臺灣博碩士論文加值系統

摘要

不同於一般技術分析獲利能力研究多以指數為主要標的樣本，本研究以2009年至2012年台灣上市之個別公司為主要標的，並依據其前一年度上市公司之分析師跟隨人數高低，將全部或各年度總樣本公司進行分組。利用Brock et al.(1992)的移動平均(MA)法則，實證其獲利能力是否因分析師跟隨人數高低而有不同之影響結果。本文研究無考慮交易成本，發現全體樣本(2009至2012年)、2010與2011年MA技術交易策略之獲利能力具有效性及可以打敗買進持有策略，而2009年與2012年可能受到前一年重大經濟事件 (2008年金融海嘯與2011年歐債危機)影響，MA技術交易策略之獲利能力無法打敗買進持有策略。由各年度發現技術分析操作無法持續地擊敗市場，以過去有效的技術分析來使用於股票市場投資，無法保證未來也能同樣地擊敗市場(關寅麟 (1993)、Thomas S. Coe and Kittipong Laosethakul (2010) and A. E. Milionisand E. Papanagiotou (2011))。

主要重要發現，全體樣本MA技術交易策略與買進持有策略平均差異檢定，發現無任何分析師跟隨的上市公司皆大於有分析師跟隨的上市公司之平均差異報酬，表示有分析師跟隨的上市公司其報酬相對較差。進一步觀察分析師跟隨人數較少的上市公司，皆優於分析師跟隨人數較多的上市公司之平均差異報酬，表示分析師跟隨人數越高的上市公司其報酬愈差，即分析師跟隨人數愈高的上市公司，其此資訊已充分反映在股價上，相對無法獲取較好的報酬(Chordia and Swaminathan (2000))。

Abstract

Unlike the technical analysis studies for profitability that use an index as a primary indicator, this study incorporates a sample of Taiwanese companies that were listed on the Taiwan market from 2009 to 2012 as the primary indicator, then categorizes these companies based on the disparity of analysis following from listed companies of the preceding year. Moving average (MA) rules of Brock et al.(1992) is used to verify whether the results of profitability are affected by the numbers of analyst coverage. The transaction cost is not taken into consideration in this study. It is discovered that the total samples (from 2009 to 2012) and the profitability of MA technical transaction strategies in 2010 and 2011 all possessed a great degree of effectiveness and were able to beat the buy and hold strategies. On the same token, the profitability of MA technical transaction strategies in 2009 and 2012 were not able to beat the buy and hold strategies due to economic uncertainties that seriously affected the markets such as the (financial tsunami in 2008 and European debt crisis in 2011). It is also discovered that technical analysis is not an effective tool to outsmart the market; therefore, using historical technical analysis to determine return on stock investments, isn’t a viable method to guarantee future market success ( Guan, Yin-Lin, 1993、Thomas S. Coe and Kittipong Laosethakul, 2010 and A. E. Milionisand E. Papanagiotou, 2011).

One major discovery is that of the difference in average of yields from listed companies without analyst coverage is greater than those with analyst coverage, which is conclusive when assessing the average disparity between MA technical transaction strategy and the buy-and-hold strategy from the total samples, thus indicating that listed companies with analyst coverage tend to yield relatively less returns. With a further investigation of listed companies that have less analyst coverage, their average yield is greater than those listed companies with more analyst coverage. Therefore, the listed companies with greater analyst coverage will have less reward, which also means that the listed companies with greater analyst coverage that fully show their stock value information show relatively lower yields (Chordia and Swaminathan,2000).

