| Summary: | 博士 === 國立臺灣大學 === 國際企業學研究所 === 103 === This study investigates the difference and relationship of the information being conveyed through analysts’ individual firm recommendation and industry recommendation provided to the market at the same date. It documents that an analyst’s individual firm recommendation is not uncorrelated with her recommendation regarding the industry to which the firm belongs. Namely, individual firm recommendations do not simply convey an analyst’s within-industry rankings of firms. Furthermore, with both individual firm and industry recommendations, we identify the differences in the triggering levels of intrinsic value to price ratio among industries. Even if firm recommendation help add to ranking the future profitability of companies in different industries, it do not imply that the investment value of (firm) buy recommendation means the same across industry. By means of logit model, we estimate differential thresholds for buy recommendation after controlling the effect of individual firm’s financial ratio and cross-industry information. Our results also show that (1) the investors with a short-horizon benefit more from individual firm recommendations and (2) the investors with a intermediate- to long-horizon benefit more from individual firm recommendations.
Analysts differ in whether or not to provide the industry recommendations. Moreover, for the analysts who provide industry recommendations, they appear to choose to report their industry ratings for certain companies they cover but not the others. Furthermore, certain brokerage firms have the job position for strategist (industry analysts) to produce the report of cross-industry difference, but the others’ analysts do not receive such internal services from industry experts in the same brokerage house. Finally, despite that the analysts appear to be able to satisfactorily rank individual firms and industries by their future abnormal returns, the beta of their recommended portfolio is not positively related to future capital market return. Namely, we find no evidence that supports analysts’ market timing ability.
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