資訊揭露程度與內涵對機構投資人持股的影響

The Impact of Information Disclosure Level and Content on the Institutional Investors' Shareholdings

丁秀儀(Hsiu-I Ting) ； 黃勇達(Yung-Ta Huang)

《證券市場發展季刊》 22卷3期 (2010/10) Pp. 39-74

https://doi.org/10.6529/RSFM.2010.22(3).2

摘要

本研究之貢獻在於整合不同構面的資訊揭露程度衡量方式，並連結股票報酬同步性觀察公司股票報酬隱含的資訊內容以分析機構投資人之持股策略。研究發現資訊揭露評鑑結果對機構投資人有正面的影響；資訊內涵方面，股票報酬中隱含愈多公司特有資訊愈容易吸引機構投資人持股。穩健性檢驗中考量不同的資訊揭露程度與控制變數衡量方式、排除機構投資人持股比例為零的樣本、採股票報酬同步性高的子樣本、或對極端值進行處理後，都得到一致的結果。考量資訊揭露程度的內生性問題，以兩階段最小平方法估計聯立方程組，資訊揭露程度的係數仍為正值。

關鍵字

資訊揭露 ； 股票報酬同步性 ； 機構投資人

並列摘要

The contribution of the paper is to integrate several concepts to measure the information disclosure, and to investigate the influence of the information disclosure and the stock return synchronicity on the institutional investors' shareholdings. The information disclosure evaluated by SFI (Securities and Futures Institute) shows a positive impact on the institutional investors. In terms of the information content, when the firms' stock returns comprise more firm specific information they would be more attractive to the institutional investors. In the robust test, the regression models are reestimated using different information disclosure and control variable measurements, and the subsample of high stock return synchronicity. We also delete the firms with zero institutional holdings and deal with the outlier issue in the robustness and the results remain the same. Considering the endogeneity of the information disclosure, we adopt TSLS (Two-Stage Least Square) to estimate the simultaneous equations. The coefficient of the information disclosure remains positive.

並列關鍵字

Information Disclosure ； Stock Return Synchronicity ； Institutional Investors

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