本文藉由代理變數將市場區分為景氣與不景氣時期，分別以代表市場角度的VIX指數與散戶角度的投資人情緒衡量股市狀態。探討在好壞時期下，台灣證券商發佈的投資建議與盈餘預是否具有喜惡與偏差，並將市場與公司的特性結合，探討各券商報告對標的個股與市場的影響。在過往的研究發現，券商報告能變相傳遞更多公司資訊給投資者，進而產生異常報酬，且不同的時空背景下，券商報告的品質、數量與行為都會有所變動。本研究發現台灣股票市場會受到券商報告影響，產生異常報酬，不同時期下券商營收預測的精準度也所差異。此外，券商評級更動所釋出的好消息對於市場的影響勝過於壞消息，尤其是電子產業。

This study divides the market into periods of prosperity and recession using proxy variables, namely the VIX index representing the market perspective and investor sentiment representing retail investors' perspective, to measure the state of the stock market. It investigates whether Taiwanese securities firms’ investment recommendations and earnings forecasts exhibit preferences and biases in both good and bad periods. By combining market and company characteristics, it explores the impact of various brokerage reports on individual stocks and the market as a whole. Previous research has found that brokerage reports indirectly convey more company information to investors, generating abnormal returns. Moreover, brokerage reports' quality, quantity, and behavior vary across different time periods and contexts. This study reveals that the Taiwanese stock market is influenced by brokerage reports, resulting in abnormal returns, with variations in the accuracy of brokerage revenue forecasts during different periods. Furthermore, the positive impact of brokerage rating changes on the market outweighs the negative impact, especially in the electronics industry.

論文審定書.......................................................... i
中文摘要.......................................................... ii
英文摘要.......................................................... iii
第一章 緒論.......................................................... 1
第二章 文獻回顧.......................................................... 3
2.1 行為財務學的起源.......................................................... 3
2.2 分析師與市場環境的影響.......................................................... 3
2.3 分析師與投資者間的利益衝突.......................................................... 5
2.4 資訊與網路的演變對投資人的影響.......................................................... 5
第三章 資料與研究方法.......................................................... 7
3.1 資料與樣本選取.......................................................... 7
3.2 變數定義與衡量.......................................................... 8
第四章 實證研究.......................................................... 14
4.1 樣本與市場概況.......................................................... 14
4.2 不景氣時期的驗證 .......................................................... 19
4.3 券商盈收預測與不景氣產生的影響.......................................................... 19
4.4 券商評等升降與不景氣產生下的影響.......................................................... 22
4.5 券商評等與個股特性的交互作用.......................................................... 29
4.6券商評等與券商特性的交互作用.......................................................... 36
第五章 結論.......................................................... 40
參考文獻 41

池祥萱, & 蕭君怡. (2005). 券商投資評等報告的資訊內涵-本國券商與外資券商的比較.
賴紀誠, 林問一, & 劉亞秋. (2011). 台灣股市券商分析師盈餘預測之利益衝突. 臺大管理論叢, 22(1), 357-389.
謝銘璟 （2021）。投資人情緒對債券ETF的影響。﹝碩士論文。國立陽明交通大學﹞臺灣博碩士論文知識加值系統。
AFFLECK‐GRAVES, J. O. H. N., Davis, L. R., & Mendenhall, R. R. (1990). Forecasts of earnings per share: Possible sources of analyst superiority and bias. Contemporary Accounting Research, 6(2), 501-517.
Amiram, D., Landsman, W. R., Owens, E. L., & Stubben, S. R. (2018). How are analysts’ forecasts affected by high uncertainty?. Journal of Business Finance & Accounting, 45(3-4), 295-318.
Arand, D., & Kerl, A. G. (2012). Analyst research and investor reactions: Evidence from the 2008 financial crisis. Available at SSRN 2126605.
Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of financial Markets, 7(3), 271-299.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
Barber, B., Lehavy, R., McNichols, M., & Trueman, B. (2001). Can investors profit from the prophets? Security analyst recommendations and stock returns. The Journal of finance, 56(2), 531-563.
