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題名 風險、資訊不對稱與機構投資人之持股之研究
Risk-taking, information asymmetry, and institutional investors` holdings
作者 徐曉君
貢獻者 屠美亞
徐曉君
關鍵詞 機構投資人
風險承擔
資訊不對稱
日期 2009
上傳時間 9-May-2016 15:16:37 (UTC+8)
摘要 在我國，隨著資本市場型態的改變，機構投資人持股比例有越來越高的趨勢，影響性亦日趨重大。由於機構投資人的投資策略往往是其他投資者關注的焦點，因此面對機構投資人持股與日俱增的情況，瞭解機構投資人的持股偏好與其對被投資公司的影響，對瞭解資本市場與公司治理皆有很大的助益。基於上述原因，本研究以國內上市上櫃公司作為研究對象，探討機構投資人是否會利用自身資訊優勢與風險承擔能力進行擇股，並進一步探討機構投資人在公司治理中的角色，分析其是否能顯著提昇公司價值。

研究發現，盈餘品質與機構投資人之持股呈顯著負相關，即盈餘品質越差，
機構投資人持股比例越高。本研究認為，此乃機構投資人身為精明的投資者，利用自身資訊優勢的利基，能洞悉公司盈餘品質不佳背後的真正原因，並挑選具成長潛力的公司進行投資之結果。此外，風險承擔與機構投資人之持股呈顯著負相關，即公司風險承擔能力越高，機構投資人持股比例越高。具有成長導向的風險承擔能使公司價值提升，而機構投資人在進行投資選股時，會選擇具有較高風險承擔能力的公司。於公司價值部分，本研究實證指出，若三大法人上一期持股越高，則下一期公司價值會有顯著改善。然若個別檢視三大法人之影響，則發現僅投信對公司價值有顯著提升，外資法人與自營商對公司價值雖有正向影響，但其結果並不顯著。總體而言，本研究認同機構投資人為積極投資者的持股角色，會積極介入公司營運管理，並改善公司價值，為股權的擁有者(owner)而非短視近利的短暫持有者(transient holder)。
參考文獻 中文文獻
陳良銘(2004)，「公司治理特性與盈餘管理程度關聯性之研究」，國立高雄第一科
技大學財務管理所碩士論文
彭政錦(2003)，董事會特性、股權結構及機構投資人持股與盈餘關聯性之研究，
國立嘉義大學管理研究所碩士論文
張瑞棻(2003)，股權結構與盈餘管理之相關性研究，輔仁大學管理研究所碩士論
文
吳佳儀(2007)，財務危機公司之公司治理對盈餘管理之影響，中國文化大學會計
研究所碩士論文
林芳瑜(2007)，機構投資主持股比率與盈餘管理之關係研究，元至大學財務金融
學系碩士論文
湯慧玲，2001，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，
國立政治大學會計學系碩士論文。


西文文獻
Balsam, S., E. Bartov, et al. (2002). "Accruals management, investor
sophistication, and equity valuation: Evidence from 10-Q filings." Journal of
Accounting Research 40: 987-1012.
Bartov, E. S. R. and I. Krinsky. (2000). "Investor sophistication and patterns in
stock returns." The Accounting Review: 43-63.
Bhide, A. (1993). "The hidden costs of stock market liquidity." Journal of
Financial Economics 34: 31-51.
Black, B. S. (1998). "Shareholder activism and corporate governance in the
United Stated." As published in the New Palgrave Dictionary of Economics
and the Law 3: 459-465.
Brancato, C. K. (1997). "Institutional investors and corporate governance: Best
Practices for increasing corporate values " Chicago, IL: Irwin. Professional
Publishing.
Bromiley, P. (1991). "Testing a causal model of corporate risk taking and
performance." Academy of Management Journal 34: 479-491.
Bushee, B. J. (1998). "The influence of institutional investers on myopic R&D
investment behavior." The Accounting Review 73: 305-333.
Bushee, B. J. (2001). "Do institutional investors prefer near-term earnings over
long-run value?" Contemporary Accounting Research 18(2): 207-246.
