Foreign analysis recommendations and their consequent trading strategy
碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 102 === In this paper, we use Event Study to explore cumulative abnormal returns of stocks which are recommended from foreign analysts. Next, we use Fama-French three-factor model as the base to discuss the stock performance from foreign analysts recommended and fur...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92202842008978791926 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 102 === In this paper, we use Event Study to explore cumulative abnormal returns of stocks which are recommended from foreign analysts. Next, we use Fama-French three-factor model as the base to discuss the stock performance from foreign analysts recommended and furthermore we add the individual foreign trading data to analyze and observe the consequent on the trading strategy. The empirical results show that negative cumulative abnormal returns will appear obviously after foreign analysts upgrade on some companies. JP Morgan has significant decrease margin in cumulative abnormal returns. We also find that it will drop in cumulative abnormal returns before foreign analysts have downgraded the recommendations, and decrease continuity after that. Our empirical results show that foreign analysts no matter in upgrade or downgrade recommendation reports, it won’t affect the consequent on trading strategy. The results suggest that investors should not totally rely on the stock recommendations of foreign analysts, otherwise they may damage their own interests.
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