Can Investors Profit from the Stock Recommendations on the Journalism? Testing Conditional Heteroscedasticity in the Market Model

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/58393

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題名:	Can Investors Profit from the Stock Recommendations on the Journalism? Testing Conditional Heteroscedasticity in the Market Model
作者:	Lin, Chien-Chih;Lin, Feng-Teng;Wang, Yi-Hsien
貢獻者:	淡江大學財務金融學系
關鍵詞:	GARCH;Recommendatory Stock;Abnormal Return;Event Study
日期:	2009-11
上傳時間:	2011-10-01 00:09:04 (UTC+8)
出版者:	Seychelles: EuroJournals Publishing Inc.
摘要:	This study employs an event study using the market model with conditional heteroscedasticity to investigate the effects of media recommendations on the performance of electronics companies listed on the Taiwan Stock Market. The empirical results confirm that investors obtain significantly abnormal returns following different types of information around the announcement date when the news is released. These analytical results provide evidence that the stock market information is frequently leaked in advance of the announcement date and the investors generally adopt a conservative strategy following the release of information regarding a recommended stock.
關聯:	International Research Journal of Finance and Economics 33, pp.111-119
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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