臺灣博碩士論文加值系統

隨著資訊科技的快速發展，投資理財相關的資訊琳瑯滿目，近年來社會大眾也越來越重視理財規劃，散戶投資比重也為各類別中最大者，因而報紙媒體或網站中理財相關的資訊也備受關注，但這些訊息是否具有資訊內涵且能為投資人做出最有利的投資決策？本文以券商投資建議探討分析其資訊內涵為何並以利益衝突指數衡量衝突程度，進而採用分量迴歸方法研究各影響因素在不同利益衝突程度下之影響。　
以事件研究法檢定推薦資訊是否具有資訊內涵，結果顯示發布日前資訊已提早洩漏，有異常報酬存在，發布日後一天有顯著正異常報酬，其資訊具有資訊內涵，但投資人須在發布日後短時間內賣出，否則有報酬遞減的現象產生；另一結果顯示資訊發布日前受多家推薦個股異常報酬高於僅受單家推薦之個股，但發布日後受單家推薦個股表現反而優於受多家推薦者。
以券商自營部門在推薦發布日前後對推薦個股的買賣狀況建構利益衝突指數，並以分量迴歸方法探討之，結果顯示波動性、交易量與值無論在推薦日前後或對利益衝突程度大小均有顯著相關性，而其他影響因素則對中等程度以上之利益衝突有顯著的相關性。透過實證結果可發現，公司規模小、系統風險高、波動性低、內部人持股比例高、交易量與值大、成長機會低之推薦個股較有利益衝突情況存在，因此散戶投資人對此應詳加觀察再決定是否投資買進。

With the rapid development of information technology, a dazzling array of investment-related information provided. In the recent years, people put more and more attention on financial planning. And the retail investors proportion is also the biggest in each category. So the investment-related information of newspaper media or website is concerned. But can these information make the most profit to the investors? This paper analyzes that whether the recommendation of broker have information content and calculate the conflicts of interest index. Last, to analysis the effect of influence factors on different degree of conflict of interest by quantile regression method.

To test information content by event study method and the results is the information has early leaked before the announcement day. And it exist abnormal return. The recommendation has information content. But investors should sell in a short time after the announcement day, otherwise there is diminishing return. Another result shows the performance that the stocks had been recommended by more than one brokerage is better than by single brokerage before the announcement day. But after the announcement day, the recommendations by single brokerage had better performance than the other one.

Constructing the conflicts of interest index and using quantile regression analyze it. The results show that the volatility, trading volume and value are significant related no matter before or after announcement day or any degree of conflict of interest. And other determinants are significant related with the middle and serious conflict of interest. So we can find that the stock are small firm, high systematic risk, low volatility, high insider holding, high trading volume and value, low growth opportunities exist conflict of interest. Investor should observe carefully and then decide whether to buy.

摘要.................................................................I
Abstract............................................................II
誌謝...............................................................III
表目錄...............................................................V
圖目錄..............................................................VI
第一章 緒論..........................................................1
第一節 研究動機..................................................1
第二節 研究目的..................................................3
第三節 研究流程..................................................4
第二章 文獻回顧......................................................5
第一節 資訊內涵文獻..............................................5
第二節 利益衝突文獻..............................................7
第三章 資料樣本與研究方法...........................................10
第一節 資料來源與說明...........................................10
第二節 異常報酬之計算...........................................10
第三節 利益衝突指數.............................................13
第四節 分量迴歸模型.............................................14
第五節 影響因素之實證模型.......................................15
第四章 實證結果與分析...............................................18
第一節 所有受推薦個股資訊內涵實證結果...........................18
第二節 受單家券商推薦與多家券商推薦之異常報酬比較...............20
第三節 利益衝突影響因素之實證分析...............................24
第五章 結論與建議...................................................32
第一節 結論.....................................................32
第二節 建議.....................................................33
參考文獻............................................................34

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