本研究利用Google搜尋量指數(Google Search Volume Index)，探討券商修正投資評等下之網路搜尋行為對台灣股票交易活動的影響，尤其從散戶投資人的觀點來驗證券商修正投資評等之資訊內涵是否存在投資價值。實證結果發現，在劵商調升投資評等下，若投資人之網路搜尋行為歸因於投資人關注，其對價格衝擊影響為短暫的，且亦增加股票之交易量；反之，若投資人之網路搜尋行為歸因於投資人資訊需求，其對價格衝擊與交易量之影響則為恆常性，顯示劵商修正投資評等之資訊內涵對投資人而言，確實具有投資之價值。因此，本研究的實證說明，在券商修正投資評等下，投資人會利用網路搜尋引擎蒐集和確認資訊之有效性，並反應在股票市場之交易活動上。

This paper investigates the relation between Google search volume index and a stock market’s trading activity around securities firms’ recommendation revisions. We focus on the investment value of recommendation changes from individual investors’ perspective in the Taiwan stock market. For upgrades, our results find that Internet search activity attributed to investor attention temporarily increases positive price pressure around the recommendation change announcement period and that trading volume reflects more of investor attention. In contrast, for Internet search activity attributed to investor information demand, the price effect of Internet search volume is purely informational and the price change is permanent. We also find that trading volume reflects more of the upcoming news around the revision announcement. Our results demonstrate that Internet users employ a search engine to collect and confirm valid firm-specific information about recommendation change news around the revision announcement when individual investors demand more information about a firm.

Table of Contents
1.INTRODUCTION 1
2.RELATED LITERATURE AND HYPOTHESIS DEVELOPMENT 9
2.1. Search behavior impact before securities firms’ revision announcement 9
2.2. Search behavior impact around securities firms’ revision announcement 13
3. DATA AND VARIABLE DEFINITIONS 17
3.1. Data 17
3.2. Variable definitions 20
3.2.1. Google search volumes 20
3.2.2. Calculating abnormal stock returns 23
3.2.3. Calculating abnormal stock volume of individual investors 24
3.2.4. Other control variables 25
4. REGRESSION SPECIFICATIONS 28
4.1. Association between web search behavior and stock trading activity for the pre-announcement period 28
4.2. Association between web search behavior and trading activity around the announcement period 30
5. EMPIRICAL RESULTS 34
5.1. Investor attention, information demand, and abnormal stock trading activity before revision announcement periods 34
5.2. Internet search activity and abnormal stock returns during revision announcement periods 36
5.3. Further robustness tests 39
5.3.1 Principal component analysis 39
5.3.2 Re-classify securities firms’ recommendations 41
6. CONCLUSIONS 44
References 45