目錄

壹、緒論 1
一、研究動機與目的 1
二、研究架構 5
貳、文獻回顧 6
參、研究設計 13
一、研究樣本、期間與資料來源 13
二、變數定義、衡量與技術交易法則 13
肆、實證結果與分析 17
一、分析師跟隨人數之敘述統計 17
二、實證結果 18
伍、結論與建議 22
一、結論 22
二、建議 24
參考文獻 25
一、國內文獻 25
二、國外文獻 26

表目錄

表1 分析師跟隨人數樣本之敘述統計表 31
表2 全體樣本MA技術策略買入日與賣出日報酬比較表 32
表3 各年度MA(1,50)技術策略買入日與賣出日報酬比較表 33
表4 各年度MA(1,100)技術策略買入日與賣出日報酬比較表 34
表5 各年度MA(1,150)技術策略買入日與賣出日報酬比較表 35
表6 各年度平均MA技術策略買入日與賣出日報酬比較表 36
表7 全體樣本MA技術策略與買進持有策略報酬比較表 37
表8 各年度MA(50)技術策略與買進持有(B&H)策略報酬比較表 38
表9 各年度MA(100)技術策略與買進持有(B&H)策略報酬比較表 39
表10 各年度MA(150)技術策略與買進持有(B&H)策略報酬比較表 40
表11 各年度平均MA技術策略與買進持有(B&H)策略報酬比較表 41
表12 全體樣本與各年度三種天期MA技術分析策略的平均報酬比較表 42


附錄目錄

附錄1 2008年至2012年股價走勢圖 43
附錄2 2008年分析師跟隨人數彙總表 44
附錄3 2009年分析師跟隨人數彙總表 45
附錄4 2010年分析師跟隨人數彙總表 46
附錄5-1 2011年分析師跟隨人數彙總表 47
附錄5-2 2011年分析師跟隨人數彙總表 48
附錄6-1 分析師跟隨人數樣本之敘述統計表 49
附錄6-2 全體樣本MA技術策略買入日與賣出日報酬比較表 50
附錄6-3 各年度MA(1,50)技術策略買入日與賣出日報酬比較表 51
附錄6-4 各年度MA(1,100)技術策略買入日與賣出日報酬比較表 52
附錄6-5 各年度MA(1,150)技術策略買入日與賣出日報酬比較表 53
附錄 6-6各年度平均MA技術策略買入日與賣出日報酬比較表 54
附錄 6-7全體樣本MA技術策略與買進持有策略報酬比較表 55
附錄 6-8各年度MA(50)技術策略與買進持有(B&H)策略報酬比較表 56
附錄6-9 各年度MA(100)技術策略與買進持有(B&H)策略報酬比較表 57
附錄6-10 各年度MA(150)技術策略與買進持有(B&H)策略報酬比較表 58
附錄6-11 各年度平均MA技術策略與買進持有(B&H)策略報酬比較表 59
附錄6-12 全體樣本與各年度三種天期MA技術分析策略的平均報酬比較表 60

參考文獻

一、國內文獻

后祥雯 (2004)，「證券分析師在財務預測資訊中所應扮演的積極角色與功能發揮」，證券櫃檯月刊，第97期。
洪美惠 (1997)，「技術分析應用於台灣股市之研究－移動平均線、乖離率指標與相對強弱指標之評估」，私立東海大學管理研究所碩士論文。
徐瑞隆 (1988)，「技術分析之收益性與市場的有效性之研究」，國立成功大學工業管理研究所碩士論文。
徐婉甯 (2007)，「財務分析師跟隨效果與私募宣告發行後公司績效之關聯性」，國立成功大學國際企業研究所碩士論文。
翁龍翔 (1994)，「各國股市技術分析的有效性」，國立臺灣大學財務金融研究所碩士論文。
許秀賓 (1993)，「財務分析師盈餘預測優越性決定因素－實證研究」，會計評論，第27期。
黃彥聖 (1995)，「移動平均法的投資績效」，管理評論，第十四卷，第1期。
黃旭鋒 (2004)，「以技術分析法則與公司特性選股之投資績效」，私立東海大學管理在職專班碩士論文。
劉尹玉 (2004)，「企業自願性非盈餘資訊揭露對分析師預測行為之影響」，私立淡江大學會計學研究所碩士論文。
趙永昱 (2002)，「技術分析交易法則在股市擇時之實證研究」，國立中山大學財務管理學系研究所碩士論文。
蔡詩珉 (2004)，「技術分析法則績效與公司特性之關聯性」，國立中興大學財務金融系碩士論文。
賴勝章 (1989)，「台灣股票市場弱式效率性實證研究－以技術分析檢驗」，國立臺灣大學商學研究所碩士論文。
鐘仁甫 (2001)，「技術分析簡單法則於台灣電子個股之應用」，私立東海大學企業管理研究所碩士論文。
關寅麟 (1993)，「技術分析投資報酬一致性之研究─臺灣股市的實證」，私立東海大學企業管理研究所碩士論文。

