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題名 分析師推薦之實證研究：私有資訊及互蒙其利
An Empirical Test on Analysts` Recommendations: Private Information and Mutual Benefit作者 戴維芯
Tai, Vivian W.貢獻者 劉玉珍
Liu, Yu-Jane
戴維芯
Tai, Vivian W.關鍵詞 交易利潤
資訊價值
分析師推薦
私有資訊
交易量
經紀收益
Profits
Information Value
Analysts Recommendations
Private Information
Trading Volume
Commission Revenues日期 2005 上傳時間 14-九月-2009 09:03:44 (UTC+8) 摘要 傳統探討分析師推薦資訊價值的研究多採用累積超額報酬的方式，近年來研究顯示個別投資人的績效顯著低於機構投資人，因此是否分析師推薦能夠幫助提升個別投資人的福利。本論文的第一個貢獻在檢定是否個別投資人能夠獲取分析師推薦的資訊價值，為區分推薦資訊分別對於個別與機構投資人的價值為何，本研究採用的每種投資人實際的交易利潤作為衡量指標。 研究結果顯示所有投資人都可以透過買入推薦獲取顯著的正報酬，但在賣出推薦上，僅外資與共同基金仍能維持獲取正的報酬。同時發現在推 薦事件期間，專業機構投資人的利潤顯著高於一般散戶的獲利。 進一步，本論文的第二的主題在探討此推薦的資訊價值對於不同投資人的差異，是否肇因於推薦券商所提供的私有資訊，因此進一步將各類投資人分成推薦券商的客戶與非客戶。結果顯示國內機構投資人的利潤在客戶的身上顯著高於非客戶的獲利，顯示推薦券商在對外公佈推薦資訊前的確提供私有資訊給其國內機構客戶，但此現象在賣出推薦並不存在。 第三，本論文進一步分析是否拿到推薦券商所提供私有資訊的客戶也是推薦券商的經紀業務收益的主要貢獻者。在比較推薦券商與非推薦券商在被推薦股票上的相對交易量(金額)中，發現推薦券商的確因為買入推薦股票而增加經紀業務量，但很驚訝的發現貢獻最多交易量的是個別投資人，而非拿到最多好處的機構投資人。 最後，本研究透過迴歸分析探討不同投資人的交易利潤與推薦券商所獲得的經紀業務量的關係。在控制推薦類型、推薦評等與被推薦股票之股票特性後，發現投資人的交易利潤與推薦券商的經紀業務收益成正相關，再次顯示券商推薦與其各項業務收益間的關係。
Traditionally, information value of analysts’ recommendations has been well-recognized by cumulative abnormal returns. Recent studies show that individuals are underperformed, and therefore, it is a critical issue on if analysts’ recommendations are helpful to individuals’ welfares. The first contribution of this dissertation to the literature is to examine whether individual investors are capable of capturing the information value. To classify the information value of recommendations for individuals and institutions, respectively, I, thus, use a direct measure to calculate the actual trading profits of types of traders. To our best knowledge, this is the first paper that demonstrates the information value for types of investors. Our results indicate that, all investors get positive and significant profits in brokerages’ buy recommendations, no matter what types of investors are measured. As to sell recommendations, only foreign investors and mutual funds have positive returns. We also find that professional institutions earn more profits than retail investors during the recommendation event periods. Further, the second objective of this dissertation is to test whether the information values are caused by private information from brokerages’ houses, we separate the profits of types of investors into customers and non-customers based. The findings are that only domestic institutional customers of recommending brokerages are more beneficial than those of non-recommending brokerages in buy recommendations, which implies that brokerage houses may reveal private information to their own institutional customers before buy recommendations make public. This does not hold for sell recommendations. Third, we are interested in analyzing whether the private information that recommending brokerages provide to their own customers may, indeed, contribute to brokerages’ commission revenues. By comparing the trading volume of recommending brokerages and non-recommending brokerage for the covered stocks, we find that the volumes of covered stocks issued in the recommending brokerages are increased for buy recommendations. Particularly, we find that the main contribution of trading volume is from individuals. Furthermore, we run regressions to study the relationship between trading profits of types of investors and trading volume of recommending brokerages. After controlling recommendation types, consensus rating of recommendations, and stock characteristics, our results indicate that trading profits of all types of investors are positively related to commission revenues of brokerages. This may justify the importance of brokerage recommendations on their business relationships.參考文獻 Ajinkya, B., Jain, P., 1989, “The Behavior of Daily Stock Market Volume,” Journal of Accounting and Economics 11(4), pages 331-359.
