分析師推薦對股價影響之研究

CCUR > College of Business > Department of Business Administration & Graduate Institute of International Business Administration > Thesis > Item 987654321/19874

Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/19874

Title:	分析師推薦對股價影響之研究
Authors:	胡統盛
Contributors:	國際企業管理學系
Keywords:	事件研究法市場模式異常報酬媒體推薦
Date:	2010
Issue Date:	2011-10-24 14:38:20 (UTC+8)
Abstract:	論文提要內容：本研究主要目的為檢驗分析師在經濟日報和聯合晚報，共同推薦的股票股價在推薦前後價格的變動。利用事件研究法來檢驗報刊共同推薦的影響，使用市場模式建立股票報酬率的預期模式，研究期間為2007年1月1日起，至2009年8月16日為調查期間，總樣本數為238支共同推薦股票，事件日設為共同推薦宣告後第一個交易日，事件期為交易日前後各五天。結果指出，股價與資訊宣佈前以及宣告日的關係，在統計上呈現顯著的正向異常報酬。在宣告日後，股價報酬和共同推薦的訊息呈現顯著的負相關。實證結果顯示，報刊共同推薦是為一落後指標。 ABSTRACT The purpose of this study is to examine how stock price changes around the common recommendations in presses of Economic Daily News and United Evening News. By using event-study methodology, the impact of common recommendations in presses on recommended stocks is examined. The expected return was derived using the market model and Ordinary Least Square. The period is from January 1, 2007 to August 16, 2009. There are 238 stock samples totally. In this study, event days were the first trading day after each of common recommendations, and event periods were taken from five trading days before and after the event. The result indicated that stocks price was reflected in statistically significant positive abnormal return relevant with presses common recommendations in announcement day and before announcement day. Post-announcement day, stocks returns in statistically are significantly negative relevant with presses common recommendations. Empirical evidence proof that presses common recommendations is a lagging indicator.
Appears in Collections:	[Department of Business Administration & Graduate Institute of International Business Administration ] Thesis

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	275	View/Open

Loading...