Bertrand, M., & Mullainathan, S. (2001). Are CEOs rewarded for luck? The ones without principals are. The Quarterly Journal of Economics, 116(3), 901-932.
Beyer, A., Cohen, D. A., Lys, T. Z., & Walther, B. R. (2010). The financial reporting environment: Review of the recent literature. Journal of accounting and economics, 50(2-3), 296-343.
Brown, N. C., Wei, K. D., & Wermers, R. (2014). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20.
Campbell, J. L., DeAngelis, M. D., & Moon, J. R. (2019). Skin in the game: Personal stock holdings and investors’ response to stock analysis on social media. Review of Accounting Studies, 24, 731-779.
Cespa, G. (2008). Information sales and insider trading with long‐lived information. The Journal of Finance, 63(2), 639-672.
Chan, W. S. (2003). Stock price reaction to news and no-news: drift and reversal after headlines. Journal of financial economics, 70(2), 223-260.
Chen, H., De, P., Hu, Y., & Hwang, B. H. (2014). Wisdom of crowds: The value of stock opinions transmitted through social media. The Review of Financial Studies, 27(5), 1367-1403.
Clement, M. B., & Tse, S. Y. (2003). Do investors respond to analysts' forecast revisions as if forecast accuracy is all that matters?. The Accounting Review, 78(1), 227-249.
Cowen, A., Groysberg, B., & Healy, P. (2006). Which types of analyst firms are more optimistic?. Journal of Accounting and Economics, 41(1-2), 119-146.
Dang, C., Li, Z. F., & Yang, C. (2018). Measuring firm size in empirical corporate finance. Journal of banking & finance, 86, 159-176.
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive feedback investment strategies and destabilizing rational speculation. the Journal of Finance, 45(2), 379-395.
Derrien, F., & Kecskés, A. (2013). The real effects of financial shocks: Evidence from exogenous changes in analyst coverage. The Journal of Finance, 68(4), 1407-1440.
Drake, M. S., Moon Jr, J. R., Twedt, B. J., & Warren, J. D. (2022). Social media analysts and sell-side analyst research. Review of Accounting Studies, 1-36.
Easterwood, J. C., & Nutt, S. R. (1999). Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism?. The Journal of Finance, 54(5), 1777-1797.
Emery, D. R., & Li, X. (2009). Are the Wall Street analyst rankings popularity contests?. Journal of Financial and Quantitative Analysis, 44(2), 411-437.
Engelberg, J., McLean, R. D., & Pontiff, J. (2020). Analysts and anomalies. Journal of Accounting and Economics, 69(1), 101249.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Fong, K., Hong, H., Kacperczyk, M., & Kubik, J. D. (2022). Do security analysts discipline credit rating agencies?. The Review of Corporate Finance Studies, 11(4), 815-848.
Frankel, R., Kothari, S. P., & Weber, J. (2006). Determinants of the informativeness of analyst research. Journal of Accounting and Economics, 41(1-2), 29-54.
Garcia, D., & Sangiorgi, F. (2011). Information sales and strategic trading. The Review of Financial Studies, 24(9), 3069-3104.
Gleason, C. A., & Lee, C. M. (2003). Analyst forecast revisions and market price discovery. The Accounting Review, 78(1), 193-225.
Glode, V. (2011). Why mutual funds “underperform”. Journal of Financial Economics, 99(3), 546-559.
Gomez, E., Heflin, F., Moon, J., & Warren, J. (2020). Can financial analysis on social media help level the playing field among investors? Evidence from Seeking Alpha. Georgia Tech Scheller College of Business Research Paper, 18-45
Green, T. C. (2006). The value of client access to analyst recommendations. Journal of Financial and Quantitative Analysis, 41(1), 1-24.
Gu, Z., Li, Z., Yang, Y. G., & Li, G. (2019). Friends in need are friends indeed: An analysis of social ties between financial analysts and mutual fund managers. The Accounting Review, 94(1), 153-181.
Han, B., Hirshleifer, D., & Walden, J. (2022). Social transmission bias and investor behavior. Journal of Financial and Quantitative Analysis, 57(1), 390-412.
