分析師偏空報告發佈前之資訊交易

Abstract

本文研究分析師調降投資評等以及出具悲觀目標價前的融券賣出量，藉以觀察分析師與賣空者間的資訊交流。本文之實證結果傾向支持資訊洩露論，認為分析師與賣空者之間確實存在資訊交流的現象，賣空者可以提前得到分析師偏空報告發佈日期的資訊，並在報告發佈至市場前提前建立空頭部位，但再接續探討賣空者的績效狀況後，發現賣空者不一定能從資訊優勢中獲得異常報酬。本文認為賣空者無法從資訊優勢獲得異常報酬的原因在於每份偏空報告所隱含的資訊量不同所致，而本文的實證結果指出，當分析師出具極端偏空的研究報告時，會帶給賣空者更大的誘因去賣空股票，而賣空者能因資訊優勢獲得異常報酬的機會大。

This thesis studies short-selling prior to the release analyst reports with downgrades or unfavorable target prices, in order to find out whether short sellers receive information from analysts. Our results support the hypothesis that short sellers are informed traders. Short sellers appear to obtain the downgrading information before released, so they can short sell in advance. However, we find that short sellers do not necessarily benefit from the information advantages. We think the reason is that each unfavorable analyst report contains the different amount of information. Our results show that if short sellers know in advance when analysts publish extreme unfavorable reports, it gives greater incentive to investors to short sell, and short sellers have great opportunities to benefit from the advantages of information.