Chaganti, R. and F. Damanpour (1991). "Institutional Ownership, Capital
Structure, and Firm Performance " Strategic Management Journal 12(7):
479-491.
Chung, R., M. Firth, et al. (2002). "Institutional monitoring and opportunistic
earnings management." Journal of Corporate Finance: 29-48.
Conroy, B., R. Harris, et al. (1987). "Consensus forecasts of corporate
earnings:Analysts` forecasts and time series methods." Management
‧
國
立
政
治
大
學
‧
Na t i o na l Ch en gc h i U n i v e r s i t y
45
Science 33: 725-738.
Dechow, P. M. (1994). "Accounting earnings and cash flows as measure of firm
performance: The role of accounting accruals." Journal of Accounting and
Economics 18: 3-42.
Dechow, P. M. and I. D. Dichev (2002). "The quality of accruals and earnings: The
role of accrual estimation error." The Accounting Review 77: 35-59.
Dobrzynski, J. H. (1993 ). "Relationship Investing." Business Week. New York
3309(March 15): 68-74.
Drucker, P. F. (1986 ). "A crisis of capitalism." Wall Street Journal (Sep. 30): 1.
Fama, E. and K. Fench (1997). "Industry costs of equity." Journal of Financial
Economics 43: 153-193.
Fama, E. F. and K. R. French (1998). "Taxes, financing decisions, and firm value."
Journal of Finance 53: 819-843.
Francis, J., R. LaFond, et al. (2005). "The market pricing of accruals quality."
Journal of Accounting and Economics 39: 295-327.
Graves, S. A. and S. Waddock (1990). "Institutional ownership and control:
Implication for long-term corporate strategy." Academy od Management
Executive 4: 75-83.
Graves, S. B. (1988). "Institutional ownership and corporate R&D in the
computer industry." Academy of Management Journal 31: 417-428.
Hanson, C. and C. Hill (1991). "Are institutional investors myopic? A time-series
study of four technology-driven industries." Strategic Management Journal
12: 1-16.
Hassell, J. M. and R. H. Jennings (1986). "Relative forecast accuracy and the
timing of earnings forecast announcement " Accounting Review 61: 58-75.
Healy, P. M. and J. M. Wahlen (1999). "A review of the earning management
‧
國
立
政
治
大
學
‧
Na t i o na l Ch en gc h i U n i v e r s i t y
46
literature and its implications for standard setting." Accounting Horizons 13:
365-383.
Hessel, C. A. and M. Norman (1992). "Financial Characteristics of Neglected and
Institutionally Held Stocks." Journal of Accounting, Auditing & Finance 7:
313.
Hill, C. W. L. and S. A. Snell (1988). "External control, corporate strategy, and
firm performance in research-intensive industries." Strategic Management
Journal 9: 577-590.
Jacobs, M. (1991). "Short-Term America; The Causes and Cures of Our Business
Myopia." Harvard Business School Press.
Jiambalvo, J. (1996). "Discussion of "Causes and consequences of earnings
manipulation: An analysis of firms subject to enforcement actions by the
SEC"." Contemporary Accounting Research 13: 37-47.
Jiambalvo, J., S. Rajgopal, et al. (2002). "Institutional ownership and the extent
to which stock prices reflect future earnings." Contemporary Accounting
Research 19: 117-145.
John, K., L. Litov, et al. (2008). "Corporate governance and risk-taking." Journal
of Finance 58: 1679-1728.
Jones, J. J. (1991). "Earning management during import relief investigation."
Journal of Accounting Research 29: 193-228.
Kim , J.-B., I. Krinsky, et al. (1997). "Institutional holdings and trading volume
reactions to quarterly earnings announcements." Journal of Accounting,
Auditing & Finance 12(1): 1-14.
Liu, J., D. Nissim, et al. (2002). "Equity valuing using multiples." Journal of
Accounting Research 40: 135-172.
Maug, E. (1998). "Large Shareholders as Monitors: Is there a Trade-off Between
Liquidity and Control." Journal of Finance 53: 65-98.
