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題名 三大法人選股策略與績效表現
The Investment Strategy and Performance of Institutional Investors
作者 余成毅
Yu, Cheng Yi
貢獻者 盧敬植
余成毅
Yu, Cheng Yi
關鍵詞 三大法人
投資組合
投資績效
持股率
買賣超
institutional investors
portfolio
investment performance
shareholding ratio
net buy-and-sell
日期 2015
上傳時間 1-Mar-2016 10:27:04 (UTC+8)
摘要 本研究經過分析台灣股市中三大法人的持股率與買賣超對於公司財務變數與市場變數的的關係，藉由法人的持股選擇觀點，進而組成具有法人選股特性的投資組合，並驗證其是否具有較佳的績效表現與是否具有擊敗大盤的能力。實證結果發現，外資偏向投資於較大報酬波動率與規模的公司，以及較低負債比率與股利殖利率的公司；投信具有偏好較高的股利殖利率、股東權益報酬率、移動平均報酬率之標準差與規模的公司，以及淨價市值比較低的公司；自營商喜歡較高的負債比率、淨值市價比、移動平均報酬率與規模的公司，以及報酬波動率較低的公司。在驗證經由法人的投資特性組成之投資組合表現中，發現投信之投資組合雖具有較高的平均報酬率，但是考量風險因子後，自營商的績效表現較佳，而且都具有擊敗大盤的績效表現。
The study analyzed the relationship between Taiwanese institutional investors’ shareholding ratio or net buy-and-sell and the company`s financial variables and market variables. Using the result of regression to compose a portfolio with the characteristics of institutional investors, and verification whether it has a better performance than the stock market index.
The empirical results show that foreign investors tend to invest in the company with larger volatility and size, and also lower debt ratio and dividend yield; Investment trust investors with a preference for high dividend yields, return on equity, the long-term volatility and size of the company, and tend to invest in lower book-to-market ratio of the company; Dealers like high debt ratio, book-to-market ratio, size and momentum, and also preference for the company of lower volatility.
The performance of the portfolio with institutional investors’ characteristics, we found that the investment trust`s portfolio had highest average rate of return, but after consideration of risk factors, dealers had better performance. Both of the portfolio beat the stock market index’s performance.
參考文獻 王秀平（2006），「法人持股比例對台灣初次上市公司股票長期報酬的影響」，國立政治大學財務管理研究所未出版碩士論文。
林可依（2003），「台灣上市股市三大法人買賣超是否可提供投資人短期獲利機會？」，國立東華大學國際經濟研究所未出版碩士論文。
周舒屏（2004），「國際機構權益投資偏好成因之探討」，國立政治大學財務管理研究所未出版碩士論文。
高妮瑋（2000），「機構投資人持股偏好與績效之研究」，國立中正大學會計研究所未出版碩士論文。
蔣玲鈺（2007），「三大法人持股偏好與買賣超星期效果之實證研究」，淡江大學管理科學研究所未出版碩士論文。
Aggarwal, R., et al. (2005). "Portfolio preferences of foreign institutional investors." Journal of Banking & Finance 29(12): 2919-2946.
Badrinath, S. G., et al. (1989). "Patterns of Institutional Investment, Prudence, and the Managerial Safety-Net Hypothesis." Journal of Risk and Insurance 56(4): 605-629.
Badrinath, S. G., et al. (1995). "Of Shepherds, Sheep, and the Cross-Autocorrelations in Equity Returns." Review of Financial Studies 8(2): 401-430.
Bathala, C. T., Ma, C. K. and Rao, R. P. (2005). "What Stocks Appeal to Institutional Investors?" The Journal of Investing 14, 14 -24.
Chan, L. K. C. and J. Lakonishok (1995). "The Behavior of Stack Prices around Institutional Trades." Journal of Finance 50(4): 1147-1174.
Choe, H., et al. (1999). "Do foreign investors destabilize stock markets? The Korean experience in 1997." Journal of Financial Economics 54(2): 227-264.
Chui, A. C. W., Titman, S. and Wei, K. C. (2000). "Momentum, legal systems and ownership structure: An analysis of Asian stock markets." Working paper.
Del Guercio, D. (1996). "The distorting effect of the prudent-man laws on institutional equity investments." Journal of Financial Economics 40, 31-62.
Eakins, S. G., Stansell, S. R. and Buck, J. F. (1998). "Analyzing the Nature of Institutional Demand for Common Stocks." Quarterly Journal of Business and Economics 37, 33-48.
Eakins, S. G., Stansell, S. R. and Wertheim, P. E. (1998). "Institutional Portfolio Composition: An Examination of the Prudent Investment Hypothesis." Quarterly Review of Economics and Finance 38, 93-109.
Ferreira, M. A. and P. Matos (2008). "The colors of investors` money: The role of institutional investors around the world." Journal of Financial Economics 88(3): 499-533.
