| Summary: | 碩士 === 國立臺北科技大學 === 經營管理系碩士班 === 100 === Taiwan market has three institutional investors: foreign, dealer, investment trust''s. Those institutions not only have professional team to research, but also have more advantage than retail investors. Most investors will reference the rating reports which were released from the institutional investors. At the era of rapid dissemination, investors can get more and more kinds of information, and their investing sentiment will be reflected in the market return. There are large of messages in the market, such us foreign rating Reports、company financial reports、media coverage, which will influence the investors to make decision. This research is to find out whether these factors affect the abnormal return. The mainly purpose of this is to investigate the security returns of stock recommendations by foreign institutions.
In order to measure the media sentiment, this study applies the algorithms developed by Lee, Wu, and Chen (2011) to directly calculate the media sentiment score based on the media reports around the stock recommendations by the foreign institutions. Our data is collected from the Taiwan Economic Journal Database (TEJ). The data used in this study is observed from 2010 to 2011. The purpose of this study is to examine if all the message on the market will influence the investor to make their decisions, even more to effect market return. Through the algorithm we can examine media sentiment, and run regressions of the estimated information on firm finance, governance, investor sentiment, and media sentiment.
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