盘中解盘资讯关注效果与放空活动的关联性Thestudyofanalyst.PDF

盤中解盤資訊、關注效果與放空活動的關聯性 The study of analyst recommendations on the cable television, attention shock and short selling 摘要 由於很多台灣投資人取得投資訊息通常來自平面媒體的新聞報導與電視財經節 目 ，尤其是散戶，在決定是否投資股票市場時都會參酌媒體頻道中分析師的建 議，因此，本文 針對非凡與東森電視台在台灣股市交易時段進行的盤中解盤節 目 進行探討。研究發現，分析師推薦的資訊並無顯著的 參考價值，投資人買進賣( 出)分析師正負( 面報導的個股並無法獲得正的) 超常報酬 ，但解盤節目會形成吸 引力衝擊，吸引 天真的投資人積極跟進而造成股價會暫時性上漲 (下跌) 。解盤 資訊受關注程度愈高、個股本身套利限制愈大時，正面報導造成的定價錯誤幅度 會愈大 。另外，有些放空者會利用投資人行為偏誤產生的定價錯誤來獲利，使得 分析師正面推薦內容會誘發額外的放空活動。最後我們發現關注效果對散戶買 進與賣出決策的影響並非對稱，比起解盤節目正面報導的資訊，負面報導產生 的吸引力衝擊對短期股價的影響較少， 而且不會影響個股的放空活動。 Abstract Because the news report and analyst recommendation on media are the main sources of investing information, especially for retail investors, this paper examines the related issues about TV shows on ETTV and USTV airing during the trading hours in Taiwan. Evidence shows that calendar-time portfolios which go long the positive recommendations and go short the negative recommendations find no significantly positive alpha. Stock recommendations on TV shows constitute attention shocks to a large audience of individual traders and lead to temporary price movement. The size of the mispricing caused by positive recommendations varied considerably in the cross-section. When attention towards the recommendations is high or limits to arbitrage are great, we find much greater mispricing. There is also a positive association between positive recommendation and shorting activity. Alternatively, we observe a clear asymmetry between buy and sell recommendation. The evidence supports the view that an attention shock in the form of a sell recommendation has little effect on returns and shorting. 關鍵詞 : 分析師推薦、關注效果 、套利限制、融券賣出 Keywords: analyst recommendation, attention shock, limit to arbit