A Study on the Effect of Foreign Securities Houses' Investment Rating Announcement on Stock Prices
| Autor: | Li, Sz-Han, 李思漢 |
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| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 This study investigated the effect of foreign securities houses’ investment rating announcement on stock prices in the period from June 1, 2010 to November 30, 2011. A hundred days prior to the event date were regarded as the estimate period. The method of event study was adopted to examine the return performances resulting from various rating announcement during the overall period, the bullish period, and the bearish period respectively. In addition, a significance test for five foreign securities houses’ stock returns was conducted to examine the abnormal returns among three event windows: (a) (0,5), (b) (0,10), and (c) (0,30). The findings of this study were summarized as follow: 1. Merrill Lynch was the only one who showed the significance in the event window of (0.10) during the bearish period. Moreover, in general, the information value during the bearish period was less than that during the bullish period. 2. Four foreign securities houses except Merrill Lynch showed a result of positive returns after announcing the rank 2 for poor future market during the bullish period. This indicated that stock prices could be rebounded after foreign securities houses announced the bad news. 3. The five foreign securities houses’ most significant abnormal returns fell in the event window of (0, 30) during the overall period. This showed that investors could receive more information value by referencing 30-day announcement. 4. Merrill Lynch showed the significant abnormal returns in 10 days and 30 days since the announcement of rank 2, rank 3 and rank 4 and had the most information value during the overall period. In addition, Credit Suisse had the most information value in the event windows of (0, 30) in rank 3 and rank 4 respectively. However, Citi had no abnormal returns in any ranks or windows. 5. The result of the abnormal returns gained from foreign securities houses’ investment rating announcement indicated that Taiwan stock market is not semi-strongly efficient. To conclude, this study demonstrated that some foreign securities houses’ investment rating announcement affects significantly the abnormal return of stocks. Therefore, if not considering taxes and the transaction cost, the suggestions given by certain foreign securities houses were valuable in terms of gaining returns. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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