學術產出-學位論文
| 題名 | 以券商報告的評等變化進行投資之績效分析-以分析師經驗與券商規模為例 The analysis of brokerages’ stock recommendation changes - From analyst experience and brokerage size perspective |
| 作者 | 林善仁 Lin, Shan-Ren |
| 貢獻者 | 林靖庭 Lin, Ching-Ting 林善仁 Lin, Shan-Ren |
| 關鍵詞 | 券商推薦 分析師經驗 券商規模 超額報酬 行為財務 Brokerage recommendation Analyst experience Brokerage size Abnormal return Behavioral finance |
| 日期 | 2019 |
| 上傳時間 | 2-三月-2020 11:00:46 (UTC+8) |
| 摘要 | 本文透過券商報告的投資建議，依分析師的經驗以及券商的規模，探討投資者是否能夠從券商評等變化中獲利。本研究發現在股票上升時，投資人因風險趨避，會對正面消息反應不足，從券商報告中挑選上升幅度較小的股票即可獲利。反之，股票下跌時，投資人心態轉為風險喜好，會對負面消息過度反應，從券商報告中挑選評等下降幅度較大的股票才能獲利。 本文進一步使用四因子模型驗證長期超額報酬，結果皆顯示當券商報告評等上調，具顯著正超額報酬；反之，當券商報告評等下調，具顯著負超額報酬。市場超額報酬、規模因素、淨值市價比溢酬和動量因素皆能解釋異常報酬。當評等上升幅度一般時，市場超額報酬與動能因素對於長期超額報酬具有正向解釋能力；當評等下跌幅度較大時，市場超額報酬也具有負向解釋能力。 分析師經驗和券商規模的不同會產生顯著的報酬差異。就評等上升的股票，根據由較有經驗的分析師或規模較大的券商所發出的報告投資能夠獲利。就評等下降的情況，投資人若根據較具經驗的分析師與規模較大的券商所發出下降幅度較大的評等來賣空股票，能有顯著的超額報酬。此結果顯示，分析師的經驗以及券商規模是券商報告參考價值的重要指標。本文亦根據空頭或多頭市場進行穩定性測試，結果與前述結論一致。 This study analyzes the performance of the change of stock recommendation rating reported by brokerages, from the perspective of analyst experience and brokerage size. This study finds that when stock price rises, investors respond to positive news moderately due to their risk avoidance. Investors can profit from investing stocks with a moderate recommendation upgrade. On the other hand, when stock performs worse, investors` risk preference turns into risk loving. Investors need to select stocks with a larger scale of recommendation downgrade to gain profits. In this paper, the four-factor model is used to estimate long-term abnormal return. The results indicate that when the brokerage recommendations have been upgraded, it has a significant positive abnormal return; on the contrary, as the brokerage recommendations have been downgraded, it has a significant negative abnormal return. Market, size, value, and momentum factors can explain abnormal returns. As the stock is upgraded moderately, market and momentum factors have a significant positive statistical effect on long-term abnormal returns; when the stock is downgraded, market factor has a significant negative statistical effect. Different levels of analyst experience and brokerage size result in distinct performance. In the case of upgraded stocks, investors can make profit based on recommendations issued by more experienced analysts or larger size brokerages. In the case of downgraded stocks, investors can make a profit from short-selling larger scale of downgrade stocks issued by more experienced analysts and larger size of brokerages. This result shows that analyst experience and size of the brokerage are important factors of the performance of recommendation rating changes. This study also conducts robustness checks based on bull or bear markets. The results are consistent with above conclusions. |
| 參考文獻 | 【中文參考文獻】 張清發(2016)，投資人可否從券商推薦的股票獲利?，碩士論文，國立政治大學。 【英文參考文獻】 1. Amanda Cowen, Boris Groysberg & Paul Healy. (2006). Which Types of Analyst Firms Are More Optimistic? Journal of Accounting and Economics 41, 119–146 2. Andrea Frazzini. (2006). The Disposition Effect and Underreaction to News. The Journal of Finance 4, 2017-2046 3. Andrew R. Jackson. (2005). Trade Generation, Reputation, and Sell-Side Analysts. The Journal of Finance 60, 673-717 4. Benjamin M. Blau & Chip Wade. (2012). Informed or speculative: Short selling analyst recommendations. Journal of Banking & Finance 36, 14-25 5. Brad Barber, Reuven Lehavy, Maureen McNichols & Brett Trueman. (2001). Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns. The Journal of Finance 2, 531-563 6. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance 52, 57–82. 