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| Title: | 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 |
| Authors: | 林善仁
Lin, Shan-Ren |
| Contributors: | 林靖庭
Lin, Ching-Ting
林善仁
Lin, Shan-Ren |
| Keywords: | 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 |
| Date: | 2019 |
| Issue Date: | 2020-03-02 11:00:46 (UTC+8) |
| Abstract: | 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. |
| Reference: | 【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。
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| Description: | 碩士
國立政治大學
金融學系
106352028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106352028 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000110 |
| Appears in Collections: | [金融學系] 學位論文
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