Stock Price Reactions to Information Content of Brokerage Analysts’ Reports

由於外資券商多半在全球皆設有據點，所以在掌握公司資訊、投資經驗、充裕的資金後盾和交易技巧等方面都相當優異，因此外資所發布之研究報告也相當為投資人所重視。另外近年來台股總市值中，外資所持有之比例有逐漸攀升的趨勢，使得外資的動向逐漸成為市場上投資人所關心的焦點。本研究主要探討外資券商所發佈之投資評等在資訊內含價值上與本土券商所發佈之投資評等之差異，以及外資投資行為是否會對券商報告發佈所產生之異常報酬造成影響，因此本研究採事件研究法以及迴歸模型進行相關研究，經研究結果發現：(一)整體外資券商報告在宣告日之前的期間，所產生之累積平均異常報酬均顯著為正，而自宣告日之後，外資券商報告對累積平均異常報酬的影響即轉為負向。(二)外資發佈「買進」報告時，不論宣告日前或是宣告日後對累積平均異常報酬的影響均顯著為負。(三)在宣告日前的事件窗口中，外資報告發佈所產生之累積平均異常報酬並未明顯異於本土券商報告，表示在資訊價值上外資報告並未顯著優於本土報告。(四)在宣告日之後的事件窗口，外資券商發佈報告所帶來的累積平均異常報酬均為負，且顯著小於本土券商，而本土券商報告於宣告日後仍能產生正的累積平均異常報酬，相對於外資券商報告較有資訊價值。(五) 連續賣超天數與券商報告所產生之累積平均異常報酬成反向關係。(六) 券商報告發佈當日被評等個股的外資成交比重與券商報告所產生之累積平均異常報酬成反向關係。Most of foreign brokerages have strong presence in the world, hence they have great investment experience, abundant funds, and special investment strategies, etc. Due to the above reasons, the research analyst reports published by foreign brokerages are highly valued by investors. In recent year, the proportion of foreign capital to the total capital in Taiwan stock market has grown rapidly. Therefore, investors have been interested in trading strategies of foreign institution investors. This study examines the impacts of the research analyst reports, published by local brokerages and foreign brokerages, on stock market returns, with a focus on the difference of the information contents between local and foreign brokerages analyst reports. This study adopts event study and employs a regression model to investigate the relationship between cumulative abnormal returns and the research analyst reports. The research findings show that: (1) Average cumulative abnormal returns prior to the date that foreign brokerages published the investment recommendations are significantly positive. However, after the announcement date, the cumulative average abnormal returns turned negative. (2) During the period prior to the announcement date, the cumulative abnormal returns induced by the publishing of foreign brokerage reports are not significantly different from those induced by the publishing of local brokerage reports, indicating that foreign brokerage reports have no information advantage over the local brokerage reports. (3) Consecutive days of overselling by foreign institution investors have negative impact on cumulative average abnormal returns. (4) Foreign institution investors’ trading proportion of those stocks analyzed by foreign brokerages is negatively related to the cumulative abnormal returns