臺灣博碩士論文加值系統

本研究探討台灣券商分析師發布目標價修正，是否隱含資訊內涵，以及所屬券商自營部門是否利用目標價修正帶來的市場反應，進行利益衝突之操作。研究結果顯示，目標價向上修正有正向異常報酬，而向下修正有負向異常報酬，目標價持平修正則無明顯異常報酬之現象，因此目標價修正隱含資訊內涵。再者，區分目標價向上修正及向下修正，分別探討自營部門對兩者發布之買賣操作行為。本研究發現，目標價為向上修正時，發布日前1週有顯著買超，及發布日後1週有顯著的反向操作行為；而目標價為向下修正時，自營部門於發布前第4週、第5週、第6週及第8週有明顯賣出個股傾向，因此可看出自營商交易行為有受到分析師發布目標價修正資訊的影響，發生利益衝突的現象。

This study explores the target price revisions announcement issued by investment banks to examine possible the information contents and dealers’ reaction. The result indicates a significant market reaction to target price revisions. Upward (downward) target price revision of the target price is associated with positive (negative) abnormal return, which implies that target price revision has information content. Furthermore, to investigate the trading behavior of proprietary trading department when upward (downward) target price revision issued. There is a significant behavior of buying the stock one week before and selling it after upward revision issuance. Selling the stock in the 4th, 5th, 6th and 8th weeks before downward revision issuance. Therefore, the empirical results imply that the trading behavior of proprietary trading department is affected by the information of target price revision issued by the analyst and phenomena of conflicts of interest do exist.

摘　要 i
ABSTRACT ii
誌　謝 iii
表　目　錄 v
圖　目　錄 vi
壹、 緒論 1
一、 研究背景與動機 1
二、 研究目的 3
三、 研究流程及架構 4
貳、 文獻探討 5
一、 分析師目標價之資訊內涵 5
二、 分析師與所屬券商自營部門間引發之利益衝突 6
參、 研究假說與方法 8
一、 研究假說 8
二、 研究方法 8
（一） 資料來源 8
（二） 變數定義 10
肆、 實證結果 13
一、 敘述性統計量 13
二、 目標價之資訊內涵 22
三、 自營部門買賣操作現象 30
伍、 結論 33
參考文獻 34

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