關鍵詞) 超額報酬zh_TW
dc.subject (關鍵詞) Analyst recommendationsen_US
dc.subject (關鍵詞) Stock recommendationsen_US
dc.subject (關鍵詞) Investment recommendationen_US
dc.subject (關鍵詞) Efficient Marketen_US
dc.subject (關鍵詞) Trading Strategyen_US
dc.subject (關鍵詞) Abnormal Returnen_US
dc.title (題名) 投資人可否從券商推薦的股票獲利？zh_TW
dc.title (題名) Can investors profit from brokerages’ stock recommendations?en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 【英文參考文獻】
1. Agrawal, A., & Chen, M. A. (2012). Analyst conflicts and research quality. The Quarterly Journal of Finance, 2(02).
2. Barber, B., Lehavy, R., McNichols, M., & Trueman, B. (2001). Can investors profit from the prophets? Security analyst recommendations and stock returns. The Journal of Finance, 56(2), 531-563.
3. Boni, L., & Womack, K. L. (2006). Analysts, industries, and price momentum. Journal of Financial and Quantitative Analysis, 41(01), 85-109.
4. Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57–82.
5. Cowen, A., Groysberg, B., & Healy, P. (2006). Which types of analyst firms are more optimistic?. Journal of Accounting and Economics, 41(1), 119-146.
6. Desai, Hemang, and Prem C. Jain, 1995, An analysis of the recommendations of the ‘superstar’ money managers at Barron’s annual roundtable, Journal of Finance 50, 1257–1273.
7. Diefenbach, Robert E., 1972, How good is institutional brokerage research? Financial Analysts Journal 28, 54–60.
8. Green, T. C. (2006). The value of client access to analyst recommendations. Journal of Financial and Quantitative Analysis, 41(01), 1-24.
9. Irvine, P. J. (2004). Analysts` forecasts and brokerage-firm trading. The Accounting Review, 79(1), 125-149.
10. Jackson, A. R. (2005). Trade generation, reputation, and sell‐ side analysts. The Journal of Finance, 60(2), 673-717.
11. Jegadeesh, Narisimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65–91.
12. Jegadeesh, N., Kim, J., Krische, S. D., & Lee, C. (2004). Analyzing the analysts: When do recommendations add value?. The journal of finance, 59(3), 1083-1124.
13. Keim, Donald B., and Ananth Madhavan, 1998, The cost of institutional equity trades, Financial Analysts Journal 54, 50–69.
14. Womack, Kent L., 1996, Do brokerage analysts’ recommendations have investment value? Journal of Finance 51, 137–167.

【中文參考文獻】
1. 邱淑珍(1997)，股票公開推薦資訊有效性之實證研究，碩士論文，國立台灣大學。
2. 林昭芃(2007)。股市之價值溢酬及多因子模型之探討-以台灣股票市場為例，碩士論文，國立中央大學。
3. 胡玉雪(1994)。益本比、淨值/市價比及公司規模對股票報酬之影響：相似無關迴歸法之應用，碩士論文，國立臺灣大學。
4. 陳建成(1999)，股票推薦價值與影響因素之研究，碩士論文，國立中正大學。
5. 陳彥如(2007)。台灣股票報酬四因子模型再檢定---分量迴歸之應用，碩士論文，義守大學。
6. 連婉琦(2011)，產業專精與本土券商及外資券商之推薦績效，碩士論文，嶺東科技大學(EMBA)。
7. 張尊悌(1996)。貝它,公司規模及淨值市價比三因子評價模型之研究:以台灣股市為例，碩士論文，國立清華大學。
8. 黃舒瑜(2004)，台灣經濟新報股票投資評等之長期績效分析，碩士論文，私立東海大學。
9. 鄭雯芳(2009)，產業與券商推薦績效持續性，博士論文，國立中正大學。
10. 劉貞芸(2004)，報紙推薦資訊之實證研究，碩士論文，私立淡江大學。
11. 蕭君怡(2005)，國內券商與外資券商投資評等績效之比較，碩士論文，國立華大學。
12. 蕭秋芸(1997)，證券分析師選股建議有用性之實證研究，碩士論文，國立中興大學。		zh_TW