Empirical Relationship between Stock Recommendations and Net Trade Imbalance

[[abstract]]本研究係以2008年5月到2010年1月間，外資與本土券商，針對台灣上市公司所發佈的6,119筆投資評等(Stock Recommendations)為樣本，在考慮多、空頭市場與券商別下，探討投資評等是否有資訊內涵。再者，本研究在券商評等有資訊內涵下，探討投資評等與市場參與者淨買賣量(Trade Imbalance)的關係。本研究實證結果發現：一、就整體而言，券商評等有資訊內涵，且評等的發佈會使異常報酬率增加0.22%。多頭期間券商發佈的投資評等有資訊內涵，空頭則否。本土券商相較於外資券商有距離優勢；外資券商評等則有樂觀性偏誤的現象。二、在區分成外資法人、本土法人、散戶三種市場參與者情況下，外資法人影響價格的能力不如本土法人，而本土法人不管在何種評等下，且相較於其他市場參與者，其影響市場異常報酬程度較大，顯現本土法人淨買賣量對股價變動有較大程度影響，散戶則對投資評等略有疑慮，對於券商評等不一定全盤接受。[[abstract]]The study is based on the sample the foreign and domestic brokerage for listed companies issued by the 6,119 stock recommendations from May 2008 to January 2010 in Taiwan. Test considering bull or bear types of markets and brokerage, the study aims at exploring whether there is information content in recommendation. Furthermore, suppose recommendations conditions have information content, we discussed the net relationship between recommendations and market participants trading. We find that brokers recommendations have contain information content in the overall, and the post-recommendation leads to abnormal return in an increase of 0.22%. Bull period of broker's recommendations has credibly conveyed, but bear period dose not. Compared with foreign brokerages, local broker takes a distance advantage; while foreign brokerages recommendations present optimistic bias. Under the three market participants：Foreign institutional、local institutional, and retail investors, foreign institutional involve less in the transaction than local institutional. No matter under what the recommendations local institutional, the most actively involved in market transactions, and compared to other market participants, the impact of the market a greater degree of abnormal returns, show that local institutional buy or sell on stock price changes have a greater degree of influence. Retail investors in the market there are over-confident, not necessarily the overall recommendations for the broker to accept