유가증권 시장의 종목 규모별 애널리스트 목표주가 상향 리포트 효용성연구

This study, spanning from January 1, 2012, to January 31, 2023 (a total of 2,729 days), analyzed daily data of 939 individual stocks listed on the stock market. Stocks were categorized based on market capitalization into the top 100 (large-cap), ranks 100-300 (mid-cap), and the remaining stocks (small-cap). The analysis focused on the top 20 stocks from each group, based on the number of analyst target price upgrade report announcements during the study period. To assess the utility of these reports, a single-sample T-test was employed to determine if the average achievement rate of the top 20 stocks was zero at elapsed time points of 1 week (1W), 1 month (1M), and 3 months (3M). Additionally, an ANOVA was conducted to discern differences in the average achievement rates. The study also analyzed the time taken to reach the target price based on the increase ratio from the base price and examined if there were fluctuations in the next day's returns and net purchases depending on the number of target price upgrade reports announced on the same date.1) The findings revealed that, firstly, based on the report announcement date, the proximity to the upgraded target price was assessed after intervals of 1 week, 1 month, and 3 months. The concept of achievement rate was applied to gauge the closeness to the target price. Over time, there was a general trend of stocks approaching the target price after the announcement of the upgrade report. However, some stocks exhibited a significant trend in the negative direction for the average achievement rate or trended towards zero. This suggests that the target price upgrade report does not necessarily lead to a rise in the stock price of the respective stock. In fact, many stocks experienced a decline post the report's announcement, casting doubt on the utility of such reports. Secondly, stocks were grouped based on the increase ratio of the target price announced in the upgrade report compared to the current stock price. It was observed that for target price increases of less than 30%, large-cap stocks took the longest to reach the target, whereas for increases of more than 30%, small-cap stocks lagged the most.Thirdly, a regression analysis was conducted to ascertain the impact of the number of reports announced on the same date on the subsequent day's returns and net purchases by different investor categories, including individuals, institutions, and foreigners. Regardless of the stock category (large-cap, mid-cap, or small-cap), some stocks displayed a trend of increasing returns as the number of upgrade reports increased. However, the net purchase changes did not consistently rise or fall based on the number of report announcements and varied by stock. This indicates that the target price upgrade report does not significantly influence the purchase decisions of investors. Notably, for individual investors, there was an observed increase in the number of purchases immediately after the announcement of the upgrade report for large-cap stocks. This research holds significance in analyzing the utility of target price upgrade reports from securities firms for individual stocks, categorized by size. The study also sheds light on the achievement rate based on the target price increase ratio. However, the research has its limitations, as it primarily considers the influence of the target price upgrade report and not other factors like the U.S. benchmark interest rate and domestic and international interest rates and market conditions that might affect individual stock price changes. Further studies addressing these external variables are warranted.