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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/81461


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    題名: 三大法人選股策略與績效表現
    The Investment Strategy and Performance of Institutional Investors
    作者: 余成毅
    Yu, Cheng Yi
    貢獻者: 盧敬植
    余成毅
    Yu, Cheng Yi
    關鍵詞: 三大法人
    投資組合
    投資績效
    持股率
    買賣超
    institutional investors
    portfolio
    investment performance
    shareholding ratio
    net buy-and-sell
    日期: 2015
    上傳時間: 2016-03-01 10:27:04 (UTC+8)
    摘要: 本研究經過分析台灣股市中三大法人的持股率與買賣超對於公司財務變數與市場變數的的關係，藉由法人的持股選擇觀點，進而組成具有法人選股特性的投資組合，並驗證其是否具有較佳的績效表現與是否具有擊敗大盤的能力。實證結果發現，外資偏向投資於較大報酬波動率與規模的公司，以及較低負債比率與股利殖利率的公司；投信具有偏好較高的股利殖利率、股東權益報酬率、移動平均報酬率之標準差與規模的公司，以及淨價市值比較低的公司；自營商喜歡較高的負債比率、淨值市價比、移動平均報酬率與規模的公司，以及報酬波動率較低的公司。在驗證經由法人的投資特性組成之投資組合表現中，發現投信之投資組合雖具有較高的平均報酬率，但是考量風險因子後，自營商的績效表現較佳，而且都具有擊敗大盤的績效表現。
    The study analyzed the relationship between Taiwanese institutional investors’ shareholding ratio or net buy-and-sell and the company`s financial variables and market variables. Using the result of regression to compose a portfolio with the characteristics of institutional investors, and verification whether it has a better performance than the stock market index.
    The empirical results show that foreign investors tend to invest in the company with larger volatility and size, and also lower debt ratio and dividend yield; Investment trust investors with a preference for high dividend yields, return on equity, the long-term volatility and size of the company, and tend to invest in lower book-to-market ratio of the company; Dealers like high debt ratio, book-to-market ratio, size and momentum, and also preference for the company of lower volatility.
    The performance of the portfolio with institutional investors’ characteristics, we found that the investment trust`s portfolio had highest average rate of return, but after consideration of risk factors, dealers had better performance. Both of the portfolio beat the stock market index’s performance.
    參考文獻: 王秀平（2006），「法人持股比例對台灣初次上市公司股票長期報酬的影響」，國立政治大學財務管理研究所未出版碩士論文。
    林可依（2003），「台灣上市股市三大法人買賣超是否可提供投資人短期獲利機會？」，國立東華大學國際經濟研究所未出版碩士論文。
    周舒屏（2004），「國際機構權益投資偏好成因之探討」，國立政治大學財務管理研究所未出版碩士論文。
    高妮瑋（2000），「機構投資人持股偏好與績效之研究」，國立中正大學會計研究所未出版碩士論文。
    蔣玲鈺（2007），「三大法人持股偏好與買賣超星期效果之實證研究」，淡江大學管理科學研究所未出版碩士論文。
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    Tong, S. and Ning Y. (2004). "Does Capital Structure Affect Institutional Investor Choices?" The Journal of Investing 13, 53 -64.
    Yan, X. S. and Zhang, Z. (2009). "Institutional investors and equity returns: Are short-term institutions better informed?" Review of Financial Studies 22, 893–924.
    描述: 碩士
    國立政治大學
    財務管理研究所
    102357030
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102357030
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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