機構投資人是否擁有資訊不對稱之探討：以由虧轉盈公司為例

本文主要研究目的為探究交易行為對台灣股票市場具有相當影響力的三大法人，其持股對於每股盈餘由虧轉盈個股的影響力，及背後的可能原因。參考Gompers and Metrick(2001)提出的方法，以三大法人的持股比率及持股比率變動，分別做為其獲得個股報酬是由於股票需求衝擊，抑或是其擁有資訊優勢的代理變數，針對2008至2017年台灣地區所有上市上櫃公司，其季財報每股盈餘連續四季虧損而後一季為正盈餘之由虧轉盈個股，使用Fama-Macbeth(1973)所提出的迴歸模式，實證各法人在當季與前一、二季的持股變化對於下一季由虧轉盈個股報酬預測性。研究結果指出，整體法人投資者的持股比率，在前二季能夠預測下一季的由虧轉盈股票報酬率。進一步將三大法人分開討論，投信在前一季的持股比率能夠預測下一季的由虧轉盈公司股票報酬率；自營商在當季以及兩季前的持股比率能夠預測下一季的由虧轉盈股票報酬率。整體而言，在當季以及前1、2季，不論是整體法人還是分別檢驗，有達到統計上顯著的變數皆為持股比率，而持股比率變動項係數皆為不顯著，即在台灣股票市場，不管是外資、投信還是自營商皆對由虧轉盈股票無特別資訊優勢能力，其能獲得下一季股票報酬皆是來自於需求衝擊所導致。

關鍵字

三大法人；由虧轉盈；持股比率

並列摘要

The main purpose of this paper is to explore the relationship between institutional ownership and Taiwan corporates which had “Corporate turnaround” news. We refer to Gompers and Metrick(2001), using past season's institutional ownership as a proxy for demand shocks and the change in institutional ownership as informational advantage. The sample consists of 855 Taiwan corporates that had ever experienced losses for four consecutive quarter and a successful turnaround from 2008 to 2017. We using the regression model proposed by Fama and Macbeth (1973), to find out that whether the institutional ownership and the change in institutional ownership can forecast the stock return of “Corporate turnaround” company. The empirical evidence demostrates that the past two season's institutional ownership can forecast the next quarter stock returns. The past one season's Investment Trust ownership can forecast the next quarter stock returns. Current season's and the past two season's Security Dealer's ownership can forecast the next quarter stock returns. That is to say, in the Taiwan stock market, whether it is Foreign Investor, Investment Trust or Security Dealer, none of them have special information advantage for the “Corporate turnaround" company stocks.