三大法人持股偏好，持股變動與盈餘宣告日異常報酬之關係

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Title:	三大法人持股偏好，持股變動與盈餘宣告日異常報酬之關係
Authors:	羅凱筠 Lo, Kai-Yun
Contributors:	蕭慧玲東海大學企業管理學系碩士班
Keywords:	三大法人;持股比率;異常持股;盈餘宣告 institutional investors;share holding of institutional investors;abnormal share holding;earnings announcement
Date:	2006
Issue Date:	2011-03-25T06:01:18Z (UTC)
Abstract:	本研究利用2001年至2005年資料，探討不同機構投資者持股之衡量方式對實證結果是否會有所不同；以及三大法人選股偏好；並驗證機構投資者持股變動與盈餘宣告資訊內涵之關連性，在持股衡量方式上主要利用持股比率以及考量公司大小後的異常持股，並將樣本區分為外資持有、投信持有以及自營商持有的公司，為避免過去研究重疊性過高的問題，所以本研究欲利用法人持股一定比率為區分準則。本研究發現藉由持股比率探討機構投資者持股偏好時，每年的持股比率變動的幅度很小，且只能藉由絕對數字的增加或減少持股來分析法人持股偏好。但法人可能因應公司市值改變而調整投資組合權重，因此機構投資者持股比率雖然增加，但在考量公司大小的影響後，其異常持股可能沒有顯著增加甚至減少。因此，利用異常持股來衡量持股更能看出法人異常持股變動的狀況。三大法人的選股偏好是有差異的，整體而言，外資偏好資本結構穩定、公司規模大的公司，較不在意公司的獲利能力以及報酬率。投信偏好獲利能力高、股票報酬高、市價淨值比高的公司。自營商則偏好負債比率較高的資本結構，較不重視公司獲利能力以及股票報酬率。主要的原因為外資較重視公司聲譽，因此在選股時較不重視公司短期的績效表現。外資與本土法人在選股時，對於公司的負債比率、股利收益率、公司規模的偏好上是有差異的。投信與自營商在持股偏好上，除了銷售成長率無顯著差異外，其他公司特性變數皆有差異。利用季盈餘宣告日探討三大法人持股變動與異常報酬的關係，其實證結果為，市場上確實只有少數的機構投資者擁有明確訊息去調整持股變動而獲利；極端組別的機構投資者並無法擁有更明確的資訊去調整持股。在三大法人當中，外資擁有較明確的訊息去調整持股而獲利，也可說明不同機構投資者類型會有不同的累計異常報酬。另外，以台灣而言，少數的機構投資者掌握的訊息相對於盈餘變動的資訊是較為豐富的，因此機構投資者才會利用此訊息調整持股來獲利，而盈餘改變對於未來異常報酬的解釋能力是有限的。最後，本研究無法利用累計異常持股來解釋機構投資者持股變動與異常報酬的關係，相較於盈餘改變與異常報酬的關係，異常持股對於異常報酬的解釋能力有限。 Our study use 2001 to 2005 data, to discuss different ways of institutional investors share holding, what stocks appeal to institutional investors and changes in institutional ownership and subsequent earnings announcement abnormal returns. We use the share holding of institutional investors and abnormal share holding to measure institutional investors share holding. The abnormal share holding is to consider company’s size. Institutional investors in our study are categorized as Foreign Investor, Investment Trust and Security Dealer. To prevent from in the past studying too high problem of overlapping, so our study utilize institutional investors hold share certain rate for criterion of distinguishing to want.We find when we use the rate of institutional investors, the range of the rate change of annual holding share is very light, and can only hold share to analyse the institutional investors hold share and have a partiality for with the increase or reduction of the absolute figure. But the institutional investors may adjust the investment combination weight because change in conformity with company's market value, so institutional investors hold share though the rate increases, after considering the company size influence, it may not increase to unusually hold share apparently. So we use abnormal share holding can find out the state of the change that the institutional investors unusually holds share.Institutional investors have different favor stocks. Foreign Investors prefer firms with stability capital structure, big company, don’t matter of sales growth and return. Investment Trusts prefer firms with high sales growth, high stock return, high market to book ratio. Security Dealers prefer firms with high debt ratio, don’t matter of sales growth and stock returns. The main reason is that the Foreign Investors pay attention to company's reputation, so does not pay attention to company's short-term performance and behave while selecting stocks. Foreign investors and native institutional investors（Investment Trusts and Security Dealers） have the difference on rate in debt, the partialities of earning ratio of the dividend, company's size to the company while selecting stocks. On throwing Investment Trust and Security Dealer having a partiality for, except that there is no difference of showing in sales growth, all there is a difference in the characteristic parameter of other companies.This study documents an association between changes in institutional ownership during a calendar quarter and abnormal returns at the time of subsequent announcements of quarterly earnings. The result is there are only few institutional investors can own confirm information to change shares and gain abnormal return. Foreign Investors of the three groups are unable to have more confirm information to adjust holding share. In addition, as for Taiwan, the information relative to change of the return of the information which a few institutional investors grasp is abundant. Finally, our study can’t use cumulative abnormal shares to explain association between changes in institutional ownership during a calendar quarter and abnormal returns at the time of subsequent announcements of quarterly earnings.
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