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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/124701


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124701


    Title: 台灣三大法人從眾行為與股票報酬率之預測能力
    Institutional Herding and the Prediction of Stock Returns: Evidence from Taiwan Stock Market
    Authors: 李蘭萱
    Li, Lan-Xuan
    Contributors: 盧敬植
    Lu, Ching-Chih
    李蘭萱
    Li, Lan-Xuan
    Keywords: 三大法人
    從眾行為
    異常報酬
    institutional investor
    herding
    abnormal return
    Date: 2019
    Issue Date: 2019-08-07 16:05:16 (UTC+8)
    Abstract: 本研究藉由自營商、外資與基金在台灣股票市場的從眾行為程度組成投資組合，目的是了解三大法人的從眾偏好，以及該行為對股價的影響。研究範圍為2000年4月至2018年6月間，三大法人持股數曾出現變化的台灣上市櫃股票。實證結果發現自營商偏好從眾規模大與低股利股票，外資沒有特殊從眾傾向，而基金則偏好從眾高本益比與低股利股票。從眾行為發生後的兩季時間內，外資從眾買進與基金從眾賣出之投資組合皆出現正向異常報酬，然而規模調整報酬卻小於0，代表從眾行為對股價的預測能力有限。在網路泡沫以及金融海嘯時期，三大法人的從眾行為不論買或賣，都無法獲得顯著異於0的異常報酬。
    The study analyzes portfolios which are composed with institutional investors’ herding behavior in Taiwan stock market, and is intended to find the key factors and the price impact of herding. Using the shareholding data from April 2000 to June 2018, the study finds higher levels of herding by dealers in large-cap and low dividend yield stocks. On the other hands, there is some evidence for higher herding levels by fund managers in high Price-Earning ratio and low dividend yield stocks. Although stocks that foreign investors buy and funds sell outperform the market, they have negative returns after being adjusted for size. The results mean that institutional herding can’t predict future returns well. During the dot-com bubble and the financial crisis of 2008, there is no significant abnormal returns for all portfolios.
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    Description: 碩士
    國立政治大學
    財務管理學系
    106357028
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106357028
    Data Type: thesis
    DOI: 10.6814/NCCU201900309
    Appears in Collections:[Department of Finance] Theses

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