推薦贏家與輸家對股票報酬的影響

To recommend winners and losers' effect on stock compensation

10.29893/NCUTMAN.201811.0099

陳志鈞(Chih-Chun Chen)；麥貝丞(Bei Cheng Mai)

分析師推薦 ； 贏家與輸家 ； 事件研究法 ； 異常報酬 ； analyst recommendation stock ； winner and loser ； Event Study ； abnormal reward

管理學術研討會

第十六屆（2018 / 11 / 01）

1005 - 1016

繁體中文

台灣的股票市場是個以散戶為主的國家，一般民眾會以報紙、平面廣告、電視新聞作為投資一個重要的指標，但大多數的民眾會偏向於取得容易的報紙，來做為投資的依據，有一專欄都在講分析師所推薦股，就取這專欄來做為樣本來源。看在這其中分析師所推薦股，是否能獲得超額報酬。本研究是以報紙分析師推薦股作為研究目標，選取了經濟日報內的潛力黑馬股和法人特選股與聯合晚報內的投顧精選股，這三個專欄來作為樣本，期間總共有47個月，共計有6551筆資料。本研究所主要採用的事件研究法與橫斷面迴歸去進行分析。以短期而言，先把先把推薦股於推薦日前漲的歸類為贏家，下跌的歸類為輸家，以整體而言發現投資贏家是最佳選擇，但在事件日後，發現並非如此，贏家與輸家都各有出現過，輸家呈現較多的狀態。若投資人以過去股價來作為投資標的，在推薦股的第一個交易日，能獲得相對較高的報酬。

Taiwan's stock market is a country dominated by retail investors. The general public will use newspapers, print ads, and TV news as an important indicator of investment, but most people will prefer to obtain easy newspapers as the basis for investment. There is a column about the stocks recommended by analysts. Look at the stocks recommended by the analysts, whether you can get excess compensation. This study is based on the newspaper analysts' recommended stocks. It selects the potential dark horse stocks and legal person stocks in the economic daily report and the selected stocks in the joint evening newspaper. These three columns are used as samples for a total of 47 months. There are a total of 6551 documents. The event study and cross-sectional regression analysis used in this study. In the short term, the first is to classify the rise as the winner, and the fall is classified as the loser. It is the best choice to find the investment winner as a whole, but after the event, it is not the case. The winners and losers have appeared. The loser presents more status. If the investor uses the past stock price as the investment target, he can get a relatively high salary on the first trading day of the recommended stock.