臺灣博碩士論文加值系統

本文利用事件研究法與灰預測模型，探討報紙專欄所公開推薦之股票是否存在資訊內涵，驗證推薦股票對投資人是否可以獲取異常報酬，在其公開推薦日前後的異常報酬是否有所顯著。並檢定同時使用灰預測模型與事件研究法進行對其報紙專欄在公開推薦前後的異常報酬是否顯著。
本文的研究對象以經濟日報每週日刊登的「每週精選潛力股」專欄為例，樣本期間從2006年1月1日至2006年12月31日。本文研究結果發現報紙專欄推薦資訊的確對台灣股票價格產生影響，在事件日前第5日已有顯著正異常報酬。在事件日後第2日即有顯著負異常報酬，之後正異常報酬便迅速消失。在盤整期間下，其實證結果分析中指出以灰預測模型比事件研究法還要來的顯著。若投資人在盤整期間欲想投資該專欄所推薦之股票標的，可以建議投資人在事件日後可使用灰預測的方法來調整投資組合，進而減少損失，以獲得超額報酬。

The main purpose of this study is to examine whether there exists information content effects of media recommendations in the Taiwanese listed electronics companies around the announcement date in TSE. And this paper examined the performances of the market model and the grey forecasting model, GM(1,1), to study the performance of uncertain stock market.
This paper employs the data from the column of the Weekly Well-chosen & Potential Stock of the Economic Daily News from January 1, 2006 to December 31, 2006. The empirical results of this study found that investors who obtained statistically significant positive and negative abnormal return for day -5 and 2 from journalism column. Furthermore, the empirical results found that grey forecasting model is better than the market model, hence, positive abnormal stock returns are expected by investors who utilized grey forecasting model on uncertain stock market.

目 錄
頁次
誌 謝 I
中文摘要 II
英文摘要 III
目 錄 IV
圖 目 錄 VI
表 目 錄 VIII
第一章 緒 論 1
1.1 研究背景與動機 1
1.2 研究問題與目的 3
1.3 研究對象與限制 4
1.4 研究架構與流程 4
1.5 論文結構 4
第二章 文獻探討 7
2.1 股票推薦研究之理論基礎 7
2.1.1 效率市場假說 7
2.1.2 資訊內涵 8
2.2 股票推薦研究之文獻探討 9
2.2.1 專欄推薦 10
2.2.2 專家推薦 12
第三章 研究設計 14
3.1 研究對象與資料處理 14
3.1.1 樣本概述 14
3.1.2 資料選取過程 16
3.2 研究模式 18
3.2.1 市場模式 19
3.2.2 平均異常報酬與累積平均異常報酬 20
3.2.3 事件研究法之統計檢定 21
3.3 灰色預測 25
第四章 實證結果與分析 29
4.1 報紙推薦公開資訊之分析 29
4.2 報紙推薦公開資訊之分析－多頭與空頭 35
4.2.1 多頭市場 35
4.2.2 空頭市場 40
4.3 報紙推薦公開資訊之分析－整合灰預測市場模型 45
第五章 結論與建議 48
5.1 結論 48
5.2 後續研究建議 49
參考文獻 50

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二、 中文部分

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