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標題: 台灣股票市場外資法人與投信法人之投資偏好與公司價值之關係探討 — 以投資偏誤概念實證研究
Relationship Between Firm Value and Investment Preference of Foreign Investment Investor and Investment Trust Investor in Taiwan Stock Market ---- Empirical Study with Home Bias Concept
作者: 黃伯承
Huang, Po-Chen
關鍵字: foreign investment investor;外資法人;investment trust investon;home bias;stock ownership concentration;firm value;投信法人;公司價值;投資偏誤;股權集中度
出版社: 財務金融系所
引用: 中文部份 1. 林炎會,1994,「外資對台灣證券市場股價之影響」,國立中興大學企業管理研究所碩士論文。 2. 林珈汶,1996,「外國法人持股比例變動對股票報酬率之影響」,國立中興大學企業管理研究所碩士論文。 3. 廖世魁,1996,「國內、外法人機構對國內股市影響效果之探討」,淡江大學管理科學研究所碩士論文。 4. 陳俊明,1997,「共同基金持股偏好之研究」,國立中正大學會計研究所未出版碩士論文。 5. 劉慧欣,1997,「外國機構投資人交易策略與交易行為對我國股市衝擊之研究」,國立政治大學財務管理研究所未出版碩士論文。 6. 高妮瑋,1999,「機構投資人持股偏好與績效之研究」,國立中正大學財務金融研究所未出版碩士論文。 7. 黃于珍,1999,「外資交易行為對台灣股市之影響」,輔仁大學管理學研究所碩士論文。 8. 湯慧玲,2000,「外國專業投資機構持股策略與投資標的財務屬性關聯性之研究」,國立政治大學會計學系研究所謂出版碩士論文。 9. 周舒屏,2004,「國際機構權益投資偏好成因之探討」,政治大學財務管理研究所未出版碩士論文 英文部份 1. Ahearne, A., Griever, W., Warnock, F. 2004. Information Costs and Home Bias : An Analysis of U.S. Holdings of Foreign Equities. Journal of International Economics 62, 313-336. 2. Badrinath, S.G., Kale, J.R. and Noe, T.H. 1995. On Shepherds, sheep ,and the cross-autocorrelations in equity returns. The Review of Financial Studies8, 401-403 3. Bekaert, G., Harvey, C. 2000. Foreign speculators and emerging equity markets. Journal of Finance 55,565-613. 4. Brealey, R., Cooper, I., Kaplanis, E. 1999. What is international dimension of international finance ? European Finance Review 3, 103-119. 5. Chan, K., Covrig, V., Ng, L. 2005. What Determines the Domestic Bias and Foreign Bias ? Evidence from Mutual Fund Equity Allocations Worldwide. Journal of Finance 60, 1495-1534. 6. Chan, K., Covrig, V., Ng, L. ,2007. Does Home Bias Affect Firm Value? Evidence from Holdings of Mutual Funds Worldwide. Working Paper 7. Chari, A., Henry, P. 2004. Risk sharing and asset prices: Evidence from a natural experiment. Journal of Finance 59, 1295-1324. 8. Claessens, S., Djankov, S., Fan, J., Lang, L. 2002. Disentangling the incentive and entrenchment effects of large shareholdings. Journal of Finance 57, 2741-2771. 9. Cooper, I., Kaplanis, E. 1994. The implications of the Home Bias in equity portfolios. Business Strategy 5,41-53. 10. Cooper, I., Kaplanis, E. 1994. Home Bias in equity portfolios, inflation hedging, and international capital market equilibrium, Review of Financial Studies 7, 45–60. 11. Coval, J., and Moskowitz, T. 1999. Home Bias at home: Local equity preference in domestic portfolio, Journal of Finance 54, 2045–2073. 12. Covrig, V., Lau, S.T., Ng, L. 2006. Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis. Journal of International Business Studies 37, 407–429 13. Dahlquist, M., Pinkowitz, L. Stulz, R., Williamson, R. 2003. Corporate governance and the Home Bias. Journal of Financial and Quantitative Analysis 38, 87-110. 14. Dahlquist, M., Robertsson, G. 2001. Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics 59, 413-440. 15. Doidge, C., Karolyi, A., Stulz, R. 2004. Why are foreign firms listed in the U.S. worth more? Journal of Financial Economics 71, 205-238 16. Falkenstein, E.G. 1996. Preference for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance 51(1), 111-136. 17. Ferreira, M., Matos, P. 2006. The colors of investors’ money: Which firms attract institutional investors from around the world?, Working paper, University of Southern California. 18. Kang, J., Stulz, R. 1997. Why is there a Home Bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46, 3-28. 19. Lakonishok, J., Shleifer, A., Vishny, R.W. 1992. The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics 32, 23-43 20. Lins, K. 2003. Equity ownership and firm value in emerging markets. Journal of Financial and Quantitative Analysis 38, 159-184. 21. McConnell, J. J. Servas, H. 1990. Additional evidence on equity ownership and corporate value. Journal of Financial Economics 27, 595-612. 22. Merton, R.C. 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510. 23. Miller, D. 1999. The market reaction to international cross-listing: evidence from depositary receipts. Journal of Financial Economics 51, 103-123 24. Morck, R., Shleifer, A., Vishny, R. 1988. Management ownership and market valuation: An empirical analysis. Journal of Financial Economics 20, 293-315. 25. Stapleton, R., Subrahmanyam, M. 1977. Market imperfections, capital market, and equitlibrium, and corporate finance. Journal of Finance 32, 307-319. 26. Stulz, R.M. 1981. On effects of barriers to international investment. Journal of Finance 36, 923-934. 27. Stulz, R.M. 1996. Does the cost of capital differ across countries? An agency perspective. European Financial Management 2, 11-22.
