Conflicts of interest in stock recommendations of security firms and analysis of the determinates-an application of quantile regression
| Autor: | Ching-Chi Lin, 林靖娸 |
|---|---|
| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 With the rapid development of information technology, a dazzling array of investment-related information provided. In the recent years, people put more and more attention on financial planning. And the retail investors proportion is also the biggest in each category. So the investment-related information of newspaper media or website is concerned. But can these information make the most profit to the investors? This paper analyzes that whether the recommendation of broker have information content and calculate the conflicts of interest index. Last, to analysis the effect of influence factors on different degree of conflict of interest by quantile regression method. To test information content by event study method and the results is the information has early leaked before the announcement day. And it exist abnormal return. The recommendation has information content. But investors should sell in a short time after the announcement day, otherwise there is diminishing return. Another result shows the performance that the stocks had been recommended by more than one brokerage is better than by single brokerage before the announcement day. But after the announcement day, the recommendations by single brokerage had better performance than the other one. Constructing the conflicts of interest index and using quantile regression analyze it. The results show that the volatility, trading volume and value are significant related no matter before or after announcement day or any degree of conflict of interest. And other determinants are significant related with the middle and serious conflict of interest. So we can find that the stock are small firm, high systematic risk, low volatility, high insider holding, high trading volume and value, low growth opportunities exist conflict of interest. Investor should observe carefully and then decide whether to buy. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|