簡易檢索 / 詳目顯示
| 研究生： |
李蘭萱 Li, Lan-Xuan |
|---|---|
| 論文名稱： |
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 |
| 指導教授： |
盧敬植
Lu, Ching-Chih |
| 口試委員: |
張元晨
劉文謙 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 39 |
| 中文關鍵詞： | 三大法人 、從眾行為 、異常報酬 |
| 外文關鍵詞： | institutional investor, herding, abnormal return |
| DOI URL： | http://doi.org/10.6814/NCCU201900309 |
| 相關次數： | 點閱：174 下載：47 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
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.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與結果 2
第二章 文獻探討 4
第一節 從眾行為成因之文獻探討 4
第二節 從眾行為實證之文獻探討 5
第三章 研究方法 8
第一節 資料來源與研究期間 8
第二節 變數定義與假說 8
第三節 研究方法與模型 10
第四章 實證結果分析 13
第一節 敘述統計 13
第二節 從眾行為對股票報酬率的影響 14
第五章 結論與建議 21
第一節 結論 21
第二節 後續研究建議 23
參考文獻 24
Allen, F., Bernardo, A. E., & Welch, I. (2000). A theory of dividends based on tax clienteles. The Journal of Finance, 55(6), 2499-2536.
Banerjee, A. V. (1992). A simple model of herd behavior. The quarterly journal of economics, 107(3), 797-817.
Barberis, N., & Shleifer, A. (2003). Style investing. Journal of financial economics, 68(2), 161-199.
Bennett, J. A., Sias, R. W., & Starks, L. T. (2003). Greener pastures and the impact of dynamic institutional preferences. The Review of Financial Studies, 16(4), 1203-1238.
Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of political Economy, 100(5), 992-1026.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking Finance, 24(10), 1651-1679.
Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking Finance, 34(8), 1911-1921.
Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 31-37.
Falkenstein, E. G. (1996). Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The Journal of Finance, 51(1), 111-135.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
Gompers, P. A., & Metrick, A. (2001). Institutional investors and equity prices. The quarterly journal of economics, 116(1), 229-259.
Hirshleifer, D., Subrahmanyam, A., & Titman, S. (1994). Security Analysis and Trading Patterns when Some Investors Receive Information Before Others. The Journal of Finance, 49(5), 1665-1698.
Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175-188. doi:10.1016/j.irfa.2013.01.003
Hung, W., Lu, C.-C., & Lee, C. F. (2010). Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal, 18(5), 477-493. doi:10.1016/j.pacfin.2010.06.001
Jain, R. (2007). Institutional and individual investor preferences for dividends and share repurchases. Journal of Economics and Business, 59(5), 406-429.
Lakonishok, J., Shleifer, A., Thaler, R., & Vishny, R. (1991). Window Dressing by Pension Fund Managers. American Economic Review, 81(2), 227-231.
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of financial economics, 32(1), 23-43.
Redding, L. S. (1997). Firm size and dividend payouts. Journal of Financial Intermediation, 6(3), 224-248.
Rozeff, M. S. (1982). Growth, beta and agency costs as determinants of dividend payout ratios. Journal of financial Research, 5(3), 249-259.
Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.
Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of political Economy, 94(3, Part 1), 461-488.
Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206.
Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622.