二、國外文獻

A. E. Milionisand E. Papanagiotou, (2011), “A test of significance of the predictive power of the moving average trading rule of technicalanalysis based on sensitivity analysis: application to the NYSE, the AthensStock Exchange and the ViennaStock Exchange. Implications for weak-form market efficiency testing”, Applied Financial Economics, 21, p.421–436.
Alexander, S.S., (1961), “Price Movements in Speculative Markets: Trends or Random Walks”, in P. Cootner, ed.: The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.), p.199-218.
Bessembinder, H., and K. Chan, (1995), “The profitability of technical trading rules in the Asian stock markets”, Pacific-Basin Finance journal, 3, p.257-284.
Beaver, W. (1998), Financial Reporting: An Accounting Revolution (3^rded.)New Jersey:
Prentice-Hall.
Brennan, M. J., N. Jegadeesh and B. Swaminathan, (1993), “Investment analysis and theadjustment of stock prices to common information”, Review of Financial Studies, 6, p.799-824.
Brock W., J. Lakonishok, and B. LeBaron, (1992), “Simple Technical Trading Rule and the Stochastic Properties of Stock Return”, Journal of Finance, 41, p.1731-1764.
Blume, L., Easley, D., and M. O’Hara, (1994), “Market Statistics and Technical Analysis: The Role of Volume”, Journal of Finance, 47, p.153-181.
Caginalp, G., and H. Laurent, (1998), “The predictive power of price patterns”, Mathematical Finance, 5, p.181-205.
Chan, K., and N. Chen, (1991), “Structural and Return Characteristics of Small and Large Firms” Journal of Finance, p.1467-1484.
Chien Ping Chen, Massoud Metghalchi and Xavier Garza Gomez, (2011), “Technical Analysis of the Danish Stock Market”, Business Studies Journal, 3, p.107-116.
Chordia, Tarun and Bhaskaran Swaminathan, (2000), “Trading volume and cross autocorrelations in stock returns”, Journal of Finance, 55, p.913-935.
Cootner, Paul H., (1964), “Stock Market Price: Random versus System Change”, Industrial Management Review, 3, p.24-25.
Debreceny, R. & Rahman, A. (2005), “Firm-specific determinants of continuous corporate disclosures”. The International Journal of Accounting, 40, p.249-278.
Edwards, R. D. and J. Magee, (1992), “Technical Analysis of Stock Trends”, 8th Edition, New York.
Fama, E., (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25, p.383-417.
Foster, F. D. and S. Viswanathan, (1993), “The effect of public information and competition on trading volume and price volatility”, Review of Financial Studies, 6, p.23-56.
George, T., G. Kaul, and M. Nimalendran, (1994), “Trading Volume and Transaction Costs in Specialist Markets”, The Journal of Finance, 4, p.1489-1505.
Gunasekarage, A., and D. Power,（2001）, “The profitability of moving average trading rules in South Asian stock markets”, Emerging Markets Review, 2, p.17-33.
Healy, P. M., Hutton, A. P. & Palepu, K. G. (1999). “Stock Performance and Intermediation Changes Surrounding Sustained Increases in Disclosure”, Contemporary Accounting Research, 16, p.485-520.
Holden, C. and A. Subrahmanyam, (1992), “Long-lived private information and imperfect competition,” Journal of Finance, 47, p.247-270.
Hong, H., and J. D. Kubik. (2003), “Analyzing the analysts: Career concerns and biased earnings forecasts”, The Journal of Finance, 58, p.313-51.
Huth, W. L. and B. A. Maris (1992), “Large and small firm stock price response to ‘ heard on the street’ recommendation,” Journal of Accounting Auditing and Finance, 7, p.27-47.
