外資法人持股比例與股票評價攸關性之研究

Foreign Institutional Holdings and Value Relevance in Stock Valuation

留思敏(Si-Min Liu)

指導教授 ： 王泰昌

共同指導教授 ： 劉嘉雯

國立臺灣大學/管理學院/會計學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.03261

摘要

本研究主要討論三個主題：台灣上市公司﹝金融業除外﹞自1994至2007年價值攸關性之變化、外資法人持股比例與股票評價攸關性，以及外資法人在被投資者中所扮演的角色。本研究利用「盈餘—帳面值—股價」的關聯模型，以及盈餘投資組合法檢驗攸關性之變化，發現台灣盈餘與權益帳面值的股價評價攸關性，在2005至2007年有明顯的提升，此外，攸關性之走勢在2001年以後也明顯較2001年以前平穩。此現象與台灣自2001年解除外資持股上限、2002年加入世界貿易組織WTO以及近十年來之會計變革或有相關。
本研究著眼外資法人持股比重越來越高，以及持股比例係一量化指標，採用Dhaliwal et al. (2005) 之方法，將外資法人持股比例加入市場評價模型，探討此因素是否會影響每股盈餘、每股帳面價值在股價評價攸關性之權重，實證結果顯示外資持股比重越高的公司，盈餘在有利潤之公司的股價評價權重越高，權益帳面值則是在有損失公司之評價權重越高。此外，本研究分別以資產報酬率、股東權益報酬率、負債比率控制財務健全度以後，外資法人持股比例對於正、負盈餘公司的盈餘、權益帳面值的評價權重仍有顯著且相同方向之影響，顯示市場認為外資機構投資人除了在持股選擇上扮演受託人與善盡忠實義務之角色以外，同時也在被投資公司之中扮演長期治理監督的角色。

關鍵字

外資 ； 外資法人 ； 價值攸關性

並列摘要

Following Taiwan’s deregulation of foreign investor’s stock holdings limits in 2001, the increase in the level of foreign institutional investment has posed great opportunity for Taiwan accounting academia to study investment behaviors, holding preferences of this new set of trader and its impact on Taiwan stock market. This study aims to study three topics: first, trend of value relevance in Taiwan from 1994 to 2007; second, the relationship between foreign institutional holdings and the extent investors utilize accounting numbers in stock valuation; and third, the roles foreign institutional investors play in their investees.
By market valuation regression models, this study empirically shows that trend of value relevance becomes steadier and higher after 2001; furthermore, higher level of foreign institutional holdings can elevate investors’ reliance on earnings (equity book values) when valuing profit (loss) firms. In addition, this study also suggests that foreign institutional investors not only play fiduciary roles who self select into more financial healthy firm in the very first place; on the other hand, they also play governance roles that have implication of a firm’s long-term profitability. However, in what way and to what extent foreign institutional investors dynamically affect their investees’ operation prospects worth further investigation.

並列關鍵字

foreign institutional investors ； value relevance ； stock valuation

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