The Information Content of Media-Recommended Stocks:Empirical Study on Taiwan Stock Market

• Main Authors: Shu-Jia Jian, 簡淑加
• Other Authors: Jien-Wei Yang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/01340254249326112534

碩士 === 雲林科技大學 === 財務金融系碩士班 === 96 === In Taiwan stock market, the individuals are the major structures of the market. Their trade way is a short-term manipulation. When they are limited to access a professional knowledge or information, the information recommended by media will become an important source of information for them. Among a variety of recommended media, the information recommended by newspaper is the easiest to access. It is the information source which most directly effects the investors. Therefore, this research is made based on the special column of “Seeded Potential Stocks this week” published weekly on Economic Daily News. This research attempts to probe how the information recommended by newspaper effects the price of the stock, and if it has an information value. The research period was from January 1, 2005 to December 31, 2007, total 156 weeks. Different information recommended was selected and divided into groups. Then, the research was proceeded by means of “event study”. The “market mode” was employed to estimate the abnormal returns. After that, t-test was used to gather statistics. We find that most of the stocks recommended in the buy-side by securities or investment consulting firms had a better performance before they’re recommended. Therefore, these stocks do not have information contents. In addition, stocks react on the event day, which is consistent with semi-strong efficient hypothesis.