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題名 ETF集中度與公司績效
ETF Concentration and Firm Performance
作者 蔡有容
Tsai, Yu-Jung
貢獻者 金帛春
Kim, Baek-Chun
蔡有容
Tsai, Yu-Jung
關鍵詞 指數股票型基金
投資組合集中度
公司績效
公司治理
被動投資者
資訊效率
Exchange Traded Funds
Portfolio Concentration
Firm Performance
Corporate Governance
Passive Investors
Information Efficiency
日期 2025
上傳時間 4-Aug-2025 14:32:33 (UTC+8)
摘要 本研究探討指數股票型基金（ETF）是否以及如何影響台灣企業的績效。我們使用2009年至2024年的台灣上市公司季度面板資料，建構出一個公司層級的加權平均ETF持股集中度指標，該指標同時反映ETF的持股比例與其投資組合的集中程度。研究結果顯示，ETF集中度與企業績效（以資產報酬率ROA與股東權益報酬率ROE衡量）之間存在顯著的正向關係。 為處理內生性問題，我們採用兩階段最小平方法（2SLS）並使用工具變數，以建立ETF集中度對企業績效的因果關係。我們進一步探討三種潛在的影響機制：（1）公司治理、（2）退出機制、以及（3）股價資訊性。研究發現，公司治理機制最具說服力，ETF集中度較高的公司，其TESG治理品質得分顯著較高；而退出機制則未顯示出顯著效果。至於股價資訊性方面，ETF集中度與報酬非同步性及Amihud流動性指標呈正向關聯，但其經濟影響相對有限，顯示該機制可能為輔助性但具補充性的傳導途徑。 整體而言，本研究指出，在新興市場中，當被動型機構投資人的持股達到一定集中程度時，確實會對企業經營成果產生實質影響。
This study examines whether and how Exchange Traded Funds (ETFs) influence firm performance in Taiwan. Using quarterly panel data from 2009 to 2024 on Taiwanese listed firms, we construct a firm-level measure of weighted-average ETF concentration that captures both the ownership stake and the portfolio focus of ETFs. Our results show a significant positive relationship between ETF concentration and firm performance, measured by return on assets (ROA) and return on equity (ROE). We address the endogeneity concerns by using 2SLS with instrumental variables to link ETF concentration causally to firm performance . We explore three mechanisms: (1) corporate governance, (2) exit behavior, and (3) price informativeness. We find strong support for the governance channel, as firms with higher ETF concentration exhibit better governance quality, measured by TESG scores. There is no significant evidence supporting the exit mechanism. As for price informativeness, ETF concentration is positively associated with nonsynchronicity and Amihud illiquidity, though the economic effect is modest. This suggests a secondary but complementary transmission channel. Overall, this study highlights that passive institutional investors exert real influence on firm outcomes in emerging markets when their ownership is sufficiently concentrated.
參考文獻 Antoniou, C., Li, F. W., Liu, X., Subrahmanyam, A., & Sun, C. (2023). Exchange-traded funds and real investment. Review of Financial Studies, 36, 1043–1093. Appel, I. R., Gormley, T. A., & Keim, D. B. (2016). Passive investors, not passive owners. Journal of Financial Economics, 121, 111–141. Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73, 2471–2535. Borochin, P., & Yang, J. (2017). The effects of institutional investor objectives on firm valuation and governance. Journal of Financial Economics, 126, 171–199. Chen, H.C. (2024). Combining TESG scores with financial data: Observing the performance of Taiwan listed companies [Master’s thesis, National Taiwan University]. National Taiwan University Repository. https://doi.org/10.6342/NTU202400248 Chen, Q., Goldstein, I., & Jiang, W. (2007). Price informativeness and investment sensitivity to stock price. Review of Financial Studies, 20, 619–650. Chen, T.K., Tsai, T.S., & Huang, M.L. (2023). ETF Ownership Level, ETF Ownership Volatility, and Corporate Credit Risk. Journal of Accounting Review, 76, 95–143. Choi, N., Fedenia, M., Skiba, H., & Sokolyk, T. (2017). Portfolio concentration and performance of institutional investors worldwide. Journal of Economics, 123, 189–208. Easley, D., Michayluk, D., O'Hara, M., & Putniņš, T. J. (2021). The active world of passive investing. Review of Finance, 25(5), 1433–1471. Edmans, A. (2009). Blockholder trading, market efficiency, and managerial myopia. The Journal of Finance, 64, 2481–2513. Edmans, A., Fang, V. W., & Zur, E. (2013). The effect of liquidity on governance. Review of Financial Studies, 26, 1443–1482. Ferreira, D., Ferreira, M. A., & Raposo, C. C. (2011). Board structure and price informativeness. Journal of Financial Economics, 99(3), 523–545. Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67, 22–47. Goldman, E., Sun, Z., & Zhou, X. (2016). The effect of management design on the portfolio concentration and performance of mutual funds. Financial Analysts Journal, 72, 49–61. Israeli, D., Lee, C. M. C., & Sridharan, S. A. (2017). Is there a dark side to exchange-traded funds? An information perspective. Review of Accounting Studies, 22, 1048–1083. Ivković, Z., Sialm, C., & Weisbenner, S. (2008). Portfolio concentration and the performance of individual investors. Journal of Financial and Quantitative Analysis, 43, 613–655. El Kalak, I., & Tosun, O. K. (2022). ETF ownership and corporate cash holdings. European Financial Management, 28, 1308–1346. El Kalak, I., Hudson, R., & Tosun, O. K. (2023). Engaged ETFs and firm performance. European Financial Management, 30, 1708–1756. Kandel, E., Massa, M., & Simonov, A. (2011). Do small shareholders count? Journal of Financial Economics, 101, 641–665. Liu, C. J. (2019). The impact of ETF ownership on Taiwanese corporate investment [Master’s thesis, National Chengchi University]. National Chengchi University Repository. https://doi.org/10.6814/NCCU201900474 Sai, M., & Yamada, K. (2025). Does passive ownership affect corporate governance? Evidence from the Bank of Japan’s ETF purchasing program. Research in International Business and Finance, 77(2025), 102924 Schmidt, C., & Fahlenbrach, R. (2017). Do exogenous changes in passive institutional ownership affect corporate governance and firm value? Journal of Financial Economics, 124, 285–306. Sedgwick, J. (2024, May 27). Taiwan ETF issuers to pull in $420mn in fees this year. Ignites Asia. https://www.ft.com/content/e4975157-ec6d-4c1f-9181-11de2422ddbd Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of Political Economy, 94, 461–488.
描述 碩士
國立政治大學
金融學系
112352025
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352025
資料類型 thesis
dc.contributor.advisor 金帛春zh_TW
dc.contributor.advisor Kim, Baek-Chunen_US
dc.contributor.author (Authors) 蔡有容zh_TW
dc.contributor.author (Authors) Tsai, Yu-Jungen_US
dc.creator (作者) 蔡有容zh_TW
dc.creator (作者) Tsai, Yu-Jungen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:32:33 (UTC+8)-
dc.date.available 4-Aug-2025 14:32:33 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:32:33 (UTC+8)-
dc.identifier (Other Identifiers) G0112352025en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158590-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 112352025zh_TW
dc.description.abstract (摘要) 本研究探討指數股票型基金（ETF）是否以及如何影響台灣企業的績效。我們使用2009年至2024年的台灣上市公司季度面板資料，建構出一個公司層級的加權平均ETF持股集中度指標，該指標同時反映ETF的持股比例與其投資組合的集中程度。研究結果顯示，ETF集中度與企業績效（以資產報酬率ROA與股東權益報酬率ROE衡量）之間存在顯著的正向關係。 為處理內生性問題，我們採用兩階段最小平方法（2SLS）並使用工具變數，以建立ETF集中度對企業績效的因果關係。我們進一步探討三種潛在的影響機制：（1）公司治理、（2）退出機制、以及（3）股價資訊性。研究發現，公司治理機制最具說服力，ETF集中度較高的公司，其TESG治理品質得分顯著較高；而退出機制則未顯示出顯著效果。至於股價資訊性方面，ETF集中度與報酬非同步性及Amihud流動性指標呈正向關聯，但其經濟影響相對有限，顯示該機制可能為輔助性但具補充性的傳導途徑。 整體而言，本研究指出，在新興市場中，當被動型機構投資人的持股達到一定集中程度時，確實會對企業經營成果產生實質影響。zh_TW
dc.description.abstract (摘要) This study examines whether and how Exchange Traded Funds (ETFs) influence firm performance in Taiwan. Using quarterly panel data from 2009 to 2024 on Taiwanese listed firms, we construct a firm-level measure of weighted-average ETF concentration that captures both the ownership stake and the portfolio focus of ETFs. Our results show a significant positive relationship between ETF concentration and firm performance, measured by return on assets (ROA) and return on equity (ROE). We address the endogeneity concerns by using 2SLS with instrumental variables to link ETF concentration causally to firm performance . We explore three mechanisms: (1) corporate governance, (2) exit behavior, and (3) price informativeness. We find strong support for the governance channel, as firms with higher ETF concentration exhibit better governance quality, measured by TESG scores. There is no significant evidence supporting the exit mechanism. As for price informativeness, ETF concentration is positively associated with nonsynchronicity and Amihud illiquidity, though the economic effect is modest. This suggests a secondary but complementary transmission channel. Overall, this study highlights that passive institutional investors exert real influence on firm outcomes in emerging markets when their ownership is sufficiently concentrated.en_US
dc.description.tableofcontents 摘要 1 Abstract 2 Content 3 List of Figure 5 List of Tables 6 1. Introduction 7 2. Main hypothesis development 10 3. Research design 12 3.1 Data 12 3.2 Variable definition 13 3.3 Summary 14 3.4 Empirical design 15 4. Main Results 17 4.1 Baseline Findings 17 4.2 Economic channel 19 4.2.1 Governance channel 19 4.2.2 Exit channel 20 4.2.3 Price Informativeness Channel 22 4.3 Addressing endogeneity problem 23 4.4 Robustness check 26 4.4.1 Persistence over Future Quarters. 26 4.4.2 Controlling for Past Performance. 27 5. Conclusion 31 References 33 Appendix: Variable Definitions 35zh_TW
