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題名 台灣市場中機構投資者的投資偏好
作者 莊凱如
貢獻者 周行一
Chow, Edward H.
莊凱如
關鍵詞 機構投資人
投資偏好
Institutional investor
Trading preference
日期 2009
上傳時間 9-五月-2016 15:15:42 (UTC+8)
摘要 本研究利用1992年至2006年間台灣證券交易所的逐筆成交資料，探討機構投資人的投資偏好。將法人分為外資、自營商、投信及其他法人四類，依Ng和Wu(2006)年提出的研究方法，利用投資者投入資金的比重做為偏好強度的衡量，以各種股票特性因子作為偏好的替代變數，分別進行迴歸分析。研究結果發現四類法人皆偏好市值占總市值較高、流動性較高、高價、低報酬波動性的股票，在報酬率方面，外資、自營商及投信皆偏好資產報酬率、股票報酬率以及現金股利率的股票。此外，觀察不同年度，四類法人對於高流動性、高報酬率及低報酬率波動度的股票有較穩定的偏好，但對於其他變數的偏好則會隨著時間及環境發生改變。
參考文獻 吳志偉（2004）。《台灣股市外資與投信投資策略》。東華大學國際經濟研究所碩士論文。
     周舒屏（2003）。《國際機構權益投資偏好成因之探討》。政治大學財務管理所碩士論文。
     徐新舫（2007）。《投資人的偏好固定嗎》。政治大學財務管理研究所碩士論文。
     烏瑤佩（2003）。《影響外資法人投資台股投資因子之探討》。政治大學金融所碩士論文。
     郭曉穎（2004）。《投資人類型、投資注意力與投資決策關聯之研究》。中原大學會計研究所碩士論文。
     陳櫻建（2001）。《外資持股比例、公司特性與公司價值》。中正大學財務金融所碩士論文。
     湯慧玲（2000）。《外國專業投資機構持股策略與投資標的財務屬性關聯性之研究》。政治大學會計所碩士論文。
     Aggarwal, R., L. Klapper, and P. D. Wysocki, 2005, “Portfolio preferences of foreign institutional investors,” Journal of Banking & Finance,29(12), 2919-2946.
     Barber, B. M. and T. Odean, 2001, “Boys will be boys: Gender, overconfidence, and common stock investment,” Quarterly Journal of Economics, 116, 261-292.
     Bennett, J. A., R. W. Sias, and L.T. Starks, 2003, “Greener Pastures and the Impact of Dynamic Institutional Preferences,” Review of Financial Studies, 16(4), 1203-1238.
     Brands, S., D.R. Gallagher, L. Adrian, 2006, “Active Investment Manager Portfolios and Preferences for Stock Characteristics,”Accounting and Finance, 46(2), 169-190.
     Chiao, C., and Lin, K. L., 2004, “The informative content of the net-buy information of institutional investors: evidence from the Taiwan stock market,” Review of Pacific Basin Financial Markets and Policies, 7, 259-288.
     Covrig, V., S. T. Lau, and L. Ng , 2006,”Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis,” Journal of International Business Studies , 37, 407–429.
     Cready, W. 1994, “Determinants of Relative Investor Demand for Common Stocks: Professional Adaptation,” Journal of Accounting, Auditing, & Finance, 9, 487-509.
     Dahlquist, M. and G. Robertsson, 2001, “Direct foreign ownership, institutional investors, and firm characteristics,” Journal of Financial Economics, 59, 413-440.
     Daniel, K. and S. Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance, 52(1), 1-33.
     Dennis, P. J. and D. Strickland, 2002, “Who blinks in volatile markets, individuals or institutions?” Journal of Finance, 57, 1923-1949.
     Del Guercio, D., 1996, “The distorting effect of the prudent-man laws on institutional equity investment,” Journal of Financial Economics, 40, 31-62.
     Dierkens, N., 1991, “Information Asymmetry and Equity Issues,” Journal of Financial and Quantitative Analysis, 26, 181-199.
