影響法人ETF持股的決定因素

The Determinants of ETF Holdings for Institutional Investors

顏隨丁(Sui-Ting Yen)

指導教授 ： 賴慧文

元智大學/管理學院/財務金融學系/碩士(2007年)

摘要

本篇論文檢驗法人在投資ETFs時，會受到ETFs本身的那些因素所影響。結果顯示市值較小的ETFs及費用率較高的ETFs，法人的投資比重較高。本篇也檢驗法人在投資ETFs時，是否存在有Gruber (1996) and Zheng (1999)所提出的”Smart Money ”的效果。結果顯示全體法人無法預測未來的報酬，而且即使是各類的法人，都同樣無法預測未來的報酬。

關鍵字

ETF ； 法人持股比率 ； 聰明錢效果

並列摘要

This study examines the factors that influence the decision-making of institutional investors in their ETF investment. The results show that the ETF holdings of institutional investors are significantly negatively related to the size of ETFs and positively related to expense ratios, indicating that institutional investors invest in small-size ETFs for high returns. This study also examines whether “smart money” effect documented by Gruber (1996) and Zheng (1999) reflect ETF selection ability of institutional investors. The results show that institutional investors as a whole could not predict ETF performance. Neither could different types of institutional investors are able to predict future ETF performance and invest accordingly.

並列關鍵字

ETF ； Smart money effect

參考文獻

1. Joel Harper, Jeff Madurab, and Oliver Schnusenberg,

Financial Markets, Institutions and Money 16, 104-122.

2. Yakov Amihud, 2002, “Illiquidity and stock returns:

cross-section and time-series effects”, Journal of

Financial Markets 5, 31-56.