7. CR Harvey, K Mohammed & S Rattray. (2011). Do analyst experience, location and gender affect the performance of broker recommendations in Europe? SSRN 1850672 8. Dale Griffin & Amos Tversky. (1992). The Weighing of Evidence and the Determinants of Confidence. Cognitive Psychology 24, 411-435 9. Eugene F. Fama. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49, 283-306 10. Gongmeng Chen, Kenneth A. Kim, John R. Nofsinger & Oliver M. Rui. (2007). Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors. Journal of Behavioral Decision Making 20, 425–451 11. Hemang Desai, Bing Liang & Ajai K. Singh. (2000). Do All-Stars Shine? Evaluation of Analyst Recommendations. Financial Analysts Journal 56, 20-28 12. Hersh Shefrin & Meir Statman. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance 3, 776-790 13. Jeffrey Hobbs, Tunde Kovacs & Vivek Sharma. (2012). The Investment Value of The Frequency of Analyst Recommendation Changes for The Ordinary Investor. Journal of Empirical Finance 19, 94–108 14. Jennifer Conrad, Bradford Cornell, Wayne R. Landsman & Brian R. Rountree. (2006). How Do Analyst Recommendations Respond to Major News? Journal of Financial and Quantitative Analysis 41, 25-49 15. Kee H. Chung. (2000). Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts. Financial Management 29, 35-54 16. Leslie Boni & Kent L. Womack. (2006). Analysts, Industries, and Price Momentum. Journal of Financial and Quantitative Analysis 41, 85-109 17. Marc Bremer & Richard J. Sweeney. (1991). The Reversal Of Large Stock-Price Decreases. The Journal of Finance 2, 746-754 18. Narasimhan Jegadeesh & Woojin Kim. (2010). Do Analysts Herd? An Analysis of Recommendations and Market Reactions. The Review of Financial Studies 23, 900-937 19. Paul J. Irvine. (2003). The Incremental Impact of Analyst Initiation of Coverage. Journal of Corporate Finance 9, 431– 451 20. Ravi Dhar & Ning Zhu. (2006). Up Close and Personal: Investor Sophistication and the Disposition Effect. Management Science 21. Scott E. Stickel. (1995). The Anatomy of the Performance of Buy and Sell Recommendations. Financial Analysts Journal 51, 25-39 22. Sorin Sorescu & Avanidhar Subrahmanyam. (2006). The Cross Section of Analyst Recommendations. Journal of Financial and Quantitative Analysis 41, 139-168 23. Stephen E. Christophe, Michael G. Ferri & Jim Hsieh. (2010). Informed trading before analyst downgrades: Evidence from short sellers. Journal of Financial Economics 95, 85-106 24. Terence Lim. (2001). Rationality and Analysts’ Forecast Bias. The Journal of finance, 369-385 25. Thabang Mokoaleli-Mokoteli, Richard J. Taffler & Vineet Agarwal. (2009). Behavioural Bias and Conflicts of Interest in Analyst Stock Recommendations. Journal of Business Finance & Accounting 36, 384–418 26. Yonca Ertimur, Jayanthi Sunder & Shyam V. Sunder. (2006). Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts. Journal of Accounting 45, 567-606 |
| 描述 | 碩士 國立政治大學 金融學系 106352028 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0106352028 |
| 資料類型 | thesis |
| dc.contributor.advisor | 林靖庭 | zh_TW |
| dc.contributor.advisor | Lin, Ching-Ting | en_US |
| dc.contributor.author (作者) | 林善仁 | zh_TW |
| dc.contributor.author (作者) | Lin, Shan-Ren | en_US |
| dc.creator (作者) | 林善仁 | zh_TW |
| dc.creator (作者) | Lin, Shan-Ren | en_US |
| dc.date (日期) | 2019 | en_US |
| dc.date.accessioned | 2-三月-2020 11:00:46 (UTC+8) | - |
| dc.date.available | 2-三月-2020 11:00:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-三月-2020 11:00:46 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0106352028 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/128784 | - |
| 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) | 106352028 | zh_TW |
