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研究生:劉依婷
研究生(外文):Yi-ting Liou
論文名稱:外資劵商評等之有效性及一致性
論文名稱(外文):The Validity and Consistency of Stock Recommendations of Foreign Security Firms
指導教授:黃一祥黃一祥引用關係
指導教授(外文):I-hsiang Huang
學位類別:碩士
校院名稱:國立高雄大學
系所名稱:金融管理學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:43
中文關鍵詞:股票推薦評等外資劵商資訊價值
外文關鍵詞:Stock RecommendationsForeign security firmsInformation Credibility
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本研究旨在探討外資劵商發佈評等之有效性及一致性。本文蒐集每日公開發行的報紙,將常見的外資劵商對臺灣上市公司的推薦評等新聞做分類,並將評等分成三大類,分別為買進、賣出與中立,探討外資劵商發佈評等的資訊價值。本文更進一步分析外資券商發佈評等前後之買賣行為。實證結果發現,買進及賣出評等最具參考價值,投資人可因此獲得超額報酬,而中立評等則不具參考價值;進一步地,在公佈賣出評等前,外資券商有先行進場佈局的情況,而在公佈賣出評等之後,外資券商會依循自身的推薦評等資訊賣出股票。
This study examines the validity and consistency of stock recommendations of foreign security firms. We collect the stock recommendation news from daily newspapers in Taiwan and the recommendation news are classified according to ratings. Ratings are divided into three categories:buy,sell and neutral in order to explore ratings information value of foreign security firms. We further analyze the trading behavior of security firms when before and after publish ratings. The empirical results show, buy and sell ratings of the most valuable, investors can obtain excess returns and neutral rating is not a useful reference. Further, before the announcement of sell ratings, foreign security firms will sell the stock, and after the announcement of sell ratings, foreign security firms will follow their recommendation rating.
第一章、緒論 1
第二章、文獻回顧 4
第一節、投資人類別的績效表現 4
第二節、媒體資訊對股價報酬的影響 7
第三節、媒體資訊與機構投資人的買賣行為 9
第四節、機構投資人對股票市場的影響 10
第三章、研究方法與資料 13
第一節、樣本與資料來源 13
第二節、研究方法 15
第三節、資料分析 18
第四章、實證結果 20
第一節、外資劵商發佈之評等對報酬的影響 20
第二節、外資劵商發佈評等前後之買賣行為 25
第五章、結論與建議 29
參考文獻 31
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