     Eakins, S. G., S. R. Stansell, and P. E. Wertheim, 1998, “Institutional Portfolio Composition: An Examination of The Prudent Investment Hypothesis,” Quarterly Review of Economics and Finance,38, 93-109.
     Elkinawy, S., 2005,”Mutual fund preferences for Latin American equities surrounding financial crises,”Emerging Markets Review, 6(3), 211-237.
     Falkenstein, Eric G.,1996,”Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,”Journal of Finance, 51(1), 11-135.
     Gompers, P. A., and A. Metrick, 1998, “How are large Institutions different from other investors?” Working Paper.
     Gompers, P. A., and A. Metrick, 2001, “Institutional investors and equity prices,” Quarterly Journal of Economics, 116, 229-260.
     Hessel, C. A. and M. Norman., 1992,” Financial characteristics of neglected and institutionally held stocks,” Journal of Accounting, Auditing, and Finance, 7(2), 313-330.
     Jiambalvo, J., S. Rajgopal, and M. Venkatachalam, 2002, “Institutional ownership and the extent to which stock prices reflect future earnings,” Contemporary Accounting Research, 19 (1), 117-146.
     Karoui, A., and I. Meier, 2008,“Performance and Characteristics of Mutual Fund Starts,” Working paper.
     Kang, J. K., and R. M. Stulz, 2006, “Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan,” Journal of Financial Economics , 46, 3-28.
     Ng, L., and F. Wu, 2006, “Revealed stock preferences of individual investors: Evidence from Chinese equity markets,” Pacific-Basin Finance Journal , 14(2), 175-192.
     Nofsinger, J., and R. Sias, 1999, “Herding and feedback trading by institutional and individual investors,” Journal of Finance, 54, 2263-2295.
     Pinnuck, M., 2004, “Stock Preferences and Derivative Activities of Australian Fund Managers,” Accounting and Finance, 44, 97-120.
     Shawky, Hany A., and Smith, David M., 2005, “Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance,”Financial Review, 40, 481-495.
     Titman, S., K. C. J. Wei, and T. Yamada, 2004, “Stock holding preference and performance by different types of investors,” Working Paper.
     Tong, S. and Y. Ning, 2004 “Dose capital structure affect institutional investor choices?” Journal of Investing, 13, 53-66.
     Walther, B., 1997, “Investor sophistication and market earnings expectations,” Journal of Accounting Research 35 (2), 157–92.
描述 碩士
國立政治大學
財務管理研究所
95357018
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095357018
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.advisor Chow, Edward H.en_US
dc.contributor.author (作者) 莊凱如zh_TW
dc.creator (作者) 莊凱如zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 9-五月-2016 15:15:42 (UTC+8)-
dc.date.available 9-五月-2016 15:15:42 (UTC+8)-
dc.date.issued (上傳時間) 9-五月-2016 15:15:42 (UTC+8)-
dc.identifier (其他 識別碼) G0095357018en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95130-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 95357018zh_TW
dc.description.abstract (摘要) 本研究利用1992年至2006年間台灣證券交易所的逐筆成交資料，探討機構投資人的投資偏好。將法人分為外資、自營商、投信及其他法人四類，依Ng和Wu(2006)年提出的研究方法，利用投資者投入資金的比重做為偏好強度的衡量，以各種股票特性因子作為偏好的替代變數，分別進行迴歸分析。研究結果發現四類法人皆偏好市值占總市值較高、流動性較高、高價、低報酬波動性的股票，在報酬率方面，外資、自營商及投信皆偏好資產報酬率、股票報酬率以及現金股利率的股票。此外，觀察不同年度，四類法人對於高流動性、高報酬率及低報酬率波動度的股票有較穩定的偏好，但對於其他變數的偏好則會隨著時間及環境發生改變。zh_TW
