| Summary: | 過去國內文獻大致指出投資人難以依靠券商的投資建議獲利，此與大部份國外文獻的發現相異。本文參考Barber et al. (2001)，建構一個適用於台灣股票市場的研究方法，再以四因子模型做實證。本文以2007年3月至2015年12月，共48987筆卷商個股報告為研究樣本，來探討券商報告的投資建議能否獲利。本文研究結果發現，台灣的券商報告擁有額外的資訊價值，此與Barber et al. (2001)及其他國外文獻大致相同。
本研究依券商的推薦強度建構四個投資組合。發現推薦程度高的投資組合平均月報酬為正，且高於大盤；而推薦程度低的投資組合平均月報酬顯著低於大盤，且擁有顯著的負超額報酬。本文進一步建構買進賣出策略，即買進推薦股票高的投資組合並賣出推薦程度低的投資組合，發現此策略報酬顯著高於零及大盤，且存在顯著的正超額報酬。另外在台股多頭期間，本研究的實證結果更加顯著，推薦程度高的投資組合平均月報酬增加至顯著高於大盤，且超額報酬顯著為正；推薦程度低的投資組合之大盤調整報酬及負超額報酬的顯著程度提高；而買進賣出策略獲得超額報酬的顯著程度也大幅提高。
=== Past Taiwanese literatures generally indicated that it is difficult to obtain profit from Taiwanese stock recommendations of brokerage, which is different from most of foreign literatures. Referring to Barber et al. (2001), we improve and build a research methodology applied to Taiwanese stock market, conducting empirical analysis with four-factor model. From March 2007 to December 2015, we use total 48987 brokers’ stock recommendations as sample to investigate whether inventors could earn profit from the broker recommendations. Our empirical results show that Taiwanese broker reports hold additional information, which is consistent with Barber et al. (2001) and most of foreign literatures.
According to the strength of recommendation, we construct four portfolios and find that the return of the most favorable portfolio is higher than market, while the return of the least favorable portfolio is significantly smaller than market and holds significantly negative access return. We further construct a long-short strategy, which buys the most favorable portfolios and shorts the least favorable portfolios. The return of this strategy is significantly higher than market, and excess return is significantly positive. During Taiwanese bull market, the significance of our empirical result improves. The significance level of market-adjusted return and access return for both the most favorable and least favorable portfolio is higher. In addition, the significance level of excess return for long-short strategy also greatly improves.
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