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Author: 李宜庭
Yi-Ting Li
Thesis Title: COVID-19衝擊下國內外分析師對台股投資評等和目標價預測之研究
Stock Recommendation and Target Price Forecast for Taiwan Stocks by Domestic and Foreign Analysts under COVID-19
Advisor: 謝劍平
Joseph C.P. Shieh
Committee: 劉代洋
Day-Yang Liu
陳俊男
Chun-Nan Chen
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2021
Graduation Academic Year: 109
Language: 中文
Pages: 37
Keywords (in Chinese): 投資評等目標價證券分析師
Keywords (in other languages): Stock Recommendation, Target Price, Security Analysts
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  • 本研究以國內外分析師對台灣50指數和中型100指數成分股的標的公司研究報告共10,410筆樣本,研究期間自2019年1月至2021年1月,並以2020年1月14日為基準,分為COVID-19爆發前後兩段研究子期間,分別探討國內外分析師在COVID-19衝擊下,是否影響投資評等和目標價預測達成率及準確度,並將預測期間分為一個月和三個月,分析兩段研究子期間的目標價達成時間長短是否改變,最後針對外資研究報告樣本進行迴歸分析探討影響目標價準確度的因素。
    本研究結果可列為以下四點:一、COVID-19影響下國內外分析師發布研究報告目標價的達成率降低,且不論COVID-19前後,外資分析師預測目標價達成率較本國券商高;二、COVID-19影響下目標價達成時間縮短往一個月集中;三、COVID-19影響下國內外券商對於正向評等預測過度樂觀,對於負向評等預測過度保守,其中,外資券商正向評等的目標價準確度較高;本國券商負向評等的目標價準確度較高;四、不論在COVID-19前後,外資持股比率愈高的股票,目標價預測誤差愈小。


    This research uses 10,410 analyst reports on Taiwan Top 50 ETF and Taiwan Mid-Cap 100 ETF from domestic and foreign analysts. The data period is from January 2019 to January 2021, and is divided into sub-periods based on January 14, 2020, during COVID-19 outbreak. The research will discuss whether COVID-19 will affect the achievement rate and accuracy of investment rating and target price predicted by domestic and foreign analysts. Moreover, to test the length of time to reach the target price in the sub-periods, the research use two forecasting periods: one month and three months. Last, running the regression analysis on foreign analyst reports to explore the factors that affect the accuracy of the target price.
    The results of this research can be listed as follows: First, under the influence of COVID-19, the achievement rate of target prices issued by domestic and foreign analysts has decreased, and regardless of COVID-19, the achievement rate of target price predicted by foreign analysts is higher than that by domestic analysts; Second, under the influence of COVID-19, the length of time to reach the target price has been shortened and concentrated in one month; Third, under the influence of COVID-19, domestic and foreign analysts are overly optimistic about the target prices of positive recommendations, and they are also overly conservative about the target prices of negative recommendations. Besides, foreign institution analysts forecast the target prices of positive recommendations more accurate; domestic analysts forecast the target prices of the negative recommendations more accurate; Fourth, The higher the foreign shareholdings ratio, the smaller the target price error.

    中文摘要 I Abstract II 誌謝 III 表目錄 V 第壹章 緒論 1 第一節 研究動機與背景 1 第二節 研究目的 2 第三節 研究架構 4 第貳章 文獻探討 5 第一節 分析師發布之投資評等資訊內涵 5 第二節 分析師發布之投資評等改變資訊內涵 8 第三節 市場景氣對分析師給予之投資建議影響 10 第參章 研究方法 11 第一節 資料處理及來源 11 第二節 研究方法 13 第三節 研究模型設計 15 第四節 研究假說 16 第肆章 研究結果與分析 18 第一節 敘述統計 18 第二節 目標價達成率 19 第三節 目標價預測誤差 23 第伍章 結論與建議 27 第一節 研究結論 27 第二節 研究建議 28 參考文獻 29

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