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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/36682


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    题名: 國際機構權益投資偏好成因之探討
    作者: 周舒屏
    贡献者: 顏錫銘
    周舒屏
    关键词: 隨機效果模型
    資訊不對稱
    外資
    home bias
    日期: 2003
    上传时间: 2009-09-18 19:17:06 (UTC+8)
    摘要: 本文研究目的是探討跨國機構投資者的持股比例和公司特性間的關係，藉由分析跨國機構投資者的持股偏好來推論影響國際權益投資分佈的原因。研究對象為我國投信發行之海外基金以及投資於我國集中市場的外資、我國投信及金融機構。研究期間為1996-2001年，利用隨機效果模型（Random Effect Model）實證結合橫斷面以及時間序列的追蹤資料(panel data)，以分析投資者所偏好的公司特性，進而推論投資者投資偏好本國市場的原因。
    本研究首先探討跨國機構投資者的持股偏好，其次探討在本國市場的機構投資者的持股偏好，以分析投資者的持股比例和公司特性間的關係。經實證後結論如下：
    一、我國機構投資者對外投資所偏好的公司特性為市值大、流動比率高、對外銷貨比率高、交易週轉率高的公司，證明了資訊不對稱以及交易成本是決定我國跨國機構投資者投資偏好的原因。
    二、外資顯著偏好市值大、有發行過海外證券的我國上市公司，顯示外資明顯偏好資訊不對稱程度比較小的公司。
    三、機構投資者－外資、我國投信、金融機構都顯著偏好市值規模大的我國上市公司，而以外資偏好的程度最大。顯示資訊不對稱問題同樣會影響投資者在本國證券市場的投資行為。
    參考文獻: 中文部分
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    英文部分
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    Stulz, R.M., 1992. “International portfolio choice and asset pricing: An integrated survey.” Ohio State University.
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    Warnock, Francis E., 2001. “Home bias and high turnover reconsidered.” Board of Governors of the Federal Reserve System. International Finance Discussion Paper.
    描述: 碩士
    國立政治大學
    財務管理研究所
    90357015
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090357015
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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