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題名：產業與券商推薦績效持續性
作者：鄭雯芳
作者(外文)：Wen-fang Cheng
校院名稱：國立中正大學
系所名稱：企業管理所
指導教授：劉亞秋
林問一
學位類別：博士
出版日期：2009
主題關鍵詞：分析師推薦；產業加權；持續性；industry-weighted；analyst recommendations；persistence
原始連結：連回原系統網址new window
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本文採月時間序列迴歸，檢定產業專精的券商分析師推薦績效是否較具有持續性。首先，由平均月報酬和四因子模型分析發現，無法從券商分析師的推薦績效而獲利。其次，產業加權組合績效顯著優於產業未加權組合，且推薦績效持續性更常出現在產業加權組合，意謂券商分析師具有產業專家的價值，並且產業專精有助於推薦績效持續。將券商再細分為外資券商或本土券商，外資券商分析師因其專業知識，促使其推薦績效相對較具有持續性。最後，四因子模型中的規模因子係數顯著為負，表示有規模效應，隱含分析師傾向推薦大公司，外資券商尤其顯著。且外資券商傾向與大盤反向操作，買進價值股、賣出成長股以及追逐價格動能策略。
This paper uses monthly time series regression to examine whether recommendation performances of analysts as industry specialists are more persistent. First, our results show recommendation performances of analysts do not make a profit from the analysis of average monthly return or four-factor model. Second, the performances of industry-weighted portfolios are significantly better than unweighted portfolios, and also that persistence shows more often in industry-weighted portfolios. This means that analysts not only create value but also improve their performance persistence as industry specialists. When brokerages are categorized into foreign brokerages and local brokerages, the recommendation performances of the former are more persistent than the latter with regard to foreign brokerage expertise and knowledge. Finally, the significant negative loading of the size factor in four-factor regressions suggests that recommendation performances of analysts have size effect, which implies analysts tend to recommend big companies, and this size effect is especially significant for foreign brokerages. In addition, foreign brokerages tend to trade contrary to the market, buy value stocks and sell growth stocks, and chase price momentum.
一、中文部份
林問一、楊和利、盧美君(2004)，「以Jensen Alpha指數檢測專家推薦個股之投資績效」，中原企管評論，第2卷第1期，1-18。new window
黃旭輝、許惠婷(2006)，「券商的推薦股票可以實際獲利嗎」，證券市場發展季刊，第18卷第2期，79-115。new window
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