베스트지점장의 추천종목 성과에 관한 실증연구

This research is conducted to analyze the efficiency of Korean Stock exchange by studying the usefulness on the performance measurement of the items recommended by the best branch managers of securities firms. For this purpose excess return from the stock trading which utilized the specific information was investigated from the perspective of information efficiency. The data regarding the recommended items in "the Financial News" was collected for 14 months from December 2002 to January 2004. Each recommendation was further classified according to the sizes of the firms, the phase of Bulls and Bears market, the intensity of the recommendation in order to empirically study the difference of the usefulness about the recommended items. The result of analysis is as follows.First, the Big sizes of the recommended stocks have greater influence than the midium and small business of the recommended stocks on stock prices. Second, the whole recommended stock items were tested by the phase of market. They showed of record the negative excess return rate in case of the phase of upturn. At the phase of downturn, the record showed the positive excess return rate. Third, the influence of multi-best managers recommendations is more greater the than that of single best manager recommendations.Finally, it was found that the hypothesis that the price earnings ration of stock items recommended by the best branch managers of securities firms could not exceed the market rate of return was not valid in this study. It belongs to semi-strong form efficient market.This result is consistent with results from the previous studies. This study provides good information for general investment in order to use recommendation by best branch managers.