指數股票型基金所有權對台灣企業投資的影響

The Impact of ETF Ownership on Taiwanese Corporate Investment

劉晉儒(Liu Chin-Ju)

指導教授 ： 林信助

國立政治大學/商學院/國際經營與貿易學系/碩士(2019年)

https://doi.org/10.6814/NCCU201900474

摘要

隨著指數股票型基金市場規模逐步上升，指數股票型基金為資本市場帶來的影響逐漸受到重視，近來研究顯示當企業股票被指數股票型基金納入成分股，股價所能反映的企業特定資訊含量將受到影響，企業內部經理人進行投資決策時將減少對股價資訊的依賴且可能使企業投資無法達到企業市值極大化的目標。為探討指數股票型基金所有權對企業投資造成的影響，本研究透過兩個模型分別驗證兩大假說: (1). ETF所有權上升為企業投資對股價敏感度帶來負面影響。(2). ETF所有權上升將使企業投資水平無法達到最適水準。本研究結果顯示ETF所有權的上升會為企業投資帶來顯著影響，其影響尤其體現在企業投資對股價敏感度的負面衝擊。ETF所有權在投資對股價敏感度的影響上，因為大型、壽命長、銷售波動度大的企業經理人本身在應對產業及市場不確定性時較小規模、成立年數短且銷售波動度小的企業經理人更加審慎，再者，因對市場資訊掌握更具經驗，此類大型、經營年數長且銷售波動大的企業內部經理人掌握資訊更加充分，當股價因ETF所有權上升而無法提供此類專業經理人未知的額外訊息時，大規模、壽命長、銷售波動度大的企業經理人將傾向減少對股價資訊的依賴，而造成ETF所有權變動為大規模、成立年數長、銷售波動度大的公司之「投資對股價敏感度」帶來更明顯的影響。在對企業投資效率的影響上，由於小規模、成立年數短、低銷售波動的企業在企業特定資訊含量下降時，企業內部經理人本身蒐集資訊的能力與經驗較大規模、壽命長、高度銷售波動的企業經理人不足，因此當ETF所有權比率上升時，本研究的結果發現ETF所有權會使企業投資不足，尤其對規模小、壽命短、銷售波動小的企業更容易造成其資本支出無法達成最適水準。

關鍵字

指數股票型證券投資信託基金 ； ETF所有權 ； 企業投資效率 ； 資本支出 ； 企業投資

並列摘要

With the gradual increase of the size of ETF market, the impact of ETF on the capital market has attracted attentions from the society. Recently, some researches showed that the firm-specific information content would probably be diluted when the stock of the company is included in ETF. Consequently, the internal manager of the company will reduce the dependence on the stock price information when making investment decisions and may make the enterprise investment unable to achieve the optimal level of maximizing the market value of the enterprise. In order to explore the impact of ETF ownership on corporate investment, this study validates two hypotheses through two models: (1). ETF ownership will negatively affect stock price sensitivity of corporate investment. (2). The rise in ETF ownership will make the corporate investment unable to reach the optimal level.
The results of this study show that the rise in ETF ownership will have a significant impact on corporate investment, especially in terms of negative effect of corporate investment on stock price sensitivity. As of the impact on the efficiency of corporate investment, because the investment experience and information of managers of small-scale, short-term established and low-sales fluctuation enterprises are insufficient compared with those of large sized companies, when the company's specific information content declines, higher ETF ownership will make the company under-invested.

並列關鍵字

Exchange traded fund ； ETF ownership ； Corporate investment ； Capital expenditure ； Corporate investment efficiency

參考文獻

西文部份

Aghion, P. and Van Reenen, J. and Zingales, L. (2013), "Innovation and Institutional Ownership." American Economic Review 103, 277-304.

Antoniou, Constantinos and Subrahmanyam, Avanidhar and Tosun, Onur Kemal, ETF Ownership and Corporate Investment (2019). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3184949

Baker, Malcolm P. and Wurgler, Jeffrey A. and Stein, Jeremy C. (2003), "When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms." The Quarterly Journal of Economics 118, 969-1005

Barro, R. (1990), "The Stock Market and Investment." Review of Financial Studies 3, 115-131.