| dc.description.abstract (摘要) | 本文透過券商報告的投資建議，依分析師的經驗以及券商的規模，探討投資者是否能夠從券商評等變化中獲利。本研究發現在股票上升時，投資人因風險趨避，會對正面消息反應不足，從券商報告中挑選上升幅度較小的股票即可獲利。反之，股票下跌時，投資人心態轉為風險喜好，會對負面消息過度反應，從券商報告中挑選評等下降幅度較大的股票才能獲利。 本文進一步使用四因子模型驗證長期超額報酬，結果皆顯示當券商報告評等上調，具顯著正超額報酬；反之，當券商報告評等下調，具顯著負超額報酬。市場超額報酬、規模因素、淨值市價比溢酬和動量因素皆能解釋異常報酬。當評等上升幅度一般時，市場超額報酬與動能因素對於長期超額報酬具有正向解釋能力；當評等下跌幅度較大時，市場超額報酬也具有負向解釋能力。 分析師經驗和券商規模的不同會產生顯著的報酬差異。就評等上升的股票，根據由較有經驗的分析師或規模較大的券商所發出的報告投資能夠獲利。就評等下降的情況，投資人若根據較具經驗的分析師與規模較大的券商所發出下降幅度較大的評等來賣空股票，能有顯著的超額報酬。此結果顯示，分析師的經驗以及券商規模是券商報告參考價值的重要指標。本文亦根據空頭或多頭市場進行穩定性測試，結果與前述結論一致。 | zh_TW |
| dc.description.abstract (摘要) | This study analyzes the performance of the change of stock recommendation rating reported by brokerages, from the perspective of analyst experience and brokerage size. This study finds that when stock price rises, investors respond to positive news moderately due to their risk avoidance. Investors can profit from investing stocks with a moderate recommendation upgrade. On the other hand, when stock performs worse, investors` risk preference turns into risk loving. Investors need to select stocks with a larger scale of recommendation downgrade to gain profits. In this paper, the four-factor model is used to estimate long-term abnormal return. The results indicate that when the brokerage recommendations have been upgraded, it has a significant positive abnormal return; on the contrary, as the brokerage recommendations have been downgraded, it has a significant negative abnormal return. Market, size, value, and momentum factors can explain abnormal returns. As the stock is upgraded moderately, market and momentum factors have a significant positive statistical effect on long-term abnormal returns; when the stock is downgraded, market factor has a significant negative statistical effect. Different levels of analyst experience and brokerage size result in distinct performance. In the case of upgraded stocks, investors can make profit based on recommendations issued by more experienced analysts or larger size brokerages. In the case of downgraded stocks, investors can make a profit from short-selling larger scale of downgrade stocks issued by more experienced analysts and larger size of brokerages. This result shows that analyst experience and size of the brokerage are important factors of the performance of recommendation rating changes. This study also conducts robustness checks based on bull or bear markets. The results are consistent with above conclusions. | en_US |
| dc.description.tableofcontents | 目次 第一章 緒論 6 第二章 文獻回顧 10 第三章 樣本選取與研究方法 13 第一節 資料來源 13 第二節 研究方法 15 第四章 實證結果與分析 18 第一節 分析師經驗 18 第二節 券商規模 19 第三節 四因子模型之長期超額報酬檢驗 20 第五章 穩健性檢定 36 第一節 空頭區間驗證 36 第二節 多頭區間驗證 37 第六章 結論與後續研究 47 附綠 49 參考文獻 54 | zh_TW |
| dc.format.extent | 9018685 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0106352028 | en_US |
| dc.subject (關鍵詞) | 券商推薦 | zh_TW |
| dc.subject (關鍵詞) | 分析師經驗 | zh_TW |
| dc.subject (關鍵詞) | 券商規模 | zh_TW |
| dc.subject (關鍵詞) | 超額報酬 | zh_TW |
| dc.subject (關鍵詞) | 行為財務 | zh_TW |
| dc.subject (關鍵詞) | Brokerage recommendation | en_US |
| dc.subject (關鍵詞) | Analyst experience | en_US |
| dc.subject (關鍵詞) | Brokerage size | en_US |
| dc.subject (關鍵詞) | Abnormal return | en_US |
| dc.subject (關鍵詞) | Behavioral finance | en_US |
| dc.title (題名) | 以券商報告的評等變化進行投資之績效分析-以分析師經驗與券商規模為例 | zh_TW |
