Announcement Effect of Broker’s Revisions in Target Prices and Idiosyncratic Risk Effect on Cumulative Abnormal Return

• Main Authors: Lee, Rhoda, 李以柔
• Other Authors: 吳啟銘
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/10271167831779935387

碩士 === 國立政治大學 === 財務管理研究所 === 102 === Analysts’ reports are main references for investors. How to use these reports to make investment decisions become a main issue for investors. This study investigates announcement effects of broker’s revisions in target price and idiosyncratic risk effect on cumulative abnormal returns. The research is based on firms listed in Taiwan between 2009 and 2013, and then calculated announcement effects by event study method. Second, by using multiple regression analysis, we investigate the effects of upgrade, downgrade, and reiteration recommendations, target price revisions, and idiosyncratic risk as main independent variables on cumulative abnormal returns as dependent variable. First, the results indicate that the overall announcement of target price revisions is significantly different from zero. Target price going up has positive announcement effect, while target price going down has negative announcement effect. Second,target price revisions contain additional information contents, comparing to upgrade and downgrade recommendations, and have significantly positive effect on cumulative abnormal returns. Third, idiosyncratic risk has significantly positive effect on cumulative abnormal returns. We advise investors to consider idiosyncratic risk on individual stock when making investment decisions.