分析師跟隨人數與技術分析獲利能力之實證研究

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Title:	分析師跟隨人數與技術分析獲利能力之實證研究
Other Titles:	Empirical Study of Analyst Coverage and the Profitability of Technical Analysis
Authors:	張傑雄 Chang,Chieh-Hsiung
Contributors:	張永和 Chang,Yung-Ho 財務金融學系
Keywords:	移動平均;分析師跟隨人數;買進持有策略 Buy-and-hold strategy;Moving average;Analyst coverage
Date:	2013
Issue Date:	2014-02-19T06:42:10Z (UTC)
Abstract:	摘要不同於一般技術分析獲利能力研究多以指數為主要標的樣本，本研究以2009年至2012年台灣上市之個別公司為主要標的，並依據其前一年度上市公司之分析師跟隨人數高低，將全部或各年度總樣本公司進行分組。利用Brock et al.(1992)的移動平均(MA)法則，實證其獲利能力是否因分析師跟隨人數高低而有不同之影響結果。本文研究無考慮交易成本，發現全體樣本(2009至2012年)、2010與2011年MA技術交易策略之獲利能力具有效性及可以打敗買進持有策略，而2009年與2012年可能受到前一年重大經濟事件 (2008年金融海嘯與2011年歐債危機)影響，MA技術交易策略之獲利能力無法打敗買進持有策略。由各年度發現技術分析操作無法持續地擊敗市場，以過去有效的技術分析來使用於股票市場投資，無法保證未來也能同樣地擊敗市場(關寅麟 (1993)、Thomas S. Coe and Kittipong Laosethakul (2010) and A. E. Milionisand E. Papanagiotou (2011))。主要重要發現，全體樣本MA技術交易策略與買進持有策略平均差異檢定，發現無任何分析師跟隨的上市公司皆大於有分析師跟隨的上市公司之平均差異報酬，表示有分析師跟隨的上市公司其報酬相對較差。進一步觀察分析師跟隨人數較少的上市公司，皆優於分析師跟隨人數較多的上市公司之平均差異報酬，表示分析師跟隨人數越高的上市公司其報酬愈差，即分析師跟隨人數愈高的上市公司，其此資訊已充分反映在股價上，相對無法獲取較好的報酬(Chordia and Swaminathan (2000))。 AbstractUnlike the technical analysis studies for profitability that use an index as a primary indicator, this study incorporates a sample of Taiwanese companies that were listed on the Taiwan market from 2009 to 2012 as the primary indicator, then categorizes these companies based on the disparity of analysis following from listed companies of the preceding year. Moving average (MA) rules of Brock et al.(1992) is used to verify whether the results of profitability are affected by the numbers of analyst coverage. The transaction cost is not taken into consideration in this study. It is discovered that the total samples (from 2009 to 2012) and the profitability of MA technical transaction strategies in 2010 and 2011 all possessed a great degree of effectiveness and were able to beat the buy and hold strategies. On the same token, the profitability of MA technical transaction strategies in 2009 and 2012 were not able to beat the buy and hold strategies due to economic uncertainties that seriously affected the markets such as the (financial tsunami in 2008 and European debt crisis in 2011). It is also discovered that technical analysis is not an effective tool to outsmart the market; therefore, using historical technical analysis to determine return on stock investments, isn’t a viable method to guarantee future market success ( Guan, Yin-Lin, 1993、Thomas S. Coe and Kittipong Laosethakul, 2010 and A. E. Milionisand E. Papanagiotou, 2011).One major discovery is that of the difference in average of yields from listed companies without analyst coverage is greater than those with analyst coverage, which is conclusive when assessing the average disparity between MA technical transaction strategy and the buy-and-hold strategy from the total samples, thus indicating that listed companies with analyst coverage tend to yield relatively less returns. With a further investigation of listed companies that have less analyst coverage, their average yield is greater than those listed companies with more analyst coverage. Therefore, the listed companies with greater analyst coverage will have less reward, which also means that the listed companies with greater analyst coverage that fully show their stock value information show relatively lower yields (Chordia and Swaminathan,2000).
Appears in Collections:	[財務金融學系所] 碩士論文

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