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研究生:劉琇禎
研究生(外文):Liu, Shiou-Chen
論文名稱:媒體推薦之資訊內涵-調整後事件研究法之實證分析
論文名稱(外文):The Information Contents of Media Recommendation: Empirical Analysis of Adjusted-Event Study
指導教授:林進財林進財引用關係
指導教授(外文):Lin, Chin-Tsai
學位類別:碩士
校院名稱:元培科技大學
系所名稱:經營管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:67
中文關鍵詞:報紙推薦異常報酬事件研究法灰預測模型
外文關鍵詞:Stock RecommendationsEvent StudyAbnormal ReturnGrey Forecasting Model
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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
參考文獻

一、英文部分

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5. Barber, B., Lehavy, R., McNichols, M. and Trueman, B., “Can investors profit from the prophets? Security analyst recommendations and stock returns,” Journal of Finance, Vol. 56, 2001, pp. 531-563.
6. Barber, B. M. and Loffler, D., “The ‘Dartboard’ column: Second-hand information and price pressure,” Journal of Financial and Quantitative Analysis, Vol. 28, 1993, pp. 273-284.
7. Bauman, W. S., Datta, S., and Iskandar-Datta, M. E., “Investment analyst recommendations: A test of the announcement effect and the valuable information effect,” Journal of Business Finance and Accounting, Vol. 22, 1995, pp. 659-670.
8. Bauman, W. S., Conover, C. M. and Cox, D. R., “Are the best small companies the best investments ?” Journal of Financial Research, Vol. 25, No. 2, 2002, pp. 169-186.
9. Beaver, H. W., “The information content of annual earnings announcement,” Journal of Accounting Research, Vol. 6, 1968, pp. 67-92.
10. Beneish, M. D., “Stock prices and dissemination of analysts’ recommendations,” Journal of Business, Vol. 64, No. 3, 1991, pp. 393-416.
11. Black, F., “Yes Virginia, there is hope: Test of the value ranking system,” Financial Analysts Journal, Vol. 29, 1973, pp. 10-14.
12. Botosan, C. and Plumlee, M., “Assessing alternative proxies for the expected risk premium,” Accounting Review, Vol. 80, 2005, pp. 21-53.
13. Bradshaw, M., “How to analysts use their earnings forecasts in generating stock recommendation?” Accounting Review, Vol. 79, 2004, pp. 25-50.
14. Chan, W. S., “Stock prices reaction to news and no-news: Drift and reversal after headlines,” Journal of Financial Economics, Vol. 70, 2003, pp. 223-260.
15. Chandy, P. R., Peavy, J. W. and Reichenstein, W., “A note on the value line stock highlights ?” Journal of Financial Research, Vol. 16, No. 2, 1993, pp. 171-179.
16. Change, Y. H. and Chan, C. C., “Financial analysts’ stock recommendation revisions and stock price change,” Applied Financial Economics, Vol. 1, 2007, pp. 1-17.
17. Chen, X. and Cheng, Q., “Institutional holdings and analysts’ stock recommendations,” Working Paper, Graduate School of Business, University of Chicago, 2004.
18. Choi, J. J., “He value line enigma: The sum of known parts ?” Journal of Financial and Quantitative Analysis, Vol. 35, No. 3, 2000, pp. 485-498.
19. Clerk, H., “A note on testing in aggressive investment strategy using value line ranks,” Journal of Finance, Vol. 36, 1981, pp. 711-719.
20. Copeland, T. E. and Mayers, D., “The value line enigma (1968- 1978): A case study of performance evaluation issues,” Journal of Financial Economics, Vol. 10, 1982, pp. 289-321.
21. Dave, B. and Humor, C., “Stock analysts: Experts in whose behalf ?” Journal of Psychology and Financial Economic, Vol. 3, No. 4, 2002, pp. 198-201.
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23. Fama, E. F., “The behavior of stock market prices,” Journal of Business, Vol. 38, 1965, pp. 34-105.
24. Fama, E. F., “Efficient Capital Markets: Ⅱ,”Journal of Finance, Vol. 46, 1991, pp. 1575-1611.
25. Fabozzi, F. J. and Francis, J. C., “Mutual fund systematic risk for bull and bear markets: An empirical examination,” Journal of Finance, Vol. 34, 1979, pp. 1243-1250.
26. Ferreira, E. J. and Brooks, L. D., “Re-released information in the wall street journal’s ‘Insider Trading Spotlight’ column,” Quarterly Journal of Business and Economics, Vol. 39, No. 1, 2000, pp. 22-34.