Hegney, D. G., Rees, C. S., Eley, R., Osseiran-Moisson, R., & Francis, K. (2015). The contribution of individual psychological resilience in determining the professional quality of life of Australian nurses. Frontiers in psychology, 6, 1613.
Hirshleifer, D., Shi, Y., & Wu, W. (2022). Do Sell-Side Analysts Say “Buy” While Whispering “Sell”? (No. w30032). National Bureau of Economic Research.
Hong, H., & Kubik, J. D. (2003). Analyzing the analysts: Career concerns and biased earnings forecasts. The Journal of Finance, 58(1), 313-351.
Ivković, Z., & Jegadeesh, N. (2004). The timing and value of forecast and recommendation revisions. Journal of Financial Economics, 73(3), 433-463.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91.
Kacperczyk, M., & Seru, A. (2007). Fund manager use of public information: New evidence on managerial skills. The Journal of Finance, 62(2), 485-528.
Kacperczyk, M., Van Nieuwerburgh, S., & Veldkamp, L. (2016). A rational theory of mutual funds' attention allocation. Econometrica, 84(2), 571-626.
Kadan, O., Madureira, L., Wang, R., & Zach, T. (2012). Analysts' industry expertise. Journal of accounting and economics, 54(2-3), 95-120.
Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A reply to Jonathan Cohen.
Kecskés, A., Michaely, R., & Womack, K. L. (2017). Do earnings estimates add value to sell-side analysts’ investment recommendations?. Management science, 63(6), 1855-1871.
Kelly, B., & Ljungqvist, A. (2012). Testing asymmetric-information asset pricing models. The Review of Financial Studies, 25(5), 1366-1413.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
Kyle, A. S. (1989). Informed speculation with imperfect competition. The Review of Economic Studies, 56(3), 317-355.
La Porta, R., Lopez‐de‐Silanes, F., Shleifer, A., & Vishny, R. W. (1997). Legal determinants of external finance. The journal of finance, 52(3), 1131-1150.
Loh, R. K., & Stulz, R. M. (2011). When are analyst recommendation changes influential?. The review of financial studies, 24(2), 593-627
Malmendier, U., & Shanthikumar, D. (2014). Do security analysts speak in two tongues?. The Review of Financial Studies, 27(5), 1287-1322.
Mayew, W. J. (2008). Evidence of management discrimination among analysts during earnings conference calls. Journal of Accounting Research, 46(3), 627-659.
Mittal, A., & Goel, A. (2012). Stock prediction using twitter sentiment analysis. Standford University, CS229 (2011 http://cs229. stanford. edu/proj2011/GoelMittal-StockMarketPredictionUsingTwitterSentimentAnalysis. pdf), 15, 2352.
Pástor, Ľ., & Veronesi, P. (2009). Technological revolutions and stock prices. American Economic Review, 99(4), 1451-1483.
Schipper, K. (1991). Analysts' forecasts. Accounting horizons, 5(4), 105-121.
Schmalz, M. C., & Zhuk, S. (2019). Revealing downturns. The Review of Financial Studies, 32(1), 338-373.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Shen, C. H., & Chih, H. L. (2009). Conflicts of interest in the stock recommendations of investment banks and their determinants. Journal of Financial and Quantitative Analysis, 44(5), 1149-1171.
Shiller, R. J., Kon-Ya, F., & Tsutsui, Y. (1996). Why did the Nikkei crash? Expanding the scope of expectations data collection. The Review of Economics and Statistics, 156-164.
Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of finance, 62(3), 1139-1168.
Veronesi, P. (1999). Stock market overreactions to bad news in good times: a rational expectations equilibrium model. The Review of Financial Studies, 12(5), 975-1007.
Whaley, R. E. (2009). Understanding the VIX. The Journal of Portfolio Management, 35(3), 98-105.
Womack, K. L. (1996). Do brokerage analysts' recommendations have investment value?. The journal of finance, 51(1), 137-167.
Yu, Y., Duan, W., & Cao, Q. (2013). The impact of social and conventional media on firm equity value: A sentiment analysis approach. Decision support systems, 55(4), 919-926..