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題名 台灣三大法人從眾行為與股票報酬率之預測能力
Institutional Herding and the Prediction of Stock Returns: Evidence from Taiwan Stock Market作者 李蘭萱
Li, Lan-Xuan貢獻者 盧敬植
Lu, Ching-Chih
李蘭萱
Li, Lan-Xuan關鍵詞 三大法人
從眾行為
異常報酬
institutional investor
herding
abnormal return日期 2019 上傳時間 7-Aug-2019 16:05:16 (UTC+8) 摘要 本研究藉由自營商、外資與基金在台灣股票市場的從眾行為程度組成投資組合，目的是了解三大法人的從眾偏好，以及該行為對股價的影響。研究範圍為2000年4月至2018年6月間，三大法人持股數曾出現變化的台灣上市櫃股票。實證結果發現自營商偏好從眾規模大與低股利股票，外資沒有特殊從眾傾向，而基金則偏好從眾高本益比與低股利股票。從眾行為發生後的兩季時間內，外資從眾買進與基金從眾賣出之投資組合皆出現正向異常報酬，然而規模調整報酬卻小於0，代表從眾行為對股價的預測能力有限。在網路泡沫以及金融海嘯時期，三大法人的從眾行為不論買或賣，都無法獲得顯著異於0的異常報酬。
The study analyzes portfolios which are composed with institutional investors’ herding behavior in Taiwan stock market, and is intended to find the key factors and the price impact of herding. Using the shareholding data from April 2000 to June 2018, the study finds higher levels of herding by dealers in large-cap and low dividend yield stocks. On the other hands, there is some evidence for higher herding levels by fund managers in high Price-Earning ratio and low dividend yield stocks. Although stocks that foreign investors buy and funds sell outperform the market, they have negative returns after being adjusted for size. The results mean that institutional herding can’t predict future returns well. During the dot-com bubble and the financial crisis of 2008, there is no significant abnormal returns for all portfolios.參考文獻 Allen, F., Bernardo, A. E., & Welch, I. (2000). A theory of dividends based on tax clienteles. The Journal of Finance, 55(6), 2499-2536.Banerjee, A. V. (1992). A simple model of herd behavior. The quarterly journal of economics, 107(3), 797-817.Barberis, N., & Shleifer, A. (2003). Style investing. Journal of financial economics, 68(2), 161-199.Bennett, J. A., Sias, R. W., & Starks, L. T. (2003). Greener pastures and the impact of dynamic institutional preferences. The Review of Financial Studies, 16(4), 1203-1238.Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of political Economy, 100(5), 992-1026.Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking Finance, 24(10), 1651-1679.Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking Finance, 34(8), 1911-1921.Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 31-37.Falkenstein, E. G. (1996). Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The Journal of Finance, 51(1), 111-135.Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.Gompers, P. A., & Metrick, A. (2001). Institutional investors and equity prices. The quarterly journal of economics, 116(1), 229-259.Hirshleifer, D., Subrahmanyam, A., & Titman, S. (1994). Security Analysis and Trading Patterns when Some Investors Receive Information Before Others. The Journal of Finance, 49(5), 1665-1698.Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175-188. doi:10.1016/j.irfa.2013.01.003Hung, W., Lu, C.-C., & Lee, C. F. (2010). Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal, 18(5), 477-493. doi:10.1016/j.pacfin.2010.06.001Jain, R. (2007). Institutional and individual investor preferences for dividends and share repurchases. Journal of Economics and Business, 59(5), 406-429.Lakonishok, J., Shleifer, A., Thaler, R., & Vishny, R. (1991). Window Dressing by Pension Fund Managers. American Economic Review, 81(2), 227-231.Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of financial economics, 32(1), 23-43.Redding, L. S. (1997). Firm size and dividend payouts. Journal of Financial Intermediation, 6(3), 224-248.Rozeff, M. S. (1982). Growth, beta and agency costs as determinants of dividend payout ratios. Journal of financial Research, 5(3), 249-259.Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of political Economy, 94(3, Part 1), 461-488.Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206.Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622. 描述 碩士
國立政治大學
財務管理學系
