分析師推薦投資績效之實證研究—以台灣上市公司為例

Abstract

本研究以2006年至2010年之分析師報告為研究樣本，利用各分析師評等之平均建立投資組合，探討投資人是否能根據分析師之推薦獲取異常報酬。實證結果顯示，假設可即時獲得評等改變之資訊並每日交易，若投資人買進較高評等之股票並賣出較低評等的股票，則投資組合每個月可產生1.513%之異常報酬。投資組合之交易頻率降低或分析師資訊取得落後會減少其異常報酬；然而，其異常報酬仍顯著大於0。在扣除交易成本之後，異常報酬仍顯著大於0，結果顯示投資人可利用外資分析師報告建構可獲利之投資策略。

This paper estimates the abnormal returns, both gross and net of trading costs, earned on several investment strategies designed to take advantage of analysts’ stock recommendations. We document that a portfolio of the stocks with the most (least) favorable consensus analyst recommendations provides an average annual abnormal gross return of 11.23 (-7.54) percent, after controlling for market risk, size, book-to-market, and price momentum effects. Purchasing stocks that are most highly recommended by security analysts and selling short those that are least favorably recommended yields an abnormal gross return of 1.513 percent per month. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes decreases these returns. After accounting for transactions costs, these active trading strategies also can generate abnormal returns. Results suggest that the recommendations of foreign analysts provide valuable investment information on the Taiwan stock markets.