證券商推薦評等改變與利益衝突之探討

Abstract

本文探討台灣證券商發佈推薦評等改變時，其自營部門持有部位的變動，是否存在利益衝突操作的行為。不同於過去的研究探討證券商推薦評等，本文研究認為推薦評等改變傳遞更多公司資訊，研究發現證券商有「說到未做到」、甚至可能進行與推薦評等改變相反方向之股票買賣行為，顯示證券商會透過改變推薦評等，進行利益衝突操作。證券商可透過發佈賣出升級與持平升級，並且配合利益衝突操作獲取短期收益。雖然證券商有利益衝突操作之行為，但推薦評等改變依然具有資訊內涵，其中推薦評等改變為降級又比升級更能反應重要資訊。

This paper explores how brokerage firms trade on their own revision of equity recommendations to make profits. Distinguishing from past studies, which only emphasize on ratings of recommendations, we focus on changes of recommendations because they deliver more information about firms. We find that the subsequent trades by brokerage firms are inconsistent with their recommendation changes: When analysts upgrade (downgrade) a stock, their affiliated proprietary trading divisions decrease (increase) their holdings after the announcement. The results show that conflicts of interest do exist. A brokerage firm makes short-run profits through upgrading a buy or hold stock and strategically trading on their own recommended stocks. Although a conflict of interest exists, the recommendation revision still conveys information; downgrading providing more information than upgrading.