Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan
碩士 === 國立交通大學 === 財務金融研究所 === 101 === This paper estimates the abnormal returns, both gross and net of trading costs, earned on several investment strategies designed to take advantage of analysts’ stock recommendations. We document that a portfolio of the stocks with the most (least) favorable cons...
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ndltd-TW-101NCTU53040012016-03-28T04:20:38Z http://ndltd.ncl.edu.tw/handle/46506105301205054145 Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan 分析師推薦投資績效之實證研究—以台灣上市公司為例 夏滋鴻 碩士 國立交通大學 財務金融研究所 101 This paper estimates the abnormal returns, both gross and net of trading costs, earned on several investment strategies designed to take advantage of analysts’ stock recommendations. We document that a portfolio of the stocks with the most (least) favorable consensus analyst recommendations provides an average annual abnormal gross return of 11.23 (-7.54) percent, after controlling for market risk, size, book-to-market, and price momentum effects. Purchasing stocks that are most highly recommended by security analysts and selling short those that are least favorably recommended yields an abnormal gross return of 1.513 percent per month. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes decreases these returns. After accounting for transactions costs, these active trading strategies also can generate abnormal returns. Results suggest that the recommendations of foreign analysts provide valuable investment information on the Taiwan stock markets. 謝文良 2012 學位論文 ; thesis 41 zh-TW |
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碩士 === 國立交通大學 === 財務金融研究所 === 101 === This paper estimates the abnormal returns, both gross and net of trading costs, earned on several investment strategies designed to take advantage of analysts’ stock recommendations. We document that a portfolio of the stocks with the most (least) favorable consensus analyst recommendations provides an average annual abnormal gross return of 11.23 (-7.54) percent, after controlling for market risk, size, book-to-market, and price momentum effects. Purchasing stocks that are most highly recommended by security analysts and selling short those that are least favorably recommended yields an abnormal gross return of 1.513 percent per month. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes decreases these returns. After accounting for transactions costs, these active trading strategies also can generate abnormal returns. Results suggest that the recommendations of foreign analysts provide valuable investment information on the Taiwan stock markets.
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author2 |
謝文良 |
author_facet |
謝文良 夏滋鴻 |
author |
夏滋鴻 |
spellingShingle |
夏滋鴻 Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan |
author_sort |
夏滋鴻 |
title |
Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan |
title_short |
Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan |
title_full |
Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan |
title_fullStr |
Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan |
title_full_unstemmed |
Empirical Research on the Performance of Analysts’ Recommendations— The Case of Listed Companies in Taiwan |
title_sort |
empirical research on the performance of analysts’ recommendations— the case of listed companies in taiwan |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/46506105301205054145 |
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