References
Altinkilik, O., and S. Hansen, 2009, On the information role of stock recommendations. Journal of Accounting Economics, 48, 17-36.
Asquith, P., M. B. Mikhail, and A. S. Au, 2005, Information content of equity analyst reports. Journal of Financial Economics, 75, 245-282.
Bank, M., M. Larch, and G. Peter, 2011, Google search volume and its influence on liquidity and returns of German stocks. Finance Markets and Portfolio Management, 25, 239-264.
Barber, B. M., and T. Odean, 2000, Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance, 55, 773-806.
Barber, B. M., Y. Lee, Y. Liu, and T. Odean, 2007, Is the aggregate investor reluctant to realize losses? Evidence from Taiwan. European Financial Management, 13, 423-447.
Barber, B., R. Lehavy, and B. Trueman, 2007, Comparing the stock recommendation performance of investment banks and independent research firms. Journal of Financial Economics, 85, 490-517.
Ben-Rephael, A., Z. Da, and R. D. Israelsen, 2016, It depends on where you search: institutional investor attention and underreaction to news. Review of Financial Studies, forthcoming.
Da, Z. H. I., J. Engelberg, and P. Gao, 2011, In search of attention. Journal of Finance, 66, 1461-1499.
Da, Z., J. Engelberg, and P. Gao, 2010, Internet search and momentum. Working paper. University of Notre Dame.
Das, S., R. Guo, and H. Zhang, 2006, Analysts’ selective coverage and subsequent performance of newly public firms. Journal of Finance, 61, 1159-1185.
Diamond, D., 1985, Optimal release of information by firms. Journal of Finance, 40, 1071-1094.
Dimpfl, T. and S. Jank (2011). Can internet search queries help to predict stock market volatility? European Financial Management, 22, 171-192
Drake, M. S., D. T. Roulstone, and J. R. Thornock, 2012, Investor information demand: evidence from Google searches around earnings announcements. Journal of Accounting Research, 50, 1001-1040.
Elton, J. E., M. J. Gruber, and S. Grossman, 1986, Discrete expectational data and portfolio performance. Journal of Finance, 41, 699-713.
Francis, J., and L. Soffer, 1997, The relative informativeness of analysts’ stock recommendations and earnings forecast revisions. Journal of Accounting Research, 35, 193-211.
Gao, X. and T. C. Lin, 2015, Do individual investors treat trading as a fun and exciting gambling activity? Evidence from repeated natural experiments, Review of Financial Studies, 28, 2128-2166.
Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001, The high-volume return premium, Journal of Finance 56, 877-919.
Green, T. C., 2006, The value of client access to analyst recommendations. Journal of Financial and Quantitative Analysis, 41, 1-24.
Grinblatt, M., and M. Keloharju, 2000, The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics, 55, 43-67.
Grossman, S. J, and J. E Stiglitz, 1980, On the impossibility of informationally efficient markets. American Economic Review, 70, 393-408.
Gwilym, O. A., I. Hasan, Q. Wang and R. Xie, 2016, In search of concepts: the effects of speculative demand on stock returns. European Financial Management, 22, 427-449.
Hong, H., T. Lim, and J. C. Stein, 2000, Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance, 55, 265-295.
Hou, Kewei, Lin Peng, and Wei Xiong, 2009, A tale of two anomalies: The implications of investor attention for price and earnings momentum, Working paper, Ohio State University and Princeton University.
Huang, T. L., K. L. Lai, M. L. Chen, H. J. Kuo, 2014, Information demand, web search behavior, and speculative trading activity, Sun Yat-sen Management Review, 22, 157-183.
Huang, Tzu-Lun, 2015, Asymmetric effects of investor attention on stock returns in bull and bear markets, Sun Yat-sen Management Review, 23, 631-656.
Irvine, P. J., M. Lipson, and A. Puckett, 2007, Tipping. Review of Financial Studies, 20, 741-768.
Irvine, P., 2004, Analysts’ forecasts and brokerage-firm trading. The Accounting Review, 79, 125-149.
Ivkovic, Z., and N. Jegadeesh, 2004, The timing and value of forecast and recommendation revisions. Journal of Financial Economics, 73, 433–463.
Jackson, A., 2005, Trade generation, reputation and sell-side analysts. Journal of Finance, 60, 673-717.
Jegadeesh, N., and W. Kim, 2010, Do analysts herd? An analysis of recommendations and market reactions. Review of Financial Studies, 23, 901-937.
Jiang L. and L. Gao, 2013, Investor sentiment and IPO pricing during pre-market and aftermarket periods: Evidence from Hong Kong. Pacific-Basin Finance Journal, 23, 65-82.
Lin, H., and M. McNichols, 1998, Underwriting relationships, analysts’ earnings forecasts and investment recommendations. Journal of Accounting and Economics, 25, 101-127.
McNichols, M., and B. Trueman, 1994, Public disclosure, private information collection, and short-term investment. Journal of Accounting and Economics, 17, 69-94.
Merton, R., 1987, A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-510.
Michaely, R., and K. Womack, 1999, Conflict of interest and the credibility of underwriter analyst recommendations. Review of Financial Studies, 12, 653-686.
Mikhail, M. B., B. R. Walther, and R. H. Willis, 2004, Do security analysts exhibit persistent differences in stock picking ability? Journal of Financial Economics, 74, 67-91.
Seasholes, Mark S., and Guojun Wu, 2007, Predictable behavior, profits, and attention, Journal of Empirical Finance 14, 590-610.
Takeda, F. and T. Wakao, 2014, Google search intensity and its relationship with returns and trading volume of Japanese stocks. Pacific-Basin Finance Journal, 27, 1-18.
Tetlock, Paul C., 2007, Giving content to investor sentiment: The role of media in the stock market, Journal of Finance 62, 1139-1168.
Veldkamp, L., 2006, Media frenzies in markets for financial information. American Economic Review, 96, 577-601.
Vlastakis, N., and R. N. Markellos, 2012, Information demand and stock market volatility. Journal of Banking and Finance, 36, 1808-1821.
Vozlyublennaia, N., 2014, Investor attention, index performance, and return predictability. Journal of Banking and Finance, 41, 17-35.
Welagedara, V., S. S. Deb, and H. Singh, 2016, Investor attention, analyst recommendation revisions, and stock prices. Pacific-Basin Finance Journal, 26, Available online.
Womack, K. L., 1996, Do brokerage analysts’ recommendations have investment value? Journal of Finance, 51, 137-167.
Yezegei, A., 2015, Why do analysts revise their stock recommendations after earnings announcements? Journal of Accounting and Economics, 59, 163-181.
Yuan, Yu, 2008, Attention and trading, Working paper, University of Iowa.