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國立政治大學
財務管理研究所
88357505
94資料來源 http://thesis.lib.nccu.edu.tw/record/#G0883575051 資料類型 thesis dc.contributor.advisor 劉玉珍 zh_TW dc.contributor.advisor Liu, Yu-Jane en_US dc.contributor.author (作者) 戴維芯 zh_TW dc.contributor.author (作者) Tai, Vivian W. en_US dc.creator (作者) 戴維芯 zh_TW dc.creator (作者) Tai, Vivian W. en_US dc.date (日期) 2005 en_US dc.date.accessioned 14-九月-2009 09:03:44 (UTC+8) - dc.date.available 14-九月-2009 09:03:44 (UTC+8) - dc.date.issued (上傳時間) 14-九月-2009 09:03:44 (UTC+8) - dc.identifier (其他 識別碼) G0883575051 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31014 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 88357505 zh_TW dc.description (描述) 94 zh_TW dc.description.abstract (摘要) 傳統探討分析師推薦資訊價值的研究多採用累積超額報酬的方式，近年來研究顯示個別投資人的績效顯著低於機構投資人，因此是否分析師推薦能夠幫助提升個別投資人的福利。本論文的第一個貢獻在檢定是否個別投資人能夠獲取分析師推薦的資訊價值，為區分推薦資訊分別對於個別與機構投資人的價值為何，本研究採用的每種投資人實際的交易利潤作為衡量指標。 研究結果顯示所有投資人都可以透過買入推薦獲取顯著的正報酬，但在賣出推薦上，僅外資與共同基金仍能維持獲取正的報酬。同時發現在推 薦事件期間，專業機構投資人的利潤顯著高於一般散戶的獲利。 進一步，本論文的第二的主題在探討此推薦的資訊價值對於不同投資人的差異，是否肇因於推薦券商所提供的私有資訊，因此進一步將各類投資人分成推薦券商的客戶與非客戶。結果顯示國內機構投資人的利潤在客戶的身上顯著高於非客戶的獲利，顯示推薦券商在對外公佈推薦資訊前的確提供私有資訊給其國內機構客戶，但此現象在賣出推薦並不存在。 第三，本論文進一步分析是否拿到推薦券商所提供私有資訊的客戶也是推薦券商的經紀業務收益的主要貢獻者。在比較推薦券商與非推薦券商在被推薦股票上的相對交易量(金額)中，發現推薦券商的確因為買入推薦股票而增加經紀業務量，但很驚訝的發現貢獻最多交易量的是個別投資人，而非拿到最多好處的機構投資人。 最後，本研究透過迴歸分析探討不同投資人的交易利潤與推薦券商所獲得的經紀業務量的關係。在控制推薦類型、推薦評等與被推薦股票之股票特性後，發現投資人的交易利潤與推薦券商的經紀業務收益成正相關，再次顯示券商推薦與其各項業務收益間的關係。 zh_TW dc.description.abstract (摘要) Traditionally, information value of analysts’ recommendations has been well-recognized by cumulative abnormal returns. Recent studies show that individuals are underperformed, and therefore, it is a critical issue on if analysts’ recommendations are helpful to individuals’ welfares. The first contribution of this dissertation to the literature is to examine whether individual investors are capable of capturing the information value. To classify the information value of recommendations for individuals and institutions, respectively, I, thus, use a direct measure to calculate the actual trading profits of types of traders. To our best knowledge, this is the first paper that demonstrates the information value for types of investors. Our results indicate that, all investors get positive and significant profits in brokerages’ buy recommendations, no matter what types of investors are measured. As to sell recommendations, only foreign investors and mutual funds have positive returns. We also find that professional institutions earn more profits than retail investors during the recommendation event periods. Further, the second objective of this dissertation is to test whether the information values are caused by private information from brokerages’ houses, we separate the profits of types of investors into customers and non-customers based. The findings are that only domestic institutional customers of recommending brokerages are more beneficial than those of non-recommending brokerages in buy recommendations, which implies that brokerage houses may reveal private information to their own institutional customers before buy recommendations make public. This does not hold for sell recommendations. Third, we are interested in analyzing whether the private information that recommending brokerages provide to their own customers may, indeed, contribute to brokerages’ commission revenues. By comparing the trading volume of recommending brokerages and non-recommending brokerage for the covered stocks, we find that the volumes of covered stocks issued in the recommending brokerages are increased for buy recommendations. Particularly, we find that the main contribution of trading volume is from individuals. Furthermore, we run regressions to study the relationship between trading profits of types of investors and trading volume of recommending brokerages. After controlling recommendation types, consensus rating of recommendations, and stock characteristics, our results indicate that trading profits of all types of investors