The information Effect of recommendation on internet-the empirical study of CAPITAL and SINOPAC.

• Main Authors: Shun-Huei Syu, 徐順輝
• Other Authors: 徐靖志
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/91443036188049685929

碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === In Taiwan Stock Exchange Market are 85% individual investors, who lack of professional investment experience as institutional investors. This may account for the prosperity of the public recommended information from various newspapers and magazines of professional analysts. We use the event study method employed by Brown and Warner (1980) and the market model to estimate the abnormal returns and the study attempts to comparison between two CAPITAL and SINOPAC that have different reader for investment professional situation. The study period is from September 2003 to September 30, 2005 and the research sample comprises 1099 observations. The empirical results are as follows: 1. We have observed significant abnormal returns in the pre- event period possibly because firms recommended by information from internet tend to have performed quite well before the publication day. 2. Investor can not earn abnormal returns if they buy on the event day. However, the abnormal returns vanish quickly after event day. When hold it more time, will get fewer abnormal returns after event day. It displays some patterns of overreaction. 3. Firms from various industry segments respond differently to these recommendations.