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題名:經濟日報與工商時報第一名分析師之投資組合績效分析
書刊名:財金論文叢刊
作者:賴藝文許瑞芳宋曉琪
作者(外文):Laih, Yih-wennHsu, Jui FangSong, Siao Chi
出版日期:2012
卷期:16
頁次:頁37-56
主題關鍵詞:股票推薦資訊內涵效率市場異常報酬Stock recommendationsInformation contentsEfficient marketAbnormal return
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:5
  • 點閱點閱:27
本研究以經濟日報與工商時報每週日所公布上週投資績效第一名分析師所推薦的投資組合為研究對象,使用單純投資策略進行選擇進場與出場時點的擇時方式,探討兩報分析師投組的投資績效是否可以勝過市場大盤,研究期間為2010年9 月6 日至2011 年11 月4 日,共60 週。本研究發現:(1)報紙公開資訊具有價值,而工商時報的第一名分析師所推薦的投資組合在多頭市場時具有較佳的報酬損益,經濟日報投資組合則在空頭市場時具有較佳的報酬損益;(2)利用單純投資策略下投資組合之績效評估,並扣除手續費與證交稅後之報酬,全期間部分,經濟日報與工商時報兩投資組合皆無法勝過市場大盤;(3)考慮多空頭市場狀況後,在多頭市場時,跟隨工商時報第一名分析師推薦之投資組合會有較高的異常報酬,而在空頭市場時,跟隨經濟日報第一名分析師推薦投資組合則有較少的損失。
We study the investment performance of all-star analyst recommendations provided by the Economic Daily News and the Commercial Times Daily. We use the naive strategies to examine the investment performance. We find that the information provided by the two news is value-related information under market conditions. In a bull market, the investment performance of the Commercial Times Daily is better than Economic Daily News. While in the bear market the investment performance of the Economic Daily News is better than Commercial Times Daily.
期刊論文
1.陳一如、蘇法(20040300)。從代理理論探討證券分析師對證券市場之影響。臺灣金融財務季刊,5(1),105-120。new window  延伸查詢new window
2.Barber, B.、Lehavy, R.、McNichols, M.、Trueman, B.(2003)。Reassessing the Returns to Analysts, Stock Recommendations。Financial Analysts Journal,56,88-96。  new window
3.Boni, L.、Womack, K. L.(2006)。Analysts, Industries, and Price Momentum。Journal of Financial and Quantitative Analysis,41(1),85-109。  new window
4.Easterwood, J.、Nutt, S.(1999)。Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?。Journal of Finance,54,1777-1797。  new window
5.Green, C.(2006)。The Value of Client Access to Analyst Recommendations。Journal of Financial and Quantitative Analysis,41,1-24。  new window
6.Hovakimian, A. G.、Saenyasiri, E.(2010)。Conflicts of Interest and Analyst Behavior: Evidence from Recent Changes in Regulation。Financial Analysts Journal,66,96-107。  new window
7.Huang, Joshua、Mian, Mujtaba、Sankaraguruswamy, Srinivasan(2009)。The Value of Combining the Information Content of Analyst Recommendations and Target Prices。Journal of Financial Market,12,754-777。  new window
8.Jegadeesh, Narasimhan、Kim, Woojin(2006)。Value of Analyst Recommendations: International Evidence。Journal of Financial Markets,9(3),274-309。  new window
9.Kim M. K.、Ismail, B. E.(1998)。An Accounting Analysis of the Risk-return Relationsnip in Bull and Bear Markets。Review of Financial Economics,7,173-182。  new window
10.Li, X.(2005)。The Persistence of Relative Performance in Stock Recommendations of Sell-side Financial Analysts。Journal of Accounting and Economics,40,129-152。  new window
11.Barber, Brad M.、Lehavy, Reuven、Trueman, Brett(2007)。Comparing the Stock Recommendation Performance of Investment Banks and Independent Research Firms。Journal of Financial Economics,85(2),490-517。  new window
12.Greene, J.、Smart, S.(1999)。Liquidity Provision and Noise Trading: Evidence from the 'Investment Dartboard' Column。Journal of Finance,54(5),1855-1899。  new window
13.Bjerring, J. H.、Lakonishok, J.、Vermaelen, T.(1983)。Stock Price and Financial Analysts' Recommendations。Journal of Finance,38(1),187-204。  new window
14.Stickel, Scott E.(198503)。The Effect of Value Line Investment Survey Rank Changes on Common Stock Price。Journal of Financial Economics,14(1),121-143。  new window
15.Jegadeesh, N.、Kim, J.、Krische, S. D.、Lee, C.(2004)。Analyzing the Analysts: When Do Recommendations Add Value?。The Journal of Finance,59(3),1083-1124。  new window
16.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
17.黃旭輝、許惠婷(20040600)。分析師的推薦股票可以實際獲利嗎?。財金論文叢刊,1,101-127。new window  延伸查詢new window
18.Womack, Kent L.(1996)。Do Brokerage Analysts' Recommendations Have Investment Value?。The Journal of Finance,51(1),137-167。  new window
19.Kim, S. T.、Lin, J. C.、Slovin, M. B.(1997)。Market Structure, Informed Trading, and Analysts's Recommendation。Journal of Financial and Quantitative Analysis,32,507-524。  new window
學位論文
1.吳宜鴻(2007)。外資券商分析師目標價宣告之資訊內涵(碩士論文)。國立東華大學。  延伸查詢new window
2.馬若荃(1997)。分析師票選股票之實證研究(碩士論文)。國立中興大學。  延伸查詢new window
3.陳信奇(2007)。工商日報推薦個股資訊對股價影響之實證研究(碩士論文)。國立雲林科技大學。  延伸查詢new window
4.曾鵬宇(2010)。平面媒體預測股價之獲利能力分析(碩士論文)。國立雲林科技大學。  延伸查詢new window
5.劉士豪(2001)。報紙推薦資訊對股價行爲影響之研究(碩士論文)。國立台灣科技大學。  延伸查詢new window
6.蔡思怡(2006)。分析師椎薦個股役薈績效之研究(碩士論文)。朝陽科技大學。  延伸查詢new window
7.蕭秋芸(1997)。證券分析師潠股建議有用件之實證研究(碩士論文)。國立中興大學。  延伸查詢new window
8.簡淑加(2007)。報紙推薦個股對股價影響之研究(碩士論文)。國立雲林科技大學。  延伸查詢new window
9.藍華真(1998)。我國證券投資顧問事業公開推薦資訊內涵之實證硏究(碩士論文)。國立成功大學。  延伸查詢new window
10.劉貞芸(2004)。報紙推薦資訊之實證研究:以經濟日報「每週精選潛力股」專欄為例,0。  延伸查詢new window
11.王慧雯(1998)。晚報推薦資訊對臺灣股票市場影響之研究(碩士論文)。國立成功大學。  延伸查詢new window
12.盧美君(2000)。由單純策略(Naive Strategies) 檢測專家推薦個股之投資績效(碩士論文)。國立中正大學。  延伸查詢new window
 
 
 
 
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