dc.description.tableofcontents 第壹章　緒論............................................. 1
     第一節　研究動機與目的.................................... 1
     第二節　研究問題及架構.................................... 6
     第貳章　文獻回顧......................................... 7
     第一節　國內機構投資人投資偏好研究文獻...................... 7
     第二節　國外機構投資人投資偏好研究文獻...................... 9
     第參章　資料與研究方法.................................... 15
     第一節　研究對象及期間.................................... 15
     第二節　機構投資人選股偏好變數............................. 16
     第三節　研究方法......................................... 22
     第肆章　實證分析與研究發現................................. 26
     第一節　敘述性統計分析.................................... 26
     第二節　迴歸分析......................................... 41
     第伍章　結論............................................. 61
     參考文獻................................................ 63
     
     表目錄
     表1: 投資人類別交易比重及金額統計表..........................5
     表2: 外資交易量敘述統計表................................. 26
     表3: 自營商交易量敘述統計表............................... 27
     表4: 投信基金交易量敘述統計表.............................. 28
     表5: 其他法人交易量敘述統計表.............................. 29
     表6: 各類法人交易股票的公司市值占市場總市值比重平均數......... 31
     表7: 各類法人交易股票的股票週轉率平均數..................... 32
     表8: 各類法人交易股票的公司本益比平均數..................... 33
     表9: 各類法人交易股票的公司市帳比平均數..................... 34
     表10: 各類法人交易股票的股票報酬率平均數.................... 35
     表11: 各類法人交易股票的公司資產報酬率報酬率平均數........... 36
     表12: 各類法人交易股票的公司股東權益報酬率平均數............. 37
     表13: 各類法人交易股票的公司現金股利率平均數................ 38
     表14: 各類法人交易股票的平均股價........................... 39
     表15: 各類法人交易股票的平均報酬率標準差.................... 40
     表16: 外資共線性分析..................................... 42
     表17: 自營商共線性分析.................................... 43
     表18: 投信基金共線性分析.................................. 44
     表19: 其他法人共線性分析.................................. 45
     表20: 15年總合迴歸結果................................... 48
     表21: 外資分年度迴歸結果.................................. 51
     表22: 自營商分年度迴歸結果 ................................54
     表23: 投信基金分年度迴歸結果.............................. 57
     表24: 其他法人分年度迴歸結果.............................. 60		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095357018en_US
dc.subject (關鍵詞) 機構投資人zh_TW
dc.subject (關鍵詞) 投資偏好zh_TW
dc.subject (關鍵詞) Institutional investoren_US
dc.subject (關鍵詞) Trading preferenceen_US
dc.title (題名) 台灣市場中機構投資者的投資偏好zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 吳志偉（2004）。《台灣股市外資與投信投資策略》。東華大學國際經濟研究所碩士論文。
     周舒屏（2003）。《國際機構權益投資偏好成因之探討》。政治大學財務管理所碩士論文。
     徐新舫（2007）。《投資人的偏好固定嗎》。政治大學財務管理研究所碩士論文。
     烏瑤佩（2003）。《影響外資法人投資台股投資因子之探討》。政治大學金融所碩士論文。
     郭曉穎（2004）。《投資人類型、投資注意力與投資決策關聯之研究》。中原大學會計研究所碩士論文。
     陳櫻建（2001）。《外資持股比例、公司特性與公司價值》。中正大學財務金融所碩士論文。
     湯慧玲（2000）。《外國專業投資機構持股策略與投資標的財務屬性關聯性之研究》。政治大學會計所碩士論文。
     Aggarwal, R., L. Klapper, and P. D. Wysocki, 2005, “Portfolio preferences of foreign institutional investors,” Journal of Banking & Finance,29(12), 2919-2946.
     Barber, B. M. and T. Odean, 2001, “Boys will be boys: Gender, overconfidence, and common stock investment,” Quarterly Journal of Economics, 116, 261-292.
     Bennett, J. A., R. W. Sias, and L.T. Starks, 2003, “Greener Pastures and the Impact of Dynamic Institutional Preferences,” Review of Financial Studies, 16(4), 1203-1238.
