金融風暴前後機構法人持股策略之比較 賴承宏、陳玉芬
E-mail: [email protected]
摘 要
台灣證券市場散戶之交易比重佔整體市場交易量高於七成，雖然台灣證券市場投資人結構以散戶為主，但因機構法人具專 業研究團隊，加上每次進出股市之金額遠大於個別散戶之交易，一般認為機構法人之交易在市場上具主導力量。本文以台 灣證券市場機構法人為研究對象，探討其持股偏好。研究結果發現台灣機構法人基於部份的穩健原則，傾向持有市值較大
、企業成立時間較長、現金股利發放率高、能見度高及系統風險較低的公司股票。若考量公司之股權結構，機構法人則偏 好董監、大股東與經理人持股比率較高的公司股票。當進一步考量股票之流動性與報酬率時，機構法人則偏好低價股、低 週轉率及前期有正報酬的股票。本研究進一步探討2008年全球金融風暴是否改變機構法人之持股偏好，實證結果顯示機構 法人面臨金融風暴之當下，轉而偏好公司規模較小、企業成立時間較短、發放較低現金股利、高價股及過去三個月報酬率 為負的個股。值得一題的是，在金融風暴時期，機構法人改變其對個股前期報酬之看法，由動能交易者（momentum traders）轉變成逆勢交易者（contrarian traders），而在風暴後則呈現不顯著。
關鍵詞 : 機構法人、持股策略、謹慎原則、逆勢交易、動能交易 目錄
封面內頁 簽名頁 中文摘要．．．．．．．．．．．．．．．．．．．．．． ii 英文摘要．．．．．．．．．．．．．．
．．．．．．．． iii 致謝．．．．．．．．．．．．．．．．．．．．．．．． iv 目錄．．．．．．．．．．．．．．
．．．．．．．．．． v 圖目錄．．．．．．．．．．．．．．．．．．．．．．． vii 表目錄．．．．．．．．．．．
．．．．．．．．．．．． viii 第一章 緒論 第一節 研究背景與動機．．．．．．．．．．． 1 第二節 研究目的．．．．
．．．．．．．．．． 4 第三節 研究架構．．．．．．．．．．．．．． 5 第二章 文獻探討 第一節 機構法人對證券市場 之影響．．．．．． 7 第二節 穩健原則、流動性及報酬率之考量．．． 8 第三章 資料來源與研究方法 第一節 資料來源．
．．．．．．．．．．．．． 16 第二節 研究方法．．．．．．．．．．．．．． 17 第三節 迴歸模型與變數定義．．．
．．．．．． 20 第四章 實證結果與分析 第一節 固定效果模型迴歸結果．．．．．．．． 21 第二節 模型選擇．．．．．
．．．．．．．．． 23 第三節 機構法人持股偏好改變之分析．．．．． 24 第五章 結論與建議．．．．．．．．．．．
．．．．．． 30 參考文獻．．．．．．．．．．．．．．．．．．．．．． 32 參考文獻
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