分析師股票推薦行為與投資人反應─從公平揭露法案探討

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姓名

陳寶如(Pao-ju Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

分析師股票推薦行為與投資人反應─從公平揭露法案探討
(The Impact of Regulation Fair Disclosure on Analysts' Recommendation Distribution)

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摘要(中)

本研究探討(1)公平揭露法案對證券分析師股票推薦評等分配是否有所影響，(2)公平揭露法案對於不同類別證券分析師所發布之股票推薦評等分配是否有不同的影響，(3)公平揭露法案實施後，市場投資人對於不同類別證券分析師所發布之股票推薦評等的股價反應是否有所不同。
　　實證結果顯示，公平揭露法案對於全部分析師股票推薦評等分配有顯著影響。特別是，對獨立研究機構分析師所發布股票推薦評等分配之影響大於對非獨立研究機構分析師股票推薦評等分配之影響。然而，公平揭露法案對非承銷商所屬分析師股票推薦評等分配之影響並未大於對承銷商所屬分析師股票推薦評等分配之影響。另一方面，相較於非獨立研究機構，獨立研究機構所發布之股票推薦評等對股票異常報酬的影響較大。而相較於承銷商所屬之證券分析師，非承銷商所屬之證券分析師所發布股票推薦評等對股票異常報酬的影響較大。

摘要(英)

This paper examines the impact of Regulation Fair Disclosure on analysts’ stock ratings distribution, especially for independent research firms and investment banks. We also investigate the impact of Regulation Fair Disclosure on analysts’ stock ratings distribution for their underwriting and non-underwriting firms. Besides, we investigate whether the market responds significantly to recommendations issued by independent research firms or unaffiliated analysts after the implementation of Regulation Fair Disclosure.
　　Our results show that the stock ratings distribution of all analysts significantly changes after the implementation of Regulation Fair Disclosure. The impact of Regulation Fair Disclosure on stock ratings distribution of independent research firms is significant larger than that of investment banks. However, the impact of Regulation Fair Disclosure on stock ratings distribution of unaffiliated analysts is not significantly larger than that of affiliated analysts. This paper also posits and shows that the average daily abnormal return to the recommendations issued by independent research firms exceeds those issued by investment banks. On the other hand, the average daily abnormal return to the “strong buy” and “buy” recommendations issued by unaffiliated analysts exceeds those issued by affiliated analysts.

關鍵字(中)

★ 承銷關係
★ 獨立研究機構
★ 市場反應
★ 公平揭露法案
★ 分析師股票推薦分配

關鍵字(英)

★ Market Reaction
★ Underwriting Relations
★ Regulation Fair Disclosure
★ Independent Research Firms
★ Stock Ratings Distribution

論文目次

目錄
摘要 I
ABSTRACT II
目錄 III
圖目錄 IV
表目錄 V
第一章緒論 1
第一節研究動機及目的 1
第二節研究貢獻 3
第三節研究架構 4
第二章　文獻回顧 7
第一節　股票推薦評等分配偏頗的原因 7
第二節　NASD RULE 2711 8
第三節　公平揭露法案 10
第三章研究設計及方法 13
第一節研究假說 13
第二節樣本選取與資料來源 15
第三節實證模式與統計方法 16
第四章實證結果及分析 19
第一節敘述統計量分析 19
第二節實證結果分析 21
第五章結論與建議 38
第一節研究結論 38
第二節研究建議 39

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指導教授

周冠男、陳慧玲
(Robin K. Chou、Huei-ling Chen)

審核日期

2008-6-25

推文