‧
國
立
政
治
大
學
‧
Na t i o na l Ch en gc h i U n i v e r s i t y
47
McConnell, J. J. and H. Servaes (1990). "Additional Evidence on Equity
Ownership and Corporate Value." Journal of Financial Economics 27:
595-612.
McNichols, M. F. (2002). "Discussion of the quality of accruals and earnings: The
role of accrual estimation errors." The Accounting Review 77: 61-69.
Miller, K. D. and P. Bromiley (1990). "Strategic risk and corporate performance:
An analysis of alternative risk measures." Academy od Management
Journal 4: 756-779.
Monks, R. and N. Minow (1995). "Corporate governance." Combridge, MA:
Blackwell Business.
Opler, T. C. and J. Sokobin (1995). "Does coordinated institutional activism work?
An analysis of the activities of the council of institutional investors."
Working paper.
Palepu, K. G., P. M. Healy, et al. (2000). "Business Analysis and Valuation. ."
Cincinnati, OH: South-Western College Publishing.
Porter, M. E. (1992). "Capital disadvantage: America`s failing capital investment
system." Harvard Business Review: 65-82.
Pound, J. (1988). "Proxy Contests and the Efficiency of Shareholder oversight."
Journal of Financial Economics 20(1-2): 237-265.
Rajgopal, S., M. Venkatachalam, et al. (1999). "Is Institutional Ownership
Associated with Earnings Management and the Extent to which Stock
Prices Reflect Future Earnings? ." working paper.
Wright, P., S. P. Ferris, et al. (1995). "Competitiveness through management of
diversity:Effects on stock price valuation." Academy of Management
Journal 38(272-287).
Wright, P., S. P. Ferris, et al. (1996). "Impact od Corporate Insider, Blockholder,
and Institutional Equity Ownership on Firm Risk Taking." Academy of
Management Journal 39(2): 441-463.
描述 碩士
國立政治大學
財務管理研究所
96357014
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963570141
資料類型 thesis
dc.contributor.advisor 屠美亞zh_TW
dc.contributor.author (Authors) 徐曉君zh_TW
dc.creator (作者) 徐曉君zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 15:16:37 (UTC+8)-
dc.date.available 9-May-2016 15:16:37 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 15:16:37 (UTC+8)-
dc.identifier (Other Identifiers) G0963570141en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95153-
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) 96357014zh_TW
dc.description.abstract (摘要) 在我國，隨著資本市場型態的改變，機構投資人持股比例有越來越高的趨勢，影響性亦日趨重大。由於機構投資人的投資策略往往是其他投資者關注的焦點，因此面對機構投資人持股與日俱增的情況，瞭解機構投資人的持股偏好與其對被投資公司的影響，對瞭解資本市場與公司治理皆有很大的助益。基於上述原因，本研究以國內上市上櫃公司作為研究對象，探討機構投資人是否會利用自身資訊優勢與風險承擔能力進行擇股，並進一步探討機構投資人在公司治理中的角色，分析其是否能顯著提昇公司價值。

研究發現，盈餘品質與機構投資人之持股呈顯著負相關，即盈餘品質越差，
機構投資人持股比例越高。本研究認為，此乃機構投資人身為精明的投資者，利用自身資訊優勢的利基，能洞悉公司盈餘品質不佳背後的真正原因，並挑選具成長潛力的公司進行投資之結果。此外，風險承擔與機構投資人之持股呈顯著負相關，即公司風險承擔能力越高，機構投資人持股比例越高。具有成長導向的風險承擔能使公司價值提升，而機構投資人在進行投資選股時，會選擇具有較高風險承擔能力的公司。於公司價值部分，本研究實證指出，若三大法人上一期持股越高，則下一期公司價值會有顯著改善。然若個別檢視三大法人之影響，則發現僅投信對公司價值有顯著提升，外資法人與自營商對公司價值雖有正向影響，但其結果並不顯著。總體而言，本研究認同機構投資人為積極投資者的持股角色，會積極介入公司營運管理，並改善公司價值，為股權的擁有者(owner)而非短視近利的短暫持有者(transient holder)。		zh_TW
dc.description.tableofcontents 第壹章 緒論................................................ 1
第一節 研究背景與動機....................................... 1
第二節 研究範圍 ............................................ 3
第三節 研究架構 ............................................ 4
第貳章 文獻探討 ............................................ 5