106357028資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357028 資料類型 thesis dc.contributor.advisor 盧敬植 zh_TW dc.contributor.advisor Lu, Ching-Chih en_US dc.contributor.author (Authors) 李蘭萱 zh_TW dc.contributor.author (Authors) Li, Lan-Xuan en_US dc.creator (作者) 李蘭萱 zh_TW dc.creator (作者) Li, Lan-Xuan en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:05:16 (UTC+8) - dc.date.available 7-Aug-2019 16:05:16 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:05:16 (UTC+8) - dc.identifier (Other Identifiers) G0106357028 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124701 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357028 zh_TW dc.description.abstract (摘要) 本研究藉由自營商、外資與基金在台灣股票市場的從眾行為程度組成投資組合，目的是了解三大法人的從眾偏好，以及該行為對股價的影響。研究範圍為2000年4月至2018年6月間，三大法人持股數曾出現變化的台灣上市櫃股票。實證結果發現自營商偏好從眾規模大與低股利股票，外資沒有特殊從眾傾向，而基金則偏好從眾高本益比與低股利股票。從眾行為發生後的兩季時間內，外資從眾買進與基金從眾賣出之投資組合皆出現正向異常報酬，然而規模調整報酬卻小於0，代表從眾行為對股價的預測能力有限。在網路泡沫以及金融海嘯時期，三大法人的從眾行為不論買或賣，都無法獲得顯著異於0的異常報酬。 zh_TW dc.description.abstract (摘要) The study analyzes portfolios which are composed with institutional investors’ herding behavior in Taiwan stock market, and is intended to find the key factors and the price impact of herding. Using the shareholding data from April 2000 to June 2018, the study finds higher levels of herding by dealers in large-cap and low dividend yield stocks. On the other hands, there is some evidence for higher herding levels by fund managers in high Price-Earning ratio and low dividend yield stocks. Although stocks that foreign investors buy and funds sell outperform the market, they have negative returns after being adjusted for size. The results mean that institutional herding can’t predict future returns well. During the dot-com bubble and the financial crisis of 2008, there is no significant abnormal returns for all portfolios. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的與結果 2第二章 文獻探討 4第一節 從眾行為成因之文獻探討 4第二節 從眾行為實證之文獻探討 5第三章 研究方法 8第一節 資料來源與研究期間 8第二節 變數定義與假說 8第三節 研究方法與模型 10第四章 實證結果分析 13第一節 敘述統計 13第二節 從眾行為對股票報酬率的影響 14第五章 結論與建議 21第一節 結論 21第二節 後續研究建議 23參考文獻 24 zh_TW dc.format.extent 1291241 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357028 en_US dc.subject (關鍵詞) 三大法人 zh_TW dc.subject (關鍵詞) 從眾行為 zh_TW dc.subject (關鍵詞) 異常報酬 zh_TW dc.subject (關鍵詞) institutional investor en_US dc.subject (關鍵詞) herding en_US dc.subject (關鍵詞) abnormal return en_US dc.title (題名) 台灣三大法人從眾行為與股票報酬率之預測能力 zh_TW dc.title (題名) Institutional Herding and the Prediction of Stock Returns: Evidence from Taiwan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Allen, F., Bernardo, A. E., & Welch, I. (2000). A theory of dividends based on tax clienteles. The Journal of Finance, 55(6), 2499-2536.Banerjee, A. V. (1992). A simple model of herd behavior. The quarterly journal of economics, 107(3), 797-817.Barberis, N., & Shleifer, A. (2003). Style investing. Journal of financial economics, 68(2), 161-199.Bennett, J. A., Sias, R. W., & Starks, L. T. (2003). Greener pastures and the impact of dynamic institutional preferences. The Review of Financial Studies, 16(4), 1203-1238.Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of political Economy, 100(5), 992-1026.Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking Finance, 24(10), 1651-1679.Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking Finance, 34(8), 1911-1921.Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 31-37.Falkenstein, E. G. (1996). Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The Journal of Finance, 51(1), 111-135.Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.Gompers, P. A., & Metrick, A. (2001). Institutional investors and equity prices. The quarterly journal of economics, 116(1), 229-259.Hirshleifer, D., Subrahmanyam, A., & Titman, S. (1994). Security Analysis and Trading Patterns when Some Investors Receive Information Before Others. The Journal of Finance, 49(5), 1665-1698.Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175-188. doi:10.1016/j.irfa.2013.01.003Hung, W., Lu, C.-C., & Lee, C. F. (2010). Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal, 18(5), 477-493. doi:10.1016/j.pacfin.2010.06.001Jain, R. (2007). Institutional and individual investor preferences for dividends and share repurchases. Journal of Economics and Business, 59(5), 406-429.Lakonishok, J., Shleifer, A., Thaler, R., & Vishny, R. (1991). Window Dressing by Pension Fund Managers. American Economic Review, 81(2), 227-231.Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of financial economics, 32(1), 23-43.Redding, L. S. (1997). Firm size and dividend payouts. Journal of Financial Intermediation, 6(3), 224-248.Rozeff, M. S. (1982). Growth, beta and agency costs as determinants of dividend payout ratios. Journal of financial Research, 5(3), 249-259.Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of political Economy, 94(3, Part 1), 461-488.Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206.Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900309 en_US
