三大法人持股變化及成交比重與公司價值之關聯性分析

Correlation Analysis for Institutional investors Shareholding Change and Turnover Ratio on Firm Value

王舒嬿(Shu-Yen Wang)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系碩士班/碩士(2018年)

https://doi.org/10.6846/TKU.2018.00544

摘要

本研究以2012到2016年台灣上市上櫃公司為研究樣本，上市上櫃探討法人持股變化與法人成交比重對公司價值之影響。在加入股權結構及財報變數等控制變數。由實證結果得到以下發現：其一、公司價值越高的標的，似乎亦為法人所青睞的標的，此乃是法人持股的標的一般而言市價淨值比較高的績優公司居多。其二、融資券較高的標的，亦為公司價值較高的標的，此可能源自於內線揭露前內部人士融資持股，股價揚升後，融券被軋空，進而提升股價，致使公司價值提升。其三、法人交易比重高的標的，大都為基本面較佳，公司價值較高的標的，然而信用交易比重越高的標的物，往往以小型股、投機股交易或當沖交易居多，這些一般而言大多屬於公司價值不高的標的。

關鍵字

股權結構 ； 法人持股變化 ； 法人成交比重 ； 公司價值 ； 融資融券

並列摘要

By employing the firms listed in TWSE over the period 2012-2016 as the sample, this study explores whether the firm value would be affected by either the holding ratio of institutional investors or the trading amount of institutional investors after incorporating board structure, financial and others controlling variables. We then reveal several important findings as follows.
First, the firms with higher firm value seem appealed by institutional investors. We infer that the results might result from that the firms with better performance often high price-book ratio.
Second, we also reveal that the firms with higher margin and short selling ratio are the firms with higher firm value. We deduce that insiders might margin buy shares after insider information derived resulting in share prices risen, which might appeal investors short-sell stocks resulting in share prices further increased, and firm value enhanced.
Third, institutional investors prefer holding the targets with better fundamentals, and these firms often have higher firm value. However, most of the stocks with higher credit trading amount are attributed to small-size even speculative targets, and these firms might not have higher firm value.

並列關鍵字

Institutional investors shareholding change ； Institutional investors turnover ratio ； Margin ； Firm Value Board ； structure

參考文獻

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