| Abstract: | 當證券商推薦投資大眾一支股票，卻在同時賣出此支股票，這給投資人莫大困惑， 在本文這稱之為「券商推薦股票的利益衝突」，簡稱利益衝突。本研究共有五個目的： 本計畫的首要目的即是建構「券商利益衝突指數」(Conflicts of Interest Index; CII)， 從1995 年到2004 年，收集每週的經濟日報、工商時報及鑫週刊記載各券商的推薦股票。 我們將分別以週、金額及股數為衡量標準，其基本原理是券商推薦買進越多的週次、金 額與股票張數，但卻反向賣出也越多時，利益衝突應越多。所以這個指數某種程度上， 也可以衡量我國的證券商藉由發佈推薦來誤導社會大眾的利益衝突之程度高低。本計畫 的第二個目的即是利用所建構的券商利益衝突指數，探討哪些券商有利益衝突。如果能 夠讓市場投資人有能力去評估哪些證券商較易發生推薦的利益衝突，可能是更為有效的 方法。第三，我們探討哪些「個股」比較容易使得券商在進行推薦時產生利益衝突。我 們衡量出每一支「個股受推薦的利益衝突程度」，當個股受推薦的利益衝突程度越高， 似乎可以推論該個股受推薦之資訊內涵(informativeness) 越低。第四，我們探討利益衝 突之決定因子。首先以券商為單位，如果各家券商的利益衝突程度確實差異甚大，我們 想進一步探討哪些因素可以解釋這些券商利益衝突程度的差異。其次，以各股為研究對 象，我們研究何種因子會使得個股容易產生利益衝突，此為本計畫第五項研究目的。
This paper explores the phenomena associated with conflicts of interest, particularly as they pertain to the proprietary trading and brokerage divisions of investment banks. This distinguishes it from past studies, which have researched conflicts of interest between underwriting and brokerage divisions. We examine whether or not an investment bank issues buy recommendations to the market and, at the same time, sells the same recommended stocks through its proprietary trading division, and if so, to what extent this goes on. This paper, therefore, constructs the indices of such conflicts of interest based on weeks, amounts and shares so as to measure the extent of such conflicts of interest using Taiwan’s stock market from January 2000 to December 2003. We obtain the following results. First, conflicts of interest do, indeed, exist, and some investment banks continuously sell (and/or buy no) recommended stocks a few weeks before and after posting their buy recommendations. Second, those investment banks, which are more prone to have conflicts of interest are generally characterized as being smaller in size and issuing more frequent buy recommendations. Third, firms whose stocks are most associated with a conflict of interest typically have a smaller trading volume, are smaller in size, have greater systematic risk, have more insider holdings and are issued recommendations less frequently. Finally, a stock recommendation coupled with a conflict of interest is beneficial to the profits of an investment bank, especially to its brokerage division. |