dc.format.extent 2178807 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352025en_US
dc.subject (關鍵詞) 指數股票型基金zh_TW
dc.subject (關鍵詞) 投資組合集中度zh_TW
dc.subject (關鍵詞) 公司績效zh_TW
dc.subject (關鍵詞) 公司治理zh_TW
dc.subject (關鍵詞) 被動投資者zh_TW
dc.subject (關鍵詞) 資訊效率zh_TW
dc.subject (關鍵詞) Exchange Traded Fundsen_US
dc.subject (關鍵詞) Portfolio Concentrationen_US
dc.subject (關鍵詞) Firm Performanceen_US
dc.subject (關鍵詞) Corporate Governanceen_US
dc.subject (關鍵詞) Passive Investorsen_US
dc.subject (關鍵詞) Information Efficiencyen_US
dc.title (題名) ETF集中度與公司績效zh_TW
dc.title (題名) ETF Concentration and Firm Performanceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Antoniou, C., Li, F. W., Liu, X., Subrahmanyam, A., & Sun, C. (2023). Exchange-traded funds and real investment. Review of Financial Studies, 36, 1043–1093. Appel, I. R., Gormley, T. A., & Keim, D. B. (2016). Passive investors, not passive owners. Journal of Financial Economics, 121, 111–141. Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? The Journal of Finance, 73, 2471–2535. Borochin, P., & Yang, J. (2017). The effects of institutional investor objectives on firm valuation and governance. Journal of Financial Economics, 126, 171–199. Chen, H.C. (2024). Combining TESG scores with financial data: Observing the performance of Taiwan listed companies [Master’s thesis, National Taiwan University]. National Taiwan University Repository. https://doi.org/10.6342/NTU202400248 Chen, Q., Goldstein, I., & Jiang, W. (2007). Price informativeness and investment sensitivity to stock price. Review of Financial Studies, 20, 619–650. Chen, T.K., Tsai, T.S., & Huang, M.L. (2023). ETF Ownership Level, ETF Ownership Volatility, and Corporate Credit Risk. Journal of Accounting Review, 76, 95–143. Choi, N., Fedenia, M., Skiba, H., & Sokolyk, T. (2017). Portfolio concentration and performance of institutional investors worldwide. Journal of Economics, 123, 189–208. Easley, D., Michayluk, D., O'Hara, M., & Putniņš, T. J. (2021). The active world of passive investing. Review of Finance, 25(5), 1433–1471. Edmans, A. (2009). Blockholder trading, market efficiency, and managerial myopia. The Journal of Finance, 64, 2481–2513. Edmans, A., Fang, V. W., & Zur, E. (2013). The effect of liquidity on governance. Review of Financial Studies, 26, 1443–1482. Ferreira, D., Ferreira, M. A., & Raposo, C. C. (2011). Board structure and price informativeness. Journal of Financial Economics, 99(3), 523–545. Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67, 22–47. Goldman, E., Sun, Z., & Zhou, X. (2016). The effect of management design on the portfolio concentration and performance of mutual funds. Financial Analysts Journal, 72, 49–61. Israeli, D., Lee, C. M. C., & Sridharan, S. A. (2017). Is there a dark side to exchange-traded funds? An information perspective. Review of Accounting Studies, 22, 1048–1083. Ivković, Z., Sialm, C., & Weisbenner, S. (2008). Portfolio concentration and the performance of individual investors. Journal of Financial and Quantitative Analysis, 43, 613–655. El Kalak, I., & Tosun, O. K. (2022). ETF ownership and corporate cash holdings. European Financial Management, 28, 1308–1346. El Kalak, I., Hudson, R., & Tosun, O. K. (2023). Engaged ETFs and firm performance. European Financial Management, 30, 1708–1756. Kandel, E., Massa, M., & Simonov, A. (2011). Do small shareholders count? Journal of Financial Economics, 101, 641–665. Liu, C. J. (2019). The impact of ETF ownership on Taiwanese corporate investment [Master’s thesis, National Chengchi University]. National Chengchi University Repository. https://doi.org/10.6814/NCCU201900474 Sai, M., & Yamada, K. (2025). Does passive ownership affect corporate governance? Evidence from the Bank of Japan’s ETF purchasing program. Research in International Business and Finance, 77(2025), 102924 Schmidt, C., & Fahlenbrach, R. (2017). Do exogenous changes in passive institutional ownership affect corporate governance and firm value? Journal of Financial Economics, 124, 285–306. Sedgwick, J. (2024, May 27). Taiwan ETF issuers to pull in $420mn in fees this year. Ignites Asia. https://www.ft.com/content/e4975157-ec6d-4c1f-9181-11de2422ddbd Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of Political Economy, 94, 461–488.zh_TW