臺灣博碩士論文加值系統

本研究以「經濟日報」每週日刊載之「本週精選潛力股」專欄為研究對象，該報每週會有六家公司推薦個股，六家公司分別為康和證券、寶來證券、金復華投顧、華南投顧、元富投顧和聯邦投顧。研究期間為民國九十四年一月二日至九十五年一月二十五日，共1328個樣本。採用Treynor and Mazuy (1966)模型檢測分析師是否具有選股能力與擇時能力。實證結果發現：
一、全部樣本投資組合在考慮交易成本前，績效顯著優於大盤，但在考慮交易成本後分析師推薦股票之投資組合並不能夠獲取異常報酬。
二、多頭投資組合與在空頭投資組合無論是在考慮交易成前以及考慮交易成本後，投資者無法透過分析師所建構的投資組合獲取優於市場的超額報酬。
三、精選股投資組合在考慮交易成本前及考慮交易成本後，投資者採取分析師推薦之精選類股投資組合，可獲取異常報酬，且其績效表現優於全部投資組合之績效。
四、分析師推薦股票之全部投資組合的績效優於各類股指數配對投資組合。
五、投資者依據寶來證券、元富投顧與聯邦投顧投資組合推薦之投資組合買進股票，無論在考慮交易成本前以及考慮交易成本後，均可獲取顯著正的異常報酬。
六、在擇時能力方面，分析師無法成功預測市場走向，進而適時地調整投資組合的風險。

We use the Treynor & Mazuy (1966) model to estimate the selective ability and timing ability around the publication of the “Weekly Well-chosen & Potential Stocks” column appeared in the Economic Daily News on every Sunday. In the Economic Daily News have six companys recommend stocks, including Concord、Polaris、fuhwa、Huanan、Masterlink and Union. The study period is from January 2, 2005 to January 25, 2006 and the research sample comprises 1328 observations.
The empirical results are as follows:
1. In the all sample portfolio, we have observed significant abnormal returns before considering transaction costs, but can not observed significant abnormal returns after considering transaction costs.
2. In the bull portfolio and bear portfolio, whether considering transactions cost or not, investor can not earn significant abnormal returns.
3. In the potential stock portfolio, whether considering transactions cost or not, investor can earn significant abnormal returns. And potential stock portfolio performance is superior to all sample portfolio.
4. All sample portfolio performance is superior to match portfolio.
5. In the Polaris、Masterlink and Union portfolio, whether considering transactions cost or not, investor can earn significant abnormal returns.
6. For timing ability, analysts can not forecast the market trend, in turn they can not rebalance portfolio risk adequately.

第壹章 緒論…………………………………………1
第一節 研究背景與動機……………………………1
第二節 研究目的……………………………………3
第三節 研究流程與流程圖…………………………4
第貳章 文獻回顧……………………………………5
第一節 分析師推薦股票之相關理論基礎…………5
第二節 共同基金績效評估指標方法………………8
第三節 國外相關實證研究回顧……………………16
第四節 國內相關實證研究回顧……………………22

第參章 研究設計……………………………………25
第一節 樣本及資料來源……………………………25
第二節 研究方法……………………………………29
第三節 非定態之檢定………………………………32
第肆章 實證結果分析………………………………34
第一節 敘述統計分析………………………………34
第二節 單根檢定之結果……………………………36
第三節 選股能力與擇時能力之實證結果…………38
第伍章 結論…………………………………………46

參考文獻………………………………………………47
附錄……………………………………………………54

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