27. Ferreira, E. J. and Smith, S. D., “Wall street week: information or entertainment?” Financial Analysts Journal, Vol. 59, 2003, pp. 45-52.
28. Fisher, P. H., Gosnell, T. F. and Lasser, D. J., “Good news, bad news, volume, and the Monday effect,” Journal of Business Finance and Accounting, 1993, pp. 881-892.
29. Frankel, R., Kothari, S. P. and Weber, J. P., “Determinants of the informativeness of analyst research,” Journal of Accounting and Economics, Vol. 41, 2006, pp. 29-54.
30. French, K. R. and Roll, R., “Stock Return Variances: The arrival of information and the reaction of traders,” Journal of Financial Economics, Vol. 17, 1986, pp. 5-22.
31. Grossman, S. J. and Joseph, E. S., “On the impossibility of information efficient markets,” American Economic Review, Vol. 70, 1980, pp. 393-408.
32. Gu, Z. and Xue, J., “The disciplining role and superiority of independent analysts,” Working paper, Carnegie Mellon University, 2006.
33. Haugen, R, A. and Baker, N. L., “Interpreting the evidence on risk and expected return: Comment,” Journal of Portfolio Management, Vol. 19, 1993. pp. 36-43.
34. Hillmer, S. C. and Yu, P. L., “The market speed of adjustment to new information,” Journal of Financial Economics, Vol. 7, 1979, pp. 321-346.
35. Hirst, E., Hopkins, P. and Wahlen, J., “Fair values, income measurement, and bank analysts’ risk and valuation judgments,” Accounting Review, Vol. 79, 2004, pp. 454-473.
36. Hong, H. and Kubik, J. D., “Analyzing the analysts: Career concerns and biased earnings forecasts,” Journal of Finance, Vol. 58, 2003, pp. 313-351.
37. Huth, W. L. and Maris, B. A., “Large and small firm stock price response to heat on the street’ recommendation,” Journal of Accounting, Auditing and Finance, Vol. 7, No. 1, 1992, pp. 27-47.
38. Jackson, A. R., “Trade generation, reputation and sell-side analysts,” Journal of Finance, Vol. 60, 2005, pp. 673-717.
39. Kadous, K., Krische, S. and Sedor, L., “Using counter-explanation to limit analysts’ forecast optimism,” Accounting Review, Vol. 81, 2006, pp. 377-397.
40. Liang, B., “Price pressure: Evidence from the ‘Dartboard’ column,” Journal of Business, Vol. 72, No. 1, 2001, pp. 119-134.
41. Libby, R., Tan, H. and Hunton, J., “Does the from of management’s earnings guidance affect analysts’ earnings forecasts?” Accounting Review, Vol. 81, 2006, pp. 207-225.
42. Liu, P., Smith, S. D., Syed, A. A., “Stock price reactions to the wall street journal’s securities recommendations,” Journal of Financial and Quantitative Analysis, Vol. 25, 1990, pp. 399-410.
43. Menendez-Requejo, S., “Maket valuation of the analysts’ recommendations: The Spanish stock market,” Applied Financial Economics, Vol. 15, 2005, pp. 509-518.
44. Michaely, R. and Womack, K., “Conflict of interest and the credibility of underwriter analysts’ recommendations,” Review of Financial Studies, Vol. 12, 1999, pp. 653-686.
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46. Plumlee, M., “The effect of information complexity on analysts’ use of that information,” Accounting Review, Vol. 78, 2003, pp. 275-296.
47. Pruitt, S., Ness, B. F. V. and Ness, R. A. V., “Clientele trading in response to published information: Evidence form the ‘Dartboard’ column,” Journal of Financial Research, Vol. 23, 2000, pp. 1-13.
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52. Trahan, E. A. and Bolster, P. J., “The impact of Barron’s recommendations on stock prices,” Quarterly Journal of Business and Economics, Vol. 34, 1995, pp. 3-16.
53. Womack, K. L., “Do brokerage analysts’ recommendation have investment value?” Journal of Finance, Vol. 51, 1996, pp. 137-167.



