本研究欲探討分析師推薦對管理當局所釋出資訊量之關聯性，當分析師越強力推薦公司時，公司的管理當局將願意提供較多的資訊給分析師做為預測的依據，則分析師對公司盈餘的預測也越準確。研究結果發現給予公司較佳推薦的分析師，預測準確性確實比給予公司較差推薦的分析師高。 之後再利用台灣證券暨期貨市場發展基金會設立的資訊揭露評鑑系統，探討資訊較為透明的公司，因為管理當局自願提供較多的資訊，即便分析師強力推薦，可能也無法得到額外的資訊，所以分析師推薦的效果應比資訊揭露較不透明的受評公司差。實證結果發現資訊揭露較透明的受評公司，分析師的推薦效果確實比資訊訊揭露較不透明的受評公司差。 / This thesis examines directly whether that managers provide more (less) information to analysts with more (less) favorable stock recommendations, based on the Barron et al. model (1998). Prior study documents the relative forecast accuracy of analysts before and after a recommendation issuance under the assumption that increases (decreases) in management-provided information will increase (decrease) analysts’ relative forecast accuracy. In contrast, this paper directly measure amount of information based on Barron et al. model (1998), and examine whether amount of information varies between pre- and post- a recommendation. Contrary to our prediction, the results show no significant difference in amount of information after and before recommendation issuance. However, we do find that analysts issuing more favorable recommendations experience a greater increase in their relative forecast accuracy compared with analysts with less favorable recommendations. In addition, we also find that the association is smaller for firms with higher information transparency than those with lower information transparency. The information transparency is measure by whether firms are listed in Taiwan Securities & Futures Information Center’s Information Disclosure and Transparence Ranking System (therefore TSFIC).

過去國內文獻大致指出投資人難以依靠券商的投資建議獲利，此與大部份國外文獻的發現相異。本文參考Barber et al. (2001)，建構一個適用於台灣股票市場的研究方法，再以四因子模型做實證。本文以2007年3月至2015年12月，共48987筆卷商個股報告為研究樣本，來探討券商報告的投資建議能否獲利。本文研究結果發現，台灣的券商報告擁有額外的資訊價值，此與Barber et al. (2001)及其他國外文獻大致相同。 本研究依券商的推薦強度建構四個投資組合。發現推薦程度高的投資組合平均月報酬為正，且高於大盤；而推薦程度低的投資組合平均月報酬顯著低於大盤，且擁有顯著的負超額報酬。本文進一步建構買進賣出策略，即買進推薦股票高的投資組合並賣出推薦程度低的投資組合，發現此策略報酬顯著高於零及大盤，且存在顯著的正超額報酬。另外在台股多頭期間，本研究的實證結果更加顯著，推薦程度高的投資組合平均月報酬增加至顯著高於大盤，且超額報酬顯著為正；推薦程度低的投資組合之大盤調整報酬及負超額報酬的顯著程度提高；而買進賣出策略獲得超額報酬的顯著程度也大幅提高。 / Past Taiwanese literatures generally indicated that it is difficult to obtain profit from Taiwanese stock recommendations of brokerage, which is different from most of foreign literatures. Referring to Barber et al. (2001), we improve and build a research methodology applied to Taiwanese stock market, conducting empirical analysis with four-factor model. From March 2007 to December 2015, we use total 48987 brokers’ stock recommendations as sample to investigate whether inventors could earn profit from the broker recommendations. Our empirical results show that Taiwanese broker reports hold additional information, which is consistent with Barber et al. (2001) and most of foreign literatures. According to the strength of recommendation, we construct four portfolios and find that the return of the most favorable portfolio is higher than market, while the return of the least favorable portfolio is significantly smaller than market and holds significantly negative access return. We further construct a long-short strategy, which buys the most favorable portfolios and shorts the least favorable portfolios. The return of this strategy is significantly higher than market, and excess return is significantly positive. During Taiwanese bull market, the significance of our empirical result improves. The significance level of market-adjusted return and access return for both the most favorable and least favorable portfolio is higher. In addition, the significance level of excess return for long-short strategy also greatly improves.

