電視財經節目盤中解盤資訊、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

很多台灣投資人的訊息管道來自平面媒體的新聞報導與電視財經節目，尤其是散戶，在投資股市時大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參考價值，買進正面報導的個股無法獲得正的超常報酬，對於推薦賣出的報導投資人可反向操作，買進這些組合可獲得較佳績效。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，有些放空者會鎖定因投資人行為偏誤或市場摩擦產生定價錯誤的個股來交易，使得正面推薦內容會誘發額外的放空活動。但關注效果對散戶買賣決策的影響並非對稱，負面報導產生的吸引力衝擊對短期股價的影響較少且不影響放空活動。

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.