第一節 機構投資人與公司風險承擔態度 .......................... 5
第二節 機構投資人與資訊不對稱 ............................... 6
第三節 機構投資人的監督管理角色 .............................. 7
第參章 研究方法 ........................................... 13
第一節 研究流程 ........................................... 13
第二節 研究假說 ........................................... 14
第三節 研究樣本及資料來源 .................................. 16
第四節 研究變數之操作性定義 ................................ 17
第五節 實證模型之建立 ..................................... 23
第肆章 實證結果 ........................................... 26
第一節 盈餘品質的殘差估計 .................................. 26
第二節 風險承擔、盈餘品質與機構投資人持股 .................. 28
第三節 機構投資人持股與公司價值 ............................ 35
第伍章 結論與建議 ......................................... 39
第一節 研究結論 .......................................... 39
第二節 研究貢獻 ........................................... 41
第三節 研究限制 ........................................... 42
參考文獻 ................................................. 43		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963570141en_US
dc.subject (關鍵詞) 機構投資人zh_TW
dc.subject (關鍵詞) 風險承擔zh_TW
dc.subject (關鍵詞) 資訊不對稱zh_TW
dc.title (題名) 風險、資訊不對稱與機構投資人之持股之研究zh_TW
dc.title (題名) Risk-taking, information asymmetry, and institutional investors` holdingsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文文獻
陳良銘(2004)，「公司治理特性與盈餘管理程度關聯性之研究」，國立高雄第一科
技大學財務管理所碩士論文
彭政錦(2003)，董事會特性、股權結構及機構投資人持股與盈餘關聯性之研究，
國立嘉義大學管理研究所碩士論文
張瑞棻(2003)，股權結構與盈餘管理之相關性研究，輔仁大學管理研究所碩士論
文
吳佳儀(2007)，財務危機公司之公司治理對盈餘管理之影響，中國文化大學會計
研究所碩士論文
林芳瑜(2007)，機構投資主持股比率與盈餘管理之關係研究，元至大學財務金融
學系碩士論文
湯慧玲，2001，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，
國立政治大學會計學系碩士論文。


西文文獻
Balsam, S., E. Bartov, et al. (2002). "Accruals management, investor
sophistication, and equity valuation: Evidence from 10-Q filings." Journal of
Accounting Research 40: 987-1012.
Bartov, E. S. R. and I. Krinsky. (2000). "Investor sophistication and patterns in
stock returns." The Accounting Review: 43-63.
Bhide, A. (1993). "The hidden costs of stock market liquidity." Journal of
Financial Economics 34: 31-51.
Black, B. S. (1998). "Shareholder activism and corporate governance in the
United Stated." As published in the New Palgrave Dictionary of Economics
and the Law 3: 459-465.
Brancato, C. K. (1997). "Institutional investors and corporate governance: Best
Practices for increasing corporate values " Chicago, IL: Irwin. Professional
Publishing.
Bromiley, P. (1991). "Testing a causal model of corporate risk taking and
performance." Academy of Management Journal 34: 479-491.
Bushee, B. J. (1998). "The influence of institutional investers on myopic R&D
investment behavior." The Accounting Review 73: 305-333.
Bushee, B. J. (2001). "Do institutional investors prefer near-term earnings over
long-run value?" Contemporary Accounting Research 18(2): 207-246.
Chaganti, R. and F. Damanpour (1991). "Institutional Ownership, Capital
Structure, and Firm Performance " Strategic Management Journal 12(7):
479-491.
Chung, R., M. Firth, et al. (2002). "Institutional monitoring and opportunistic
earnings management." Journal of Corporate Finance: 29-48.
Conroy, B., R. Harris, et al. (1987). "Consensus forecasts of corporate
earnings:Analysts` forecasts and time series methods." Management
‧
國
立
政
治
大
學
‧
Na t i o na l Ch en gc h i U n i v e r s i t y
45
Science 33: 725-738.
