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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/127920

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Title:	券商推薦股票評等報告之績效分析 Performance of Analyst Stock Recommendation
Authors:	林靖庭 Lin, Ching-Ting 陳威光 Chen, Wei-Kuang 張清發 Chang, Ching-Fa
Contributors:	金融系
Keywords:	券商推薦 ; 券商評等 ; 市場效率; 超額報酬;價格漂移 Analyst recommendations; Recommendation strength; Abnormal return; Efficient Market; Price drift
Date:	2017-12
Issue Date:	2019-12-19 14:39:10 (UTC+8)
Abstract:	本文探討投資者是否可根據券商對股票的評等推薦獲利。結果發現，評等高的投資組合有正超額報酬，而評等低的投資組合有顯著的負超額報酬。進一步將推薦報告來源分成本土或外資券商，若根據本土券商發佈的報告買賣股票，可獲得比外資券商的推薦更高的報酬。當新的資訊出現，愈早進場的投資者延遲成本愈低，可享受較高的報酬。 This paper investigates whether investors can make profits from security analyst recommendations. This paper constructs portfolios based on the strength of recommendation and shows that there exists positive abnormal return of the most favorable portfolios, while portfolios with the least favorable consensus recommendations yield significantly negative abnormal return. Recommendation from local analysts has higher abnormal return than those reported by foreign analysts. Less delayed investments enjoy higher price drifts with lower delayed costs after recommendation release which leads to higher abnormal return.
Relation:	風險管理學報, Vol.19, No.2, pp.116-140
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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