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  4. 各系外資研究報告之可信度及對個股股價表現影響
 
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各系外資研究報告之可信度及對個股股價表現影響

Date Issued
2006
Date
2006
Author(s)
高武忠
DOI
zh-TW
URI
http://ntur.lib.ntu.edu.tw//handle/246246/60697
Abstract
As the local capital market steadily undergoing rapid development in recent years, fueling the number of public listed and OTC-traded firms to reach more than one thousand, referral information released by a host of professional research institutions has become crucial references to general investors and institutional investors alike in making investment decisions. And with the weighing of foreign capital investing in the Taiwan stock market reaching as high as 27.14% as of October 2000, it is evident that foreign capital has become a crucial participant in the local stock market. Coupled with the fact that foreign capital comes with professional investment research and analytical capability, the research reports that foreign capital releases often becomes a focal point sought after by local institutional investors and small cap investors. In an effort to discern the reliability of foreign capital’s research reports and their impact to the investment behaviors of other investors, the study has adopted the event study method to conduct relevant studies, and the study findings reveal that, (1) Foreign capital tends to buy aggregately in response to buy-in recommendations when the market is up, and tends to sell off aggregately in response to sell-off recommendations when the market down, but would side with the market without following research recommendations when research recommendations conflict the market trends; small cap investors’ response to foreign capital’s research reports is less discernable. (2) Foreign capital of different systems invariably buys in before releasing buy recommendations, and foreign capital invariably sells off in advance before sell recommendations are released by foreign capital of the U.S. system and European system. (3) Local institutional investors tend to have a higher confidence on sell-off recommendations from the U.S. and Asian foreign capital systems, whereas foreign capital and small cap investors inadvertently tend to have a higher confidence on sell-off recommendations from the European brokerage system; with regard to buy-in recommendations, neither local investors nor small cap investors wage their confidence on foreign capital. (4) Foreign capital’s sell-off recommendations tend to bear a negative impact when the shares are undergoing reshuffling or the market is in a rebound stage, but no discernable correlation could be identified in a downturn stage; and buy-in recommendations tend only to create a buoying effect in a downturn stage. (5) In accuracy, foreign capital of the European and U.S. systems’ recommendations tend to be higher on buy-in recommendations, whereas foreign capital of the Asian system’s sell-off recommendations are found more reliable.
Subjects
投資評等
異常報酬
Information content
Investment rating
Abnormal return
Type
thesis
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ntu-95-P92745015-1.pdf

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(MD5):c720fcf23269c82a83b39178a4088fbf

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