本系擬於 1/6 (五) 邀請銘傳大學的王子湄教授至本所進行專題演講，相關訊息如下：

時間: 1/6 (五) 10:30-12:00

地點: 管理學院一號館405教室

講者: 王子湄教授

講題: The study of analyst recommendations on the cable television, attention shock and short selling

Abstract:

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.