月營收資訊對三大法人投資決策影響之研究

The Influence of Monthly Sales Information on The Investment Strategy of Three Institutional Investors .

蔡毓娟(Yu-Chuan Tsai)

指導教授 ： 黃振豊

淡江大學/管理學院/會計學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00476

摘要

本研究以短窗期探討台灣50成份股，月營收公告前後外資、投信、自營商三大法人個別買賣超成交量之變化，並探究月營收公告之資訊內涵，及其三大法人個別對營收資訊反應程度以及所採取之策略；研究樣本採自TEJ資料庫，研究期間自2008年至2009年。本研究實證發現：(1)月營收公告對三大法人買賣超具資訊內涵。(2)月營收月成長且月營收年成長二訊息同時影響，其三大法人於營收公告日及公告日後1-2日會有顯著反向操作。(3)月營收衰退訊息具壞消息對三大法人淨買賣超影響，較月營收成長好消息訊息顯著。(4)多頭環境公司營收衰退具壞消息對三大法人淨買賣超影響，較空頭環境營收衰退具壞消息顯著。(5)外資、投信、自營商對月營收訊息及多空頭環境中所採取之不同策略及行為：外資-有明顯連續買賣之行為、對營收資訊具領導地位、重視企業月營收訊息。其策略採長期性操作策略，所以對短期營收訊息反應呈持續性反向操作。投信-較不重視營收資訊、有與自營商對做之現象。三大法人中以投信操作最為靈活，對於營收訊息採短線操作策略，以獲取短期訊息之資本利得。自營商-訊息反應落後其他法人，但領先一般投資人；對月營收較上月成長訊息有跟隨外資及投信操作之跡象，其操作採群集策略。則對月營收較去年同期成長訊息，採正向回饋交易策略，呈正向反應，並有短線操作之情形，但不明顯且反應幅度不大。

關鍵字

月營收資訊 ； 三大法人投資策略 ； 成交量

並列摘要

The study discussed the changes in the constituent stocks of the Taiwan 50 Index and the individual trading volume of qualified foreign institutional investors, investment trust and dealers before and after the monthly revenue announcement in terms of short window. The study further explored the information content of monthly revenue announcement in addition to the individual response to revenue accounting and strategies adopted by the three institutional investors. The study samples were taken from the TEJ database with study period from 2008 to 2009.
The empirical discovery of the study consists of the follows：
(1) Monthly revenue announcement contains information content on the overbought/oversold position for the three institutional investors.
(2) Monthly revenue with monthly growth and month revenue with annual growth both affect and show significant reverse operation of the three institutional investors on the day of revenue announcement and in 1~2 days after the revenue announcement.
(3) Monthly revenue decline implies bad news and affects the net overbought/oversold position of the three institutional investors more significantly than the goods news of monthly revenue growth.
(4) The company revenue decline in bull markets implies bad news and affect the net overbought/oversold position of the three institutional investors, more significantly than revenue decline implying bad news in a bear markets.
(5) The different strategies and behaviors adopted by qualified foreign institutional investors, investment trust and dealers for monthly revenue message and bull/bear markets：
A、Qualified Foreign Institutional Investors：
Significant and consecutive transactions with leadership status in revenue accounting and emphasis on the enterprises' monthly revenue messages. Their strategies consist of long-term operational strategies and therefore show consistent reserve operations on short-term revenue messages.
B 、Investment Trust：
Less emphasis on revenue accounting and takes reverse operations with the dealers. The investment trust is the most flexible among the three institutional investors and obtains capital gains on short-term message by adopting short-term operating strategies on revenue messages.
C、Dealer：
Their messages response fall behind other institutional investors however are ahead of the average investors. They tend to follow qualified foreign institutional investors and investment trust on monthly revenue in comparison with the last month's growth message, by adapting cluster strategy. With regards to monthly revenue in comparison with the growth message during the same period of last year, they tend to adopt positive feedback transaction strategies with positive response. They also show short-term operations that are insignificant and modest response.

並列關鍵字

Monthly Revenue Accounting ； Investment Strategy of the Three Institutional Investors ； Trading Volume

參考文獻

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