二、 中文部分

1. 王懿昭,「綜合證券商推薦股票資訊內涵的實證研究」,世新大學財務金融所碩士論文,2005年。
2. 古永嘉與李鑑剛,「台灣股票市場報酬率之橫斷面與縱斷面混合分析」,輔仁管理評論,第5卷第1期,1998年,77-95頁。
3. 江明憲與鄭淯隆,「影響台灣股市日內股價變動因素之探討」,中山管理評論,第12卷第1期,2004年,173-193頁。
4. 李命志與林苑宜,「台灣股市規模效應與淨值市值市價比效應實證研究」,台灣經濟金融月刊,第36卷第9期,2000年,88-98頁。
5. 沈中華、池洋麟與高于婷,「證券商股票推薦之利益衝突及影響」,台灣金融財務季刊,第6卷第2期,2004年,1-20頁。
6. 沈中華與李建然,「事件研究法:財務與會計實證研究必備」,台北:華泰書局,2000年。
7. 林泉源,「證券投資顧問事業績效及投資者投資行為特性之研究」,台北:中華民國證券市場發展基金會,1988年。
8. 邱哲修與林苑宜,「市場規模效應與淨值市價比效應之實證研究」,中國工商學報,第21卷,1999年,267-286頁。
9. 姚蕙芸與梁志民,「空頭與多頭走勢期間台股股價與相關因素因果關係探討-以2000及2003年為例」,企業管理學報,第66期,2005年,1-39頁。
10. 拾已寰,「台灣股票市場機構投資人與小額投資人投資策略差異性之研究」,證券市場發展季刊,第12期,1991年,65-89頁。
11. 倪衍森、鐘雨潼與王武德,「台灣證券市場內線交易嚴重嗎?以台灣公開資訊觀測站之資訊分析為例」,中華管理學報,第7卷第2期,2006年,89-100頁。
12. 徐清俊與陳宜鋒,「分析師與經理人員盈餘預測品質之比較」,遠東學報,第20卷第4期,2003年,721-736頁。
13. 徐靖志,「專家選股意見對股價的影響」,淡江人文社會學刊,第4期,1999年,39-64頁。
14. 馬若荃,「分析師票選股票績效之實證研究」,國立中興大學會計研究所碩士論文,1996年。
15. 連乾文,「透視電子股奇蹟」,台北:商業周刊出版股份有限公司,1998年。
16. 陳信憲、王南喻與陳怡珮,「證券分析師對香港及新加坡股市盈餘預測與股價關聯之研究」,台灣金融財務季刊,第6卷第1期,2005年,53-69頁。
17. 陳隆麒、翁霓與郭敏華,「雜訊交易對台灣地區投資人行為及股價之影響」,證券市場發展季刊,第7卷第1期,1995年,101-123頁。
18. 陳瑞斌、劉立倫與翁慈青,「公司治與分析師預測誤差/離散性關係之研究」,台灣金融財務季刊,第7卷第3期,2006年,53-92頁。
19. 曾昱達,「大眾媒體推薦資訊對台灣股票市場之影響」,朝陽科技大學財務金融所碩士論文,2002年。
20. 楊踐為,「公司規模與一月效應之探討」,台灣經濟金融月刊,第32卷第12期,1996年,22-29頁。
21. 楊麗玲,「股利宣告對股東財富影響-事件研究法」,中華技術學院學報,第28期, 2003年,47-62頁。
22. 劉貞芸,「報紙推薦資訊之實證研究-以經濟日報「每週精選潛力股」專欄為例」,真理財經學報,第14期,2006年,41-70頁。
23. 潘文超,「以灰色預測與類神經模糊推論系統預測台股加權指數之研究」,遠東學報,第23卷第2期,2006年,217-223頁。
24. 蔡佳君、賴靜惠與陳育成,「分析師盈餘預測誤差與盈餘宣告時點對盈餘管理之影響」,交大商管學報,第10卷第2期,2006年,85-106頁。
25. 蔡彥卿、葉疏與李淑華,「股價對盈餘之反應幅度與期間是否受公司規模影響」,管理學報,第14卷第2期,1997年,227-240頁。
26. 鄭美幸、詹志明,「灰色理論與時間序列模型在匯率預測績效上之比較」,台灣金融財務季刊,第3卷第2期,2002年,95-104頁。
27. 鄧聚龍、郭洪、溫坤禮、張廷政與張偉哲,「灰預測模型方法與應用」,台北:高立圖書有限公司,1999年。
28. 鄧聚龍與郭洪,「灰預測原理與應用」,台北:全華出版公司,1996年。
29. 顏玉峰,「公開推薦資訊與股價異常報酬之研究」,國立政治大學國際貿易研究所碩士論文,2005年。
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