本地機構投資人與資訊不對稱之關聯性研究

The relationship between Local Institutional Investors and Information Asymmetry

陳姿伶(Chen Tzuling)

指導教授 ： 何加政

國立中正大學/管理學院/財務金融學系/碩士(2012年)

摘要

本研究以地理因素作為資訊不對稱之代理變數，欲了解本地機構投資人是否具有資訊優勢，研究期間為2001年至2010年，以台灣上市公司為樣本，主要研究議題分成三個部分：第一部分驗證本地及非本地機構投資人當季持股比率對於下一季股票報酬率是否具有預測性，實證結果顯示本地機構投資人具有預測能力，而非本地機構投資人則否。第二部分進一步探討本地機構投資人對於未來股票報酬之預測能力，是源自於股票需求衝擊抑或是資訊優勢，參考Baik，Kang and Kim(2010)之研究方法，採用本地機構投資人持股比率作為股票需求衝擊之代理變數，本地機構投資人持股比率之變動作為資訊優勢之代理變數，檢驗兩者與下一季股票報酬之關聯性，實證結果顯示出本地機構投資人對於股票報酬之預測性是來自於資訊優勢，而非股票需求衝擊。第三部分則探討高與低持股變動投資組合與下一季股票報酬是否存在關聯性，實證結果發現高持股變動投資組合與下一季股票報酬存在影響性，低持股變動投資組合則否。

關鍵字

機構投資人 ； 資訊不對稱 ； 持股比率

並列摘要

Using institutional investors’geographic proximity as a proxy, this paper examines the relationship between local institutional investors and informational advantage on Taiwan listed company during 2001-2010. First, we test whether the current levels of local and nonlocal institutional ownership predict future stock returns. We find that the local institutional investors are able to predict future stock returns. Moreover, we test the return forecasting power of the level of local institutional ownership is attributed to institutional demand shocks or informational advantage. We refer to Baik，Kang and Kim(2010), using the level of lagged institutional ownership as a proxy for demand shocks and the change in institutional ownership as informational advantage. We find that the change in local institutional ownership is positively related to future returns. It supports the view that informational advantage drives the return forecasting power of the level of local institutional ownership. Finally, we examine whether the high and low level of the change in local institutional ownership have effect on future returns. We find that the high level of the change in local institutional ownership is related to future return.

並列關鍵字

institutional ownership ； institutional investors ； information asymmetry

參考文獻

郭富源，2007，「外資買賣超對投資績效的影響－以台灣50指數為例」，國立中央大學財務金融研究所碩士論文

張文聰，2005，「台灣地區外資高持股投資行為探討」，國立成功大學政治經濟研究所碩士論文

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Baika, B., Kang, JK., and Kim, JM., 2010, “Local Institutional Investors, Information Asymmetries, and Equity Returns”, Journal of Financial Economics 97, 81-106.