are positively related to commission revenues of brokerages. This may justify the importance of brokerage recommendations on their business relationships. en_US dc.description.tableofcontents Acknowledgements……………………………………………………………………..i Table of Contents………………………………………………………………………iii List of Figures………………………………………………………………………….vi List of Tables………………………………………………………………………….vii Abstract……………………………………………………………………………….viii Chapter 1 Introduction 1 Chapter 2 A Direct Test of Private Information on Analysts’ Recommendation…....6 Abstract ……………………………………………………………………...6 I. Introduction ………………………………………………………….7 II. Related Research………………………………………………….15 2.1 Information Value of Analysts’ Recommendations………..15 2.2 Investors’ Reactions on Analysts’ Recommendations……..22 2.3 Explanation of Different Behaviors between Institutions and Individuals on Analysts’ Recommendations……………….24 2.4 Characteristics of Recommended Stocks…………………...27 III. Hypotheses………………………………………………………….31 IV. Empirical and Measurement Designs……………………...……….33 4.1. Types of Investors and Customers Definition….….……….33 4.2. Actual Trading Profits Measurement……………………….34 V. Data and Sample Distributions…………………………………….37 5.1. Data……………………….………………….…………….37 5.2. Recommendation Characteristics…………….…………….38 5.3. Cumulative Abnormal Return Analysis…………………….40 VI. Empirical Results……………………………………..…………….42 6.1. Do Recommendations Provide Information Value to Types of Investors? ………………………………………………….42 6.2. Does Private Information Benefit Clients of Recommending Brokerages? ……………………………………………….48 6.3. Robust Checks………….……..……………………………54 VII. Conclusions……………………..………………………………….55 Chapter 3 Are Analysts’ Recommendations Mutually Beneficial to Brokerages and Their Clients? 58 Abstract……………………………………………………………………58 I. Introduction………………………………………………………...59 II. Related Research…………………………………………………..66 2.1. Investors’ Reactions on Analysts’ Recommendations……...67 2.2. Incentives of Analysts’ Recommendations……………….70 III. Hypotheses………………………………………………………….73 IV. Empirical and Measurement Designs…………………………….74 4.1. Types of Investors and Customers Definition………………74 4.2. Actual Trading Profits Measurement………………………75 4.3. Relative Trading Volume Measurement……………………78 V. Data and Sample Distributions……………………………………..79 VI. Empirical Results………………………………………………….81 6.1. Does Private Information Benefit Clients of Recommending Brokerages?............................................................................81 6.2. Do Recommendations Benefit Recommending Brokerages?82 6.3. Who Contributes to the Trading Volume of Recommending Brokerages?.………………………………………………..84 6.4. Do Recommendations Mutually Benefit to Recommending Brokerages and Their Clients?...............................................87 6.5. Robust Checks……………………………………………...89 VII. Conclusions………………………………………………………...91 Chapter 4 Summary and Conclusions……………………………………………..93 References……………………………………………………………………………..97 Figures………………………………………………………………………………..104 Tables………………………………………………………………………………106 Appendix……………………………………………………………………………..128 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0883575051 en_US dc.subject (關鍵詞) 交易利潤 zh_TW dc.subject (關鍵詞) 資訊價值 zh_TW dc.subject (關鍵詞) 分析師推薦 zh_TW dc.subject (關鍵詞) 私有資訊 zh_TW dc.subject (關鍵詞) 交易量 zh_TW dc.subject (關鍵詞) 經紀收益 zh_TW dc.subject (關鍵詞) Profits en_US dc.subject (關鍵詞) Information Value en_US dc.subject (關鍵詞) Analysts Recommendations en_US dc.subject (關鍵詞) Private Information en_US dc.subject (關鍵詞) Trading Volume en_US dc.subject (關鍵詞) Commission Revenues en_US dc.title (題名) 分析師推薦之實證研究：私有資訊及互蒙其利 zh_TW dc.title (題名) An Empirical Test on Analysts` Recommendations: Private Information and Mutual Benefit en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ajinkya, B., Jain, P., 1989, “The Behavior of Daily Stock Market Volume,” Journal of Accounting and Economics 11(4), pages 331-359. zh_TW dc.relation.reference (參考文獻) Anarbanell, Jeffery S., and Victor L. 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