臺灣博碩士論文加值系統

本文研究國內外券商分析師所分佈的評等，是否具有參考價值，並且研究券商在評等公佈前後的買賣行為，是否符合本身所發佈的消息，以便驗証外資券商與國內券商是否是值得投資大眾所信賴。實證結果顯示，外資發佈買進評等及評等升級以及國內券商發佈賣出評等及評等降級，具有參考價值。我們也發現，在牛市期間評等降級是最為重要的指標，熊市時候反而是評等升級變為重要的指標。

This thesis takes the stock recommendation performance of analysts of domestic and foreign security firms as investment value, and studies the security behavior to see if they accorded the advices that announced by themselves to confirm domestic and foreign security firms if they were worthy to believe. The empirical result confirms that the buy up or change up recommendation issued by foreign security firms and the sell out or change down recommendation issued by domestic security firms is worthy to believe. We also find that the most important indicators during bull market is change down comments. On the contrary, change up comments becomes important reference during bear market.

第一章 緒論......................................1
第一節 動機與目的................................1
第二節 架構與流程................................1
第二章 相關理論與文獻............................3
第一節 機構投資人對股價無影響理論................3
第二節 機構投資人對股價有影響理論................3
第三節 分析師文獻................................4
第三章 研究方法..................................6
第一節 資料來源與研究期間........................6
第二節 事件研究法................................7
第三節 訊息發佈前後國內外券商買賣超分析..........9
第四節 訊息發佈前後一般散戶的交易行為...........10
第五節 訊息發佈前後市場反應.....................11
第六節 各單位買賣對股票報酬影響分析.............11
第四章 實證結果.................................12
第一節 總樣本期間券商評等之報酬.................12
第二節 各行情下券商評等之報酬.................. 12
第三節 券商評等之買賣超分析.....................14
第四節 券商評等與融資增減.......................14
第五節 券商評等與融券增減.......................15
第六節 券商評等與市場上的反應...................15
第七節 各單位買賣對股票報酬影響分析.............16
第五章 結論與建議...............................17
第一節 結論.....................................17
第二節 建議.....................................17
參考文獻........................................35

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