| dc.title (題名) | The analysis of brokerages’ stock recommendation changes - From analyst experience and brokerage size perspective | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 【中文參考文獻】 張清發(2016)，投資人可否從券商推薦的股票獲利?，碩士論文，國立政治大學。 【英文參考文獻】 1. Amanda Cowen, Boris Groysberg & Paul Healy. (2006). Which Types of Analyst Firms Are More Optimistic? Journal of Accounting and Economics 41, 119–146 2. Andrea Frazzini. (2006). The Disposition Effect and Underreaction to News. The Journal of Finance 4, 2017-2046 3. Andrew R. Jackson. (2005). Trade Generation, Reputation, and Sell-Side Analysts. The Journal of Finance 60, 673-717 4. Benjamin M. Blau & Chip Wade. (2012). Informed or speculative: Short selling analyst recommendations. Journal of Banking & Finance 36, 14-25 5. Brad Barber, Reuven Lehavy, Maureen McNichols & Brett Trueman. (2001). Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns. The Journal of Finance 2, 531-563 6. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance 52, 57–82. 7. CR Harvey, K Mohammed & S Rattray. (2011). Do analyst experience, location and gender affect the performance of broker recommendations in Europe? SSRN 1850672 8. Dale Griffin & Amos Tversky. (1992). The Weighing of Evidence and the Determinants of Confidence. Cognitive Psychology 24, 411-435 9. Eugene F. Fama. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49, 283-306 10. Gongmeng Chen, Kenneth A. Kim, John R. Nofsinger & Oliver M. Rui. (2007). Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors. Journal of Behavioral Decision Making 20, 425–451 11. Hemang Desai, Bing Liang & Ajai K. Singh. (2000). Do All-Stars Shine? Evaluation of Analyst Recommendations. Financial Analysts Journal 56, 20-28 12. Hersh Shefrin & Meir Statman. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance 3, 776-790 13. Jeffrey Hobbs, Tunde Kovacs & Vivek Sharma. (2012). The Investment Value of The Frequency of Analyst Recommendation Changes for The Ordinary Investor. Journal of Empirical Finance 19, 94–108 14. Jennifer Conrad, Bradford Cornell, Wayne R. Landsman & Brian R. Rountree. (2006). How Do Analyst Recommendations Respond to Major News? Journal of Financial and Quantitative Analysis 41, 25-49 15. Kee H. Chung. (2000). Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts. Financial Management 29, 35-54 16. Leslie Boni & Kent L. Womack. (2006). Analysts, Industries, and Price Momentum. Journal of Financial and Quantitative Analysis 41, 85-109 17. Marc Bremer & Richard J. Sweeney. (1991). The Reversal Of Large Stock-Price Decreases. The Journal of Finance 2, 746-754 18. Narasimhan Jegadeesh & Woojin Kim. (2010). Do Analysts Herd? An Analysis of Recommendations and Market Reactions. The Review of Financial Studies 23, 900-937 19. Paul J. Irvine. (2003). The Incremental Impact of Analyst Initiation of Coverage. Journal of Corporate Finance 9, 431– 451 20. Ravi Dhar & Ning Zhu. (2006). Up Close and Personal: Investor Sophistication and the Disposition Effect. Management Science 21. Scott E. Stickel. (1995). The Anatomy of the Performance of Buy and Sell Recommendations. Financial Analysts Journal 51, 25-39 22. Sorin Sorescu & Avanidhar Subrahmanyam. (2006). The Cross Section of Analyst Recommendations. Journal of Financial and Quantitative Analysis 41, 139-168 23. Stephen E. Christophe, Michael G. Ferri & Jim Hsieh. (2010). Informed trading before analyst downgrades: Evidence from short sellers. Journal of Financial Economics 95, 85-106 24. Terence Lim. (2001). Rationality and Analysts’ Forecast Bias. The Journal of finance, 369-385 25. Thabang Mokoaleli-Mokoteli, Richard J. Taffler & Vineet Agarwal. (2009). Behavioural Bias and Conflicts of Interest in Analyst Stock Recommendations. Journal of Business Finance & Accounting 36, 384–418 26. Yonca Ertimur, Jayanthi Sunder & Shyam V. Sunder. (2006). Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts. Journal of Accounting 45, 567-606 | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU202000110 | en_US |