傳統探討分析師推薦資訊價值的研究多採用累積超額報酬的方式，近年來研究顯示個別投資人的績效顯著低於機構投資人，因此是否分析師推薦能夠幫助提升個別投資人的福利。本論文的第一個貢獻在檢定是否個別投資人能夠獲取分析師推薦的資訊價值，為區分推薦資訊分別對於個別與機構投資人的價值為何，本研究採用的每種投資人實際的交易利潤作為衡量指標。 研究結果顯示所有投資人都可以透過買入推薦獲取顯著的正報酬，但在賣出推薦上，僅外資與共同基金仍能維持獲取正的報酬。同時發現在推 薦事件期間，專業機構投資人的利潤顯著高於一般散戶的獲利。 進一步，本論文的第二的主題在探討此推薦的資訊價值對於不同投資人的差異，是否肇因於推薦券商所提供的私有資訊，因此進一步將各類投資人分成推薦券商的客戶與非客戶。結果顯示國內機構投資人的利潤在客戶的身上顯著高於非客戶的獲利，顯示推薦券商在對外公佈推薦資訊前的確提供私有資訊給其國內機構客戶，但此現象在賣出推薦並不存在。 第三，本論文進一步分析是否拿到推薦券商所提供私有資訊的客戶也是推薦券商的經紀業務收益的主要貢獻者。在比較推薦券商與非推薦券商在被推薦股票上的相對交易量(金額)中，發現推薦券商的確因為買入推薦股票而增加經紀業務量，但很驚訝的發現貢獻最多交易量的是個別投資人，而非拿到最多好處的機構投資人。 最後，本研究透過迴歸分析探討不同投資人的交易利潤與推薦券商所獲得的經紀業務量的關係。在控制推薦類型、推薦評等與被推薦股票之股票特性後，發現投資人的交易利潤與推薦券商的經紀業務收益成正相關，再次顯示券商推薦與其各項業務收益間的關係。 / Traditionally, information value of analysts’ recommendations has been well-recognized by cumulative abnormal returns. Recent studies show that individuals are underperformed, and therefore, it is a critical issue on if analysts’ recommendations are helpful to individuals’ welfares. The first contribution of this dissertation to the literature is to examine whether individual investors are capable of capturing the information value. To classify the information value of recommendations for individuals and institutions, respectively, I, thus, use a direct measure to calculate the actual trading profits of types of traders. To our best knowledge, this is the first paper that demonstrates the information value for types of investors. Our results indicate that, all investors get positive and significant profits in brokerages’ buy recommendations, no matter what types of investors are measured. As to sell recommendations, only foreign investors and mutual funds have positive returns. We also find that professional institutions earn more profits than retail investors during the recommendation event periods. Further, the second objective of this dissertation is to test whether the information values are caused by private information from brokerages’ houses, we separate the profits of types of investors into customers and non-customers based. The findings are that only domestic institutional customers of recommending brokerages are more beneficial than those of non-recommending brokerages in buy recommendations, which implies that brokerage houses may reveal private information to their own institutional customers before buy recommendations make public. This does not hold for sell recommendations. Third, we are interested in analyzing whether the private information that recommending brokerages provide to their own customers may, indeed, contribute to brokerages’ commission revenues. By comparing the trading volume of recommending brokerages and non-recommending brokerage for the covered stocks, we find that the volumes of covered stocks issued in the recommending brokerages are increased for buy recommendations. Particularly, we find that the main contribution of trading volume is from individuals. Furthermore, we run regressions to study the relationship between trading profits of types of investors and trading volume of recommending brokerages. After controlling recommendation types, consensus rating of recommendations, and stock characteristics, our results indicate that trading profits of all types of investors are positively related to commission revenues of brokerages. This may justify the importance of brokerage recommendations on their business relationships.