投信持股影響因素之研究

A Study on the Influential Factors of Stock by Investment Trust Company Holdings

黃品凱(Huang Pin-Kai)

指導教授 ： 嚴宗銘

亞洲大學/管理學院/經營管理學系碩士班/碩士(2004年)

摘要

本研究旨在探討投信持股與股票特性間之關係，以個股之報酬率、公司市值、本益比、總資產報酬率、股東權益報酬率及營收成長率等六項股票特性為自變數探討對投信持股的影響，而投信持股則分別以投信買超張數及投信持股比率作為因變數。
研究期間從2001年第二季至2003年第三季，以在台灣證券交易所上市之電子類股為研究對象，採用多元迴歸模型及三階段最小平方法進行實證分析，研究結論發現，高報酬率及低本益比的股票，投信有明顯的買超行為；高報酬率、高股東權益報酬率、高總資產報酬率及高營收成長率的股票，投信持股意願較高。

關鍵字

投信 ； 持股 ； 三階段最小平方法

並列摘要

This study aims to discuss the relation between stock by Investment Trust Company holdings and the characteristic of stocks. The dependent variable was stock’s rate of return, market value, price-earning ratio, return of asset, return of equity and revenue growth rate. The independent variable was the Investment Trust Company Net Buy and the proportion of stock-holding of Investment Trust Company.
Empirical period is from the second quarter of 2001 to the third quarter of 2003. This study focused on the electronic stocks in Taiwan Stock Market. We adopt the multi-regression analysis and three stage least square approach. The research discovers: the Investment Trust Company has obvious buying action toward stocks with high rate of return, and low price-earning ratio, it would like to hold stocks with high rate of return, high return of equity, high return of asset and high revenue growth rate.

並列關鍵字

Investment Trust Company ； stock-holding ； three stage least square approach

參考文獻

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