This paper is mainly discussing about two major institutional investors’ stock preference --- foreign investment investor and investment trust investor. This paper is trying to use market portfolio concept, we define each stock’s market portfolio weight as the optimal portfolio weight. We calculate each stock’s real portfolio holding weight in total foreign investment investor’s and investment trust investor’s stock holding portfolio, and use the real portfolio holding weight to minus the optimal portfolio weight. Our study define the difference of these two kinds of weight as bias, therefore we will have two kinds of bias --- foreign bias for foreign investment investor and domestic bias for domestic investment trust investor. This paper is trying to figure out that whether foreign bias and domestic bias effect firm value, and what kind of firm characteristics would affect foreign bias and domestic bias.
We use random effect model to complete our regression analysis and we have two empirical evidence result. First, foreign bias is negatively related to firm value and domestic bias is positively related to firm value. Second, foreign bias and domestic bias are related to firm characteristics such as sales、EPS、ROE….Etc. The most obviously effective firm characteristics variable for two kinds of biases is firm market value, and this result is in accordance with the research of Chan, Ng and Covrig(2005) 、Kang and Stulz(1997).

本研究主要目的是要探討在台灣股票市場當中,在外資法人與投信法人之總投資組合中個股所占之權重比例與個股之市場投資組合權重之比重差距,本研究定義外資法人之投資組合中個股所占其權重比例與個股之市場投資組合權重之比重差距為國外投資偏誤(Foreign Bias)、投信法人之投資組合中個股所占其權重比例與個股之市場投資組合權重之比重差距為國內投資偏誤(Domestic Bias),藉由迴歸分析的方式探討這兩大Bias情況是否會影響公司價值Tobin’s Q值。以及探討主要影響國外投資偏誤(Foreign Bias)與國內投資偏誤(Domestic Bias)之公司特性與原因。研究對象為台灣股票市場上全體上市櫃公司。研究期間為2002-2007年之公司財務報告年資料,利用隨機效果模型(Random Effect Model)實證綜合了橫斷面與時間序列資料性質之追蹤資料(Panel Data)。經本研究實證結果如下:
1. 本研究定義之國外投資偏誤(Foreign Bias)變數與公司價值Tobin’s Q值呈現負向之迴歸關係,表示國外投資偏誤(Foreign Bias)越小之公司會有較高之Tobin’s Q值;而本研究定義之國內投資偏誤(Domestic Bias)與公司價值Tobin’s Q值呈現正向之迴歸關係,表示國內投資偏誤(Domestic Bias)越大會有之公司有較高的Tobin’s Q值。且國內投資偏誤(Domestic Bias)之迴歸係數大於國外投資偏誤(Foreign Bias)之係數表示投信法人之Bias對於公司價值之影響更大。
2. 國外投資偏誤(Foreign Bias)與國內投資偏誤(Domestic Bias)會受營業收入淨額、股價淨值比、每股盈餘、市值等因素影響,其中市值之統計檢定t值最為顯著,與過去研究顯示機構投資人均偏好市值規模大的我國上市公司結果相吻合,而以外資之偏好程度最大。
其他識別: U0005-3006200810292000
Appears in Collections:財務金融學系所

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