Imad Moosa and Larry Li, (2011), “Technical and Fundamental Trading in the Chinese Stock Market: Evidence Based on Time-Series and Panel Data ?”, Emerging Markets Finance & Trade, p. 23–31.
Jensen, M.C., and G.A. Benington, (1970), “Random Walks and Technical Theories: Some Additional Evidence”, Journal of finance, p.469-482.
Kwon, K. and R. Kish, (2002), “Technical trading strategies and Return predictability: NYSE, Applied Financial Economics”, 12, p.639-653.
Lang, M. and R. Lundholm, (1996), “Corporate Disclosure Policy and Analyst Behavior”, The Accounting Review, 71, p.467-492.
Levich and Thomas, (1993), “The Profitability of Technical Trading Rules: A Combined Signal Approach”, Journal of Applied Business Research, 23.
Mahoney, W. F. (1991), “Investor Relations: The Professional’s Guide to Financial Marketing
and Communications” . New York, NY: New York Institute of Finance.
Mahendra Raj, (2013), “The Use of Moving Average Trading Rules to Generate Abnormal Positive Returns in the Intra-Day FuturesMarket”, International Journal of Management, 30, p36-42.
Maillet, B., and T. Michel, (2000), “Further Insights on the Puzzle of Technical Analysis Profitability”, the European Journal of Finance, 6, p.196-224.
Massoud Metghalchi, Yung Ho Chang and Xavier Garza-Gomez, (2012), “Technical Analysis of the Taiwanese Stock Market”, International Journal of Economics and Finance, 4, p.90-102.
Metghalchi, M.et al. (2011), “Technical Trading Rules for NASDAQ Composite Index”, International Research Journal of Finance and Economics, 73.
Muhammad Arshad Haroon, (2012),“The Use of Moving Average Trading Rules to Generate Abnormal Positive Returns in the Intra-Day FuturesMarket”, Pak. J. Commer. Soc. Sci., 6, p.297-307.
Myers, T., (1989), “The Technical Analysis Course”, Probus, Chicago.
Neely, C. J., (1997), “Technical analysis in the foreign exchange market: A laymansguide” ,Federal Reserve Bank of St. Louis Review,p.23-38.
Osler, C. L., and P. H. Chang, (1995), “Headand shoulders: Not just a flaky pattern”, Federal Reserve Bank of New York Staff Reports.
Pearson, K., (1905), “Das Fehlergestz und seine Verallgemeinerungen durch Fechner und Pearson”, A Rejoinder. Biometrika, 4, p.169-212.
Pring, M., (1993), “Martin Pring on Market Momentum Int.”, Inst. for Economic Research, Inc., Gloucester, VA.
Ratner, M and R. P. Leal, (1999), “Test of technical trading strategies in the emerging equity markets of Latin America and Asia”, Journal of Banking and Finance, 23, p.1887-1905.
Thomas S. Coe and Kittipong Laosethakul, (2010), “Should Individual Investors Use Technical Trading Rules to Attempt to Beat the Market ?”, American Journal of Economics and Business Administration, 2, p.201-209.
Wang, Chih Chien and Wen Cheng Fang, (1999), “Is Computer Network Retailing Trustworthy? A Survey of College Students’ Perception in Taiwan”, Pan Pacific Management Review, 3, p. 95-104.
Waymire, G. (1986), “Additional evidence on the accuracy of analyst forecasts before and
after voluntary management earnings forecast”, The Accounting Review 61, p .129-142.
Van Horne, Jams C. and Parker, George G.C, (1967), “Technical Trading Rules: A Comment”, Financial Analysts Journal, 35, p.28-132.
Zhu, Y., and G. Zhou, (2009), “Technical analysis: An asset allocation perspective on the use of moving averages” Journal of Financial Economics, 92, p. 519-544.