Grinblatt, M. and M. Keloharju (2000). "The investment behavior and performance of various investor types: a study of Finland`s unique data set." Journal of Financial Economics 55(1): 43-67.
Gompers, P. A. and Metrick, A. (2001). "Institutional Investor and Equity Prices." Quarterly Journal of Economics 116, 229-259.
Hessel, C. A. and Norman, M. (1992). "Financial Characteristics of Neglected and Institutionally Held Stocks." Journal of Accounting, Auditing & Finance 7, 313-334.
Kang, J. K. and R. M. Stulz (1997). "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan." Journal of Financial Economics 46(1): 3-28.
Kothare, M. and Laux, P. A. (1995). "Trading Costs and the Trading Systems for NASDAQ Stock." Financial Analysts Journal 51, 42 -53.
Lakonishok, J., et al. (1992). "The Impact of Institutional Trading on Stock-Prices." Journal of Financial Economics 32(1): 23-43.
Merton, R. C. (1987). "A Simple-Model of Capital-Market Equilibrium with Incomplete Information." Journal of Finance 42(3): 483-510.
Shores, D. (1990). "The Association between Interim Information and Security Returns Surrounding Earnings Announcements." Journal of Accounting Research 28(1): 164-181.
Tong, S. and Ning Y. (2004). "Does Capital Structure Affect Institutional Investor Choices?" The Journal of Investing 13, 53 -64.
Yan, X. S. and Zhang, Z. (2009). "Institutional investors and equity returns: Are short-term institutions better informed?" Review of Financial Studies 22, 893–924.
描述 碩士
國立政治大學
財務管理研究所
102357030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357030
資料類型 thesis
dc.contributor.advisor 盧敬植zh_TW
dc.contributor.author (Authors) 余成毅zh_TW
dc.contributor.author (Authors) Yu, Cheng Yien_US
dc.creator (作者) 余成毅zh_TW
dc.creator (作者) Yu, Cheng Yien_US
dc.date (日期) 2015en_US
dc.date.accessioned 1-Mar-2016 10:27:04 (UTC+8)-
dc.date.available 1-Mar-2016 10:27:04 (UTC+8)-
dc.date.issued (上傳時間) 1-Mar-2016 10:27:04 (UTC+8)-
dc.identifier (Other Identifiers) G0102357030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81461-
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) 102357030zh_TW
dc.description.abstract (摘要) 本研究經過分析台灣股市中三大法人的持股率與買賣超對於公司財務變數與市場變數的的關係，藉由法人的持股選擇觀點，進而組成具有法人選股特性的投資組合，並驗證其是否具有較佳的績效表現與是否具有擊敗大盤的能力。實證結果發現，外資偏向投資於較大報酬波動率與規模的公司，以及較低負債比率與股利殖利率的公司；投信具有偏好較高的股利殖利率、股東權益報酬率、移動平均報酬率之標準差與規模的公司，以及淨價市值比較低的公司；自營商喜歡較高的負債比率、淨值市價比、移動平均報酬率與規模的公司，以及報酬波動率較低的公司。在驗證經由法人的投資特性組成之投資組合表現中，發現投信之投資組合雖具有較高的平均報酬率，但是考量風險因子後，自營商的績效表現較佳，而且都具有擊敗大盤的績效表現。zh_TW
dc.description.abstract (摘要) The study analyzed the relationship between Taiwanese institutional investors’ shareholding ratio or net buy-and-sell and the company`s financial variables and market variables. Using the result of regression to compose a portfolio with the characteristics of institutional investors, and verification whether it has a better performance than the stock market index.
The empirical results show that foreign investors tend to invest in the company with larger volatility and size, and also lower debt ratio and dividend yield; Investment trust investors with a preference for high dividend yields, return on equity, the long-term volatility and size of the company, and tend to invest in lower book-to-market ratio of the company; Dealers like high debt ratio, book-to-market ratio, size and momentum, and also preference for the company of lower volatility.
