受評公司市值與關注程度對分析師報告資訊揭露之影響

Abstract

本文探討分析師報告的資訊內涵及資訊揭露的現象。分析師報告是否能為市場帶來異常報酬率以及分析師報告是否有提前揭露的情形受到投資大眾的關注，過去諸多研究探討也證實分析師報告具有資訊內涵且有資訊揭露的現象。本文利用Thomson one提供的First Call 資料庫取得分析師報告樣本資料進行實證研究。結果發現台灣的分析師報告無論來自外資券商或本土券商，報告本身皆具資訊內涵且報告有提前揭露的現象。此外，本文還探討受評公司受到分析師的關注程度及受評公司市值對於資訊揭露的影響。結果發現關注程度及市值大小會影響資訊揭露的時間點，普遍出現關注程度越高或是市值越大，報告揭露的時間點越早。最後，本文探究關注程度及市值大小與累積異常報酬率間的關係，結果發現兩者間並無顯著關係。

This study investigates whether analysts’ reports in Taiwan have information value to earn abnormal returns and whether the reports are released to specific investors before released to public. Our results confirm that reports come from foreign and local investment banks have information value, and may be released earlier to some investors before go public. We also examine whether Ffirms’ market value and attention affect analysts’ tipping behavior. We find that larger market value or higher market attention leads to earlier tipping. However, the early tipping on large firms or high attention firms does not lead to greater abnormal returns.