由於我國法令僅對證券商內的自營部門與投資顧問部門為利益衝突相關規範，對於證券自營商與相關投資顧問公司未有明確規範，而台灣證券商兼營投資顧問部門者僅剩無幾，多數投資顧問部門皆已獨立為投資顧問公司，可不受法令限制，但證券自營商及關係投資顧問公司與投資人仍有利益衝突可能，故本研究主要針對本國證券自營商及關係投資顧問公司與投資人間的利益衝突情形探討，並探討利益衝突於金融海嘯前後的變化，同時亦針對推薦評等之資訊內涵加以探討。本研究定義之利益衝突為：（1）證券自營商關係投資顧問公司推薦買進（賣出）前，證券自營商先行買進（賣出）；（2）證券自營商關係投資顧問公司推薦買進（賣出）後，證券自營商即刻賣出（買進）。實證結果顯示本國證券自營商及關係投資顧問公司與投資人之間確實存在利益衝突，且利益衝突程度於金融海嘯中為明顯降低之情形，而以買進意向最為強烈的評等5的利益衝突可能性最高。實證亦顯示於2008年5月初至2009年4月底時，若投資人於評等發佈日即跟隨所發佈之建議，直至三週後獲利出場，平均可獲得0.3%的週異常報酬。

The regulations of Taiwan restrict the interaction between research divisions and proprietary trading divisions of securities firms. But most of the research divisions of securities firms became subsidiary companies. Therefore, the firewall between proprietary trading divisions of securities firms and affiliated investment consulting firms is not obvious. This study investigates whether conflicts of interest exist between proprietary trading divisions of securities firms, affiliated investment consulting firms and individual investors when investment consulting firms make recommendations. And this study also examines whether the degree of conflicts of interest changes before, during and after financial crisis. The following are the definitions of conflicts of interest. First, proprietary trading divisions of securities firms are net buyers（sellers） of recommended stocks before affiliated investment consulting firms issuing the buy （sell）recommendations. Second, the proprietary trading divisions of securities firms are net sellers（buyers）of recommended stocks after affiliated investment consulting firms issuing the buy（sell）recommendations. The result indicates that conflicts of interest do exist. And the degree of conflicts of interest decreased during financial crisis. The degree of conflicts of interest of strong buy recommedations is higher than others. It also indicates that investors could benefit from short-term trading based on the recommendations during sample period.

目錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第二章 文獻回顧 3
第一節 台灣證券業與投資顧問業定義及其利益衝突規範 3
第二節 利益衝突文獻 6
第三節 金融危機對投資人行為及分析師推薦行為之影響 8
第四節 資訊內涵文獻 9
第五節 投資人對投資評等之反應 11
第三章 資料樣本與研究方法 13
第一節 資料來源與研究期間 13
第二節 研究對象與樣本選取 15
第三節 長鼻子指數之建構 16
第四節 報酬率之衡量方法 21
第五節 檢定方法 28
第四章 實證結果與分析 29
第一節 資料說明與分析 29
第二節 金融海嘯前中後之長鼻子指數 29
第三節 投資評等建議之資訊內涵 31
第四節 自營商報酬率與投資人報酬率比較 32
第五章 結論與建議 36
第一節 結論 36
第二節 研究貢獻 37
第三節 研究建議與限制 39
參考文獻 40

表目錄
表格一 證券商業務及市占率一覽表 16
表格二 證券商評等語言標準化 17
表格三 參考文獻與本研究之利益衝突定義比較 38
表格四 樣本敘述統計 44
表格五 各推薦評等比重 44
表格六 各券商之長鼻子指數 45
表格七 長鼻子指數符號檢定結果 47
表格八 各推薦評等之利益衝突情形 47
表格九 樣本期間證券商關係投顧評等建議之資訊內涵 48
表格十 證券商關係投顧評等建議之資訊內涵t檢定 48
表格十一 樣本期間自營商交易其關係投顧所推薦股票已實現報酬率 49
表格十二 樣本期間自營商未交易其關係投顧所推薦之股票之報酬率 50
表格十三 自營商交易其關係投顧所推薦股票已實現報酬率 51
表格十四 自營商未交易其關係投顧所推薦之股票之報酬率檢定結果 52
表格十五 樣本期間自營商交易其關係投顧所推薦股票之報酬率與投資人報酬率 比較 53
表格十六 較具利益衝突之自營商與較不具利益衝突之自營商交易其關係投顧推薦股票之報酬率 54
表格十七 樣本期間自營商未交易其關係投顧所推薦之股票之報酬率與投資人報 酬率比較 55
表格十八 較具利益衝突之自營商與較不具利益衝突之自營商未交易其關係投顧所推薦股票之報酬率 56

附表一 金融海嘯前中後證券商關係投顧評等建議之資訊內涵 57
附表二 金融海嘯前中後自營商交易其關係投顧所推薦股票已實現報酬率與異常報酬率 59
附表三 金融海嘯前中後自營商未交易其關係投顧所推薦股票之報酬率 62

圖目錄
圖一 台灣加權指數、台指選擇權波動率指數 14
圖二 評等5的平均異常報酬 65
圖三 評等5的平均累積異常報酬 65
圖四 評等4的平均異常報酬 66
圖五 評等4的平均累積異常報酬 66
圖六 評等3的平均異常報酬 67
圖七 評等3的平均累積異常報酬 67
圖八 評等1的平均異常報酬 68
圖九 評等1的平均累積異常報酬 68

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