The performance of the portfolio with institutional investors’ characteristics, we found that the investment trust`s portfolio had highest average rate of return, but after consideration of risk factors, dealers had better performance. Both of the portfolio beat the stock market index’s performance.		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
第三節 三大法人簡介 4
第二章 文獻探討 10
第一節 機構法人投資行為之文獻探討 10
第二節 機構法人持股偏好之文獻探討 11
第三節 機構法人買賣超特性之文獻探討 13
第三章 研究方法 15
第一節 資料與樣本 15
第二節 研究變數定義與假說 16
第三節 研究方法與模型 20
第四章 實證結果與分析 24
第一節 敘述統計分析 24
第二節 三大法人持股比率與各變數之關聯性分析 27
第三節 三大法人投資比率與各變數之關聯性分析 30
第四節 三大法人買賣超與各變數之關聯性分析 31
第五節 投資組合組成與績效表現 33
第五章 結論與建議 36
第一節 結論 36
第二節 後續研究建議 38
參考文獻 40		zh_TW
dc.format.extent 780243 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357030en_US
dc.subject (關鍵詞) 三大法人zh_TW
dc.subject (關鍵詞) 投資組合zh_TW
dc.subject (關鍵詞) 投資績效zh_TW
dc.subject (關鍵詞) 持股率zh_TW
dc.subject (關鍵詞) 買賣超zh_TW
dc.subject (關鍵詞) institutional investorsen_US
dc.subject (關鍵詞) portfolioen_US
dc.subject (關鍵詞) investment performanceen_US
dc.subject (關鍵詞) shareholding ratioen_US
dc.subject (關鍵詞) net buy-and-sellen_US
dc.title (題名) 三大法人選股策略與績效表現zh_TW
dc.title (題名) The Investment Strategy and Performance of Institutional Investorsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 王秀平（2006），「法人持股比例對台灣初次上市公司股票長期報酬的影響」，國立政治大學財務管理研究所未出版碩士論文。
林可依（2003），「台灣上市股市三大法人買賣超是否可提供投資人短期獲利機會？」，國立東華大學國際經濟研究所未出版碩士論文。
周舒屏（2004），「國際機構權益投資偏好成因之探討」，國立政治大學財務管理研究所未出版碩士論文。
高妮瑋（2000），「機構投資人持股偏好與績效之研究」，國立中正大學會計研究所未出版碩士論文。
蔣玲鈺（2007），「三大法人持股偏好與買賣超星期效果之實證研究」，淡江大學管理科學研究所未出版碩士論文。
Aggarwal, R., et al. (2005). "Portfolio preferences of foreign institutional investors." Journal of Banking & Finance 29(12): 2919-2946.
Badrinath, S. G., et al. (1989). "Patterns of Institutional Investment, Prudence, and the Managerial Safety-Net Hypothesis." Journal of Risk and Insurance 56(4): 605-629.
Badrinath, S. G., et al. (1995). "Of Shepherds, Sheep, and the Cross-Autocorrelations in Equity Returns." Review of Financial Studies 8(2): 401-430.
Bathala, C. T., Ma, C. K. and Rao, R. P. (2005). "What Stocks Appeal to Institutional Investors?" The Journal of Investing 14, 14 -24.
Chan, L. K. C. and J. Lakonishok (1995). "The Behavior of Stack Prices around Institutional Trades." Journal of Finance 50(4): 1147-1174.
Choe, H., et al. (1999). "Do foreign investors destabilize stock markets? The Korean experience in 1997." Journal of Financial Economics 54(2): 227-264.
Chui, A. C. W., Titman, S. and Wei, K. C. (2000). "Momentum, legal systems and ownership structure: An analysis of Asian stock markets." Working paper.
Del Guercio, D. (1996). "The distorting effect of the prudent-man laws on institutional equity investments." Journal of Financial Economics 40, 31-62.
Eakins, S. G., Stansell, S. R. and Buck, J. F. (1998). "Analyzing the Nature of Institutional Demand for Common Stocks." Quarterly Journal of Business and Economics 37, 33-48.
Eakins, S. G., Stansell, S. R. and Wertheim, P. E. (1998). "Institutional Portfolio Composition: An Examination of the Prudent Investment Hypothesis." Quarterly Review of Economics and Finance 38, 93-109.
Ferreira, M. A. and P. Matos (2008). "The colors of investors` money: The role of institutional investors around the world." Journal of Financial Economics 88(3): 499-533.
Grinblatt, M. and M. Keloharju (2000). "The investment behavior and performance of various investor types: a study of Finland`s unique data set." Journal of Financial Economics 55(1): 43-67.
Gompers, P. A. and Metrick, A. (2001). "Institutional Investor and Equity Prices." Quarterly Journal of Economics 116, 229-259.
Hessel, C. A. and Norman, M. (1992). "Financial Characteristics of Neglected and Institutionally Held Stocks." Journal of Accounting, Auditing & Finance 7, 313-334.
Kang, J. K. and R. M. Stulz (1997). "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan." Journal of Financial Economics 46(1): 3-28.
Kothare, M. and Laux, P. A. (1995). "Trading Costs and the Trading Systems for NASDAQ Stock." Financial Analysts Journal 51, 42 -53.
Lakonishok, J., et al. (1992). "The Impact of Institutional Trading on Stock-Prices." Journal of Financial Economics 32(1): 23-43.
Merton, R. C. (1987). "A Simple-Model of Capital-Market Equilibrium with Incomplete Information." Journal of Finance 42(3): 483-510.
Shores, D. (1990). "The Association between Interim Information and Security Returns Surrounding Earnings Announcements." Journal of Accounting Research 28(1): 164-181.
Tong, S. and Ning Y. (2004). "Does Capital Structure Affect Institutional Investor Choices?" The Journal of Investing 13, 53 -64.
Yan, X. S. and Zhang, Z. (2009). "Institutional investors and equity returns: Are short-term institutions better informed?" Review of Financial Studies 22, 893–924.		zh_TW