     Brands, S., D.R. Gallagher, L. Adrian, 2006, “Active Investment Manager Portfolios and Preferences for Stock Characteristics,”Accounting and Finance, 46(2), 169-190.
     Chiao, C., and Lin, K. L., 2004, “The informative content of the net-buy information of institutional investors: evidence from the Taiwan stock market,” Review of Pacific Basin Financial Markets and Policies, 7, 259-288.
     Covrig, V., S. T. Lau, and L. Ng , 2006,”Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis,” Journal of International Business Studies , 37, 407–429.
     Cready, W. 1994, “Determinants of Relative Investor Demand for Common Stocks: Professional Adaptation,” Journal of Accounting, Auditing, & Finance, 9, 487-509.
     Dahlquist, M. and G. Robertsson, 2001, “Direct foreign ownership, institutional investors, and firm characteristics,” Journal of Financial Economics, 59, 413-440.
     Daniel, K. and S. Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance, 52(1), 1-33.
     Dennis, P. J. and D. Strickland, 2002, “Who blinks in volatile markets, individuals or institutions?” Journal of Finance, 57, 1923-1949.
     Del Guercio, D., 1996, “The distorting effect of the prudent-man laws on institutional equity investment,” Journal of Financial Economics, 40, 31-62.
     Dierkens, N., 1991, “Information Asymmetry and Equity Issues,” Journal of Financial and Quantitative Analysis, 26, 181-199.
     Eakins, S. G., S. R. Stansell, and P. E. Wertheim, 1998, “Institutional Portfolio Composition: An Examination of The Prudent Investment Hypothesis,” Quarterly Review of Economics and Finance,38, 93-109.
     Elkinawy, S., 2005,”Mutual fund preferences for Latin American equities surrounding financial crises,”Emerging Markets Review, 6(3), 211-237.
     Falkenstein, Eric G.,1996,”Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,”Journal of Finance, 51(1), 11-135.
     Gompers, P. A., and A. Metrick, 1998, “How are large Institutions different from other investors?” Working Paper.
     Gompers, P. A., and A. Metrick, 2001, “Institutional investors and equity prices,” Quarterly Journal of Economics, 116, 229-260.
     Hessel, C. A. and M. Norman., 1992,” Financial characteristics of neglected and institutionally held stocks,” Journal of Accounting, Auditing, and Finance, 7(2), 313-330.
     Jiambalvo, J., S. Rajgopal, and M. Venkatachalam, 2002, “Institutional ownership and the extent to which stock prices reflect future earnings,” Contemporary Accounting Research, 19 (1), 117-146.
     Karoui, A., and I. Meier, 2008,“Performance and Characteristics of Mutual Fund Starts,” Working paper.
     Kang, J. K., and R. M. Stulz, 2006, “Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan,” Journal of Financial Economics , 46, 3-28.
     Ng, L., and F. Wu, 2006, “Revealed stock preferences of individual investors: Evidence from Chinese equity markets,” Pacific-Basin Finance Journal , 14(2), 175-192.
     Nofsinger, J., and R. Sias, 1999, “Herding and feedback trading by institutional and individual investors,” Journal of Finance, 54, 2263-2295.
     Pinnuck, M., 2004, “Stock Preferences and Derivative Activities of Australian Fund Managers,” Accounting and Finance, 44, 97-120.
     Shawky, Hany A., and Smith, David M., 2005, “Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance,”Financial Review, 40, 481-495.
     Titman, S., K. C. J. Wei, and T. Yamada, 2004, “Stock holding preference and performance by different types of investors,” Working Paper.
     Tong, S. and Y. Ning, 2004 “Dose capital structure affect institutional investor choices?” Journal of Investing, 13, 53-66.
     Walther, B., 1997, “Investor sophistication and market earnings expectations,” Journal of Accounting Research 35 (2), 157–92.		zh_TW