This paper examines the herding behaviors of recommending stocks in Taiwan Stock Exchange listed enterprises by analysts. Our data include 49,438 observations from analysts’ recommendations during the period from 2007 to 2015. The methodology that we employ in this study mainly revises from the model proposed by Christie and Huang (1995), Chang et al. (2000) and Jegadeesh and Kim (2009). The empirical results find that there are herding behaviors among analysts and also that behavior related with investor sentiment.
目錄
頁次
致謝............................................................................................................................ Ⅰ
摘要..............................................................................................................................Ⅱ
目錄............................................................................................................................ Ⅳ
表目錄........................................................................................................................ Ⅴ
圖目錄........................................................................................................................ Ⅵ
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構 4
第貳章 文獻探討 6
第一節 投資人情緒 6
第二節 分析師的重要性與價值 8
第三節 投資人情緒對分析師之影響 10
第四節 從眾行為的理論與成因 12
第五節 分析師的從眾行為 20
第參章 研究方法 22
第一節 資料來源與樣本篩選 22
第二節 研究模型 24
第肆章 實證結果與分析 32
第一節 股票推薦樣本統計分析 32
第二節 股票投資建議評等變動之長短期異常報酬反應 36
第三節 從眾行為與投資人情緒指標 39
第四節 不同屬性公司對分析師從眾行為差異 46
第五節 結果分析 48
第伍章 結論與建議 51
第一節 結論 51
第二節 建議 53
參考文獻 54

表目錄
表3-1-1 成長股與價值股的敘述性統計 30
表3-1-2 投資人情緒指標的敘述性統計 31
表4-1-1 樣本敘述統計資料 32
表4-1-2 分析師對各家公司發布報告次數(前20家) 33
表4-1-3 分析師對各家公司發布報告次數(倒數20家) 34
表4-1-4 股票投資建議評等變動狀況 35
表4-2-1 投資建議修正前後的累積異常報酬 38
表4-3-1 CSSD、CSAD與投資人情緒變數之關係 39
表4-3-2 Granger因果關係結果-CSSD、CSAD、CCI、VIX 41
表4-3-3 分析師的從眾行為 42
表4-3-4 J K模型與投資人情緒變數之關係 44
表4-3-5 Granger因果關係結果-JK、CCI、VIX 45
表4-4-1股票投資建議與公司股票特性 46
表4-4-2 在公司特性為成長股下的CSSD、CSAD與投資人情緒變數之關係 47


圖目錄
圖1-1 研究架構表 5
圖4-2-1 升評的平均異常報酬及平均累積異常報酬之分布圖 37
圖4-2-2 評等維持不變的平均異常報酬及平均累積異常報酬之分布圖 37
圖4-2-3 降評的平均異常報酬及平均累積異常報酬之分布圖 37


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