The Most Comprehensive Taiwan Market Data Analysis for Investors

Quantitative Factor Empirical Study in the Taiwan Stock Market — Broker Consensus Data: Target Price and Investment Recommendation Factors (Part 2)

The 'broker consensus data' examined in this study aggregates target price forecasts and investment recommendation (rating) information from various securities brokerages across the market. By consolidating the collective wisdom of analysts, it aims to eliminate the extreme forecast biases of individual brokers and provide objective forward-looking market expectations. Findings from Part 1 indicated that single factors—such as rating intensity (rating_rank) and breadth metrics (noa2)—are prone to rating clustering and distribution skewness; target price dispersion (disp1) acts as a short-term momentum catalyst; and revision factors suffer from sparse signals that limit their standalone stock selection utility. To overcome the vulnerabilities of single indicators to optimistic bias and idiosyncratic noise, this research implemented factor engineering to construct multi-factor cross-combinations.

Quantitative Factor Empirical Study in the Taiwan Stock Market– Broker Consensus Data: Target Price and Investment Recommendation Factors (Part 1)

Under the theoretical framework of the Efficient Market Hypothesis (EMH), stock prices should fully reflect all available information. However, information asymmetry remains widespread in actual capital markets, and market participants differ in their perception and access to corporate value information. As critical information intermediaries in capital markets, sell-side analysts continuously provide financial forecasts, investment ratings, and target prices through industry research, corporate visits, and financial modeling, exerting a tangible influence on market pricing. Nonetheless, the perspective of an individual analyst may still be influenced by investment banking relationships, herding behavior, or model assumption biases, thereby constraining their predictive power and information quality.

Empirical Study on Behavioral Factors in the Taiwan Stock Market: An Analysis of Broker Branch Trading Factors (Part 2)

In the previous study, we verified the fundamental chip-analysis principle of "institutional/major players going momentum, retail investors going contrarian" in the Taiwan stock market, and identified the "Major Player Net Buying Strength (by Amount)" factor, which exhibited the highest winning rate and most stable performance. In this second part, we conduct backtests to evaluate the actual profitability of this major player factor across different holding periods, while analyzing how transaction fees and turnover rates impact final trading performance.

Empirical Study on Behavioral Factors in the Taiwan Stock Market: An Analysis of Broker Branch Trading Factors (Part 1)

The Taiwan stock market is renowned for its high retail investor participation and exceptional market transparency. Every day after the market close, the Taiwan Stock Exchange (TWSE) and the Taipei Exchange (TPEx) publish detailed  Broker Branch Trading Database. This dataset itemizes the exact buy and sell volume and transaction values executed by every brokerage branch across all listed equities. Compared with centralized depository shareholder distribution reports published weekly, brokerage branch data offers daily frequency, clear identification of market entities, and trade directionality. These features make it the premier tool for investors analyzing market participant positioning. However, many investors who trade based on branch flow fall into the trap of buying at market tops. Behavioral finance demonstrates that information asymmetries and psychological biases directly manifest in trading behaviors. On one hand, institutional investors and large accounts with genuine information advantages (smart money) execute sizable, concentrated orders, driving subsequent price momentum. On the other hand, when a stock gains widespread retail attention, excessive retail buying often drives crowd sentiment and asset congestion, causing prices to temporarily detach from fundamental value before undergoing mean reversion.

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