財經專業人士從眾推薦之研究

A RESEARCH ON STOCKS RECOMMENDED BY FINANCIAL EXPERTS

本研究依據萬寶、先探與理財三本市場佔有率較高的財經週刊，收集每期財經專業人士推薦之個股作為研究標的，並根據個股之推薦次數進行分類，形成三個投資組合：非從眾推薦組、低度從眾推薦組與高度從眾推薦組進行後續分析；研究期間自2010年12月31日至2012年11月20日，共計95週。實證結果發現：(1)在多頭期間非從眾推薦組與低度從眾推薦組的股票個數較空頭期間多，但高度從眾推薦的股票個數則是空頭期間較多頭期間多，財經專業人士從眾推薦個股的行為在空頭期間較多頭期間顯著。(2)高度從眾推薦組在多頭期間具有攻擊性，而空頭期間則相對具有防禦性，調整風險後之超額報酬為正。(3)考慮交易成本後之套利策略，僅高度從眾推薦組的推薦當週與持有到第1週具有正報酬。(4)最後，財經專業人士從眾推薦強度越強的股票可歸納成兩類，一為資訊透明度高與未來投資機會佳的大型股、成長股，另一為市場關注程度高的高週轉率、高券資比與高法人持股比率之股票。此結果支持凱因斯的選美比賽理論，在金融投資時若想要獲利，必須選擇大家普遍認為能夠賺錢的個股進行投資。

This study collects stock recommendations from three popular weekly magazines, namely, Marbo, Moneyweekly and Wealthinvest, to classify them into three herding recommendations portfolios. Empirical evidences show that the herding behaviors of financial experts on stock recommendations are more obvious in bear market than in bull market. Trading the higher herding portfolio results in significantly positive risk-adjusted returns no matter in bear or bull market. Taking advantages of this observation, we construct zero-cost portfolios by buying the stocks in the higher herding portfolio and short-selling the Taiwan Top 50 or Mid-Cap 100 ETFs. It is demonstrated that such an investment strategy produces significantly positive premium in the issuing week and the following week. Finally, we find that stocks with larger growth and investment opportunities, stocks with higher focus from the consensus are more likely to be herd recommendations. This result support Keynes' beauty contest argument.