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題名：券商分析師利益衝突及其調節機制
作者：賴紀誠
作者(外文)：Chi-Cheng Lai
校院名稱：國立中正大學
系所名稱：企業管理研究所
指導教授：劉亞秋
林問一
學位類別：博士
出版日期：2010
主題關鍵詞：券商分析師；盈餘預測偏誤；反向操作；利益衝突；市場力量；調節機制；Securities analysts；Earnings forecasts bias；Opposite-direction trading；Conflicts of interest；Market force；Moderating mechanism
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本文主要探討券商分析師對台灣地區上市、櫃公司發佈年度盈餘預測時，其所屬券商自營部門的股票操作是否與此預測偏誤有關而導致利益衝突；並檢驗市場力量，如機構投資人持股比率與金控公司的出現，能否調節此利益衝突。實證結果發現，券商分析師的盈餘預測偏誤和自營部門的股票操作有顯著關聯，無論是樂觀抑或悲觀盈餘預測的股票，所屬券商自營部門均有明顯反向操作的情形，而且有反向操作的股票報酬率是優於沒有反向操作的股票。因此本文推測券商存在利益衝突。另外，從全體有預測偏誤的樣本觀察，對於分析師預測偏誤的大小，三大機構投資人中除了外資外，均具有調節作用。但對於自營部門的反向操作，在分析師樂觀預測的樣本中僅投信持股比率具有影響力；在悲觀預測的樣本，也只有投信與自營持股比率具影響力。因此，對於利益衝突的調節，不論分析師發佈何種預測偏誤，只有投信持股比率對於預測偏誤大小與反向操作程度有顯著關連性。最後，2000年代初期台灣金控公司的出現是可以影響資訊揭露的情形，讓所有樣本券商分析師的盈餘預測更接近真實。但針對自營部門的反向操作(不論是在分析師樂觀或是悲觀預測偏誤下)而言，僅隸屬金控公司之券商才有明顯改變。總而言之，以市場力量作為利益衝突的調節機制，普遍會在券商分析師的盈餘預測偏誤上產生作用，亦即具有調節偏誤大小的能力；但對於可因而獲取財務報酬的利益衝突，則只有部分的影響。
This study investigates the possible conflicts of interest of security analysts with market investors when making earnings forecasts, and also explores whether the market forces, like institutional ownerships and the emergence of bank holding companies (BHCs), can moderate these conflicts of interest. Using a sample of listed companies in Taiwan, we show evidence of close connections between analysts’ earnings forecasts biases and their firm’s proprietary dealing department’s trading patterns. Specifically, our findings indicate that the analyst firm’s proprietary trading actions tend to be in the opposite direction as suggested by the earnings forecasts, whether they are optimistic or pessimistic. Additionally, proprietary dealing department’s opposite-direction trading tends to produce higher returns compared to otherwise. Hence we conclude that the conflicts of interest exist in securities companies. Furthermore, the findings show that institutional ownerships except foreign investment shareholding rate can moderate the earnings forecasts biases of security analysts in all forecasts samples. As to the proprietary dealing department’s opposite-direction trading, only Investment Trust Company shareholding rate can impact the opposite-direction trading in optimistic samples; in pessimistic samples, the shareholding rates of both Investment Trust Companies and Securities Dealers demonstrate significant influences. We thus conclude that only Investment Trust Company shareholding rate is able to moderate the degree of analysts’ forecasts biases and opposite-direction trading. Finally, the presence of bank holding companies in the beginning of the 21th century, can moderate the biases of analysts’ earnings forecasts to make the forecasts better reflect their real EPS performance. Nevertheless, the effect of the BHCs to alleviate biases in the opposite-direction trading is only observed in their affiliated securities proprietary dealing departments. In general, by using market forces as a moderating mechanism on conflicts of interest, this study proves that the moderation function is more effective on analysts’ forecasts biases, yet has some weaker effect on conflicts of interest.
一、中文文獻

沈中華、池祥麟、高于婷，2005，「證券商股票推薦之利益衝突及影響」，台灣金融 財務季刊，第六輯第二期。new window
李沛原，2006，券商分析師樂觀盈餘預測與利益衝突，私立逢甲大學財務金融學系未出版之碩士論文。
高于婷，2004，券商利益衝突及其決定因素之分析，私立銘傳大學國際企業學系未出版之碩士論文。
許凱翔，2010，台灣股票市場個別投資人與機構投資人從眾行為之關係，國立中興大學財務金融研究所未出版之碩士論文。
黃姿婷，2003，綜合券商附屬分析師預測偏誤與利益衝突關聯之研究，私立中原大學會計學系未出版之碩士論文。

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