機構投資對股價行為之影響

Investor Clientele and Stock Return Behavior

陳昇龍(Sheng-Lung Chen)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

本研究透過探討機構投資人和股價特徵性風險的關係，來驗證特徵性風險是否可以作為股價資訊性的衡量。機構投資人會對於屬於股票本身的資訊加以評價。故本文假設機構投資人會增加股價特徵性風險。實證結果顯示，若股票擁有較低的機構投資人持股比例、較高的機構投資人交易傾向，則會表現出較高的特徵性風險。本研究假設機構投資人的交易分歧較高代表較高的資訊不確定性，因而有較高的股價特徵性風險。實證結果與假設一致，證明若股票擁有較高的機構投資人的交易分歧時，將擁有較高的股價特徵性風險(以絕對程度衡量)。研究發現，上季以及上上季的股價特徵性風險與當季股價報酬成正相關。若以股價特徵性風險形成投資策略，在小市值以及表現弱勢的投資組合裡使用投資策略，每月平均可獲得1.28%的報酬。

關鍵字

機構投資人 ； 股價波動性 ； 特徵性風險

並列摘要

This research examines in relation to institutional ownership the hypothesis that idiosyncratic risk measures the informativeness of a stock. Institutional holdings enhance the pricing of firm-specific information and therefore are hypothesized to increase a stock's idiosyncratic risk. The empirical results however are mixed in that stocks exhibiting higher idiosyncratic risk tend to be those with lower institutional holdings while with higher institutional investors' trading intensities. This study alternatively tests the hypothesis that high idiosyncratic risk implicates high firm-specific uncertainties. Stocks with greater dispersion in institutional investors' trading indicate greater firm-specific uncertainties and are thus hypothesized to exhibit higher idiosyncratic risk. The empirical evidence is consistent with the hypothesis for idiosyncratic risk measured at its absolute level. In addition, I find that lagged idiosyncratic risk is positively related with stock returns. Investment strategies based on idiosyncratic risk are found to generate an average monthly return of 1.28% using portfolios of small and loser stocks.

並列關鍵字

Institutional Investors ； Return Volatility ； Idiosyncratic Risk

參考文獻

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