Dechow, P. M. (1994). "Accounting earnings and cash flows as measure of firm
performance: The role of accounting accruals." Journal of Accounting and
Economics 18: 3-42.
Dechow, P. M. and I. D. Dichev (2002). "The quality of accruals and earnings: The
role of accrual estimation error." The Accounting Review 77: 35-59.
Dobrzynski, J. H. (1993 ). "Relationship Investing." Business Week. New York
3309(March 15): 68-74.
Drucker, P. F. (1986 ). "A crisis of capitalism." Wall Street Journal (Sep. 30): 1.
Fama, E. and K. Fench (1997). "Industry costs of equity." Journal of Financial
Economics 43: 153-193.
Fama, E. F. and K. R. French (1998). "Taxes, financing decisions, and firm value."
Journal of Finance 53: 819-843.
Francis, J., R. LaFond, et al. (2005). "The market pricing of accruals quality."
Journal of Accounting and Economics 39: 295-327.
Graves, S. A. and S. Waddock (1990). "Institutional ownership and control:
Implication for long-term corporate strategy." Academy od Management
Executive 4: 75-83.
Graves, S. B. (1988). "Institutional ownership and corporate R&D in the
computer industry." Academy of Management Journal 31: 417-428.
Hanson, C. and C. Hill (1991). "Are institutional investors myopic? A time-series
study of four technology-driven industries." Strategic Management Journal
12: 1-16.
Hassell, J. M. and R. H. Jennings (1986). "Relative forecast accuracy and the
timing of earnings forecast announcement " Accounting Review 61: 58-75.
Healy, P. M. and J. M. Wahlen (1999). "A review of the earning management
‧
國
立
政
治
大
學
‧
Na t i o na l Ch en gc h i U n i v e r s i t y
46
literature and its implications for standard setting." Accounting Horizons 13:
365-383.
Hessel, C. A. and M. Norman (1992). "Financial Characteristics of Neglected and
Institutionally Held Stocks." Journal of Accounting, Auditing & Finance 7:
313.
Hill, C. W. L. and S. A. Snell (1988). "External control, corporate strategy, and
firm performance in research-intensive industries." Strategic Management
Journal 9: 577-590.
Jacobs, M. (1991). "Short-Term America; The Causes and Cures of Our Business
Myopia." Harvard Business School Press.
Jiambalvo, J. (1996). "Discussion of "Causes and consequences of earnings
manipulation: An analysis of firms subject to enforcement actions by the
SEC"." Contemporary Accounting Research 13: 37-47.
Jiambalvo, J., S. Rajgopal, et al. (2002). "Institutional ownership and the extent
to which stock prices reflect future earnings." Contemporary Accounting
Research 19: 117-145.
John, K., L. Litov, et al. (2008). "Corporate governance and risk-taking." Journal
of Finance 58: 1679-1728.
Jones, J. J. (1991). "Earning management during import relief investigation."
Journal of Accounting Research 29: 193-228.
Kim , J.-B., I. Krinsky, et al. (1997). "Institutional holdings and trading volume
reactions to quarterly earnings announcements." Journal of Accounting,
Auditing & Finance 12(1): 1-14.
Liu, J., D. Nissim, et al. (2002). "Equity valuing using multiples." Journal of
Accounting Research 40: 135-172.
Maug, E. (1998). "Large Shareholders as Monitors: Is there a Trade-off Between
Liquidity and Control." Journal of Finance 53: 65-98.
‧
國
立
政
治
大
學
‧
Na t i o na l Ch en gc h i U n i v e r s i t y
47
McConnell, J. J. and H. Servaes (1990). "Additional Evidence on Equity
Ownership and Corporate Value." Journal of Financial Economics 27:
595-612.
McNichols, M. F. (2002). "Discussion of the quality of accruals and earnings: The
role of accrual estimation errors." The Accounting Review 77: 61-69.
Miller, K. D. and P. Bromiley (1990). "Strategic risk and corporate performance:
An analysis of alternative risk measures." Academy od Management
Journal 4: 756-779.
Monks, R. and N. Minow (1995). "Corporate governance." Combridge, MA:
Blackwell Business.
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