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題名：機構法人對股票報酬與公司價值之影響
作者：謝順峰
作者(外文)：Shun-Feng Hsieh
校院名稱：國立中央大學
系所名稱：財務金融學系
指導教授：周冠男
葉錦徽
學位類別：博士
出版日期：2013
主題關鍵詞：機構投資者；雜訊交易；漲跌停限制；法人持股；公司績效；Institutional investors；Noise trading；Price limit；Institutional ownership；Firm performance
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隨著經濟的快速成長，機構投資者在新興市場中扮演了重要的角色。因此，本論文旨在研究機構投資者在大中華地區對股票報酬和公司價值的影響。本論文係由以下兩篇文章組成：其一為「機構投資者於價格修正中的角色：以台灣市場日內雜訊交易為例」；第二篇為「所有權結構、市場流動性與公司績效：以中國上市公司為例」。第一篇文章旨在研究法人交易對台灣股票市場裡雜訊交易的修正所扮演之角色，此處的雜訊交易吾人定義為每個交易日裡股票價格偏離基本面的部分。以2003年三月至2007年三月這段期間經歷漲跌停限制的臺灣證券交易所上市交易公司股票為樣本，並在這些價格的波動裡標出雜訊交易的部分。研究結果顯示雜訊交易在台灣股票市場的交易中十分普遍，且其後續的修正過程是持久的。此外，吾人發現台灣的機構投資者，迥異於美國股票市場的機構投資者，他們似乎使市場價格更偏離理論上的均衡價格，也降低市場對反應過度的修正速度。在第二篇文章中，吾人藉由使用上海證券交易所和深圳證券交易所的滬深300指數成份股研究所有權結構與股票市場流動性對公司績效的影響。使用公司-年追蹤資料進行研究，吾人發現股票市場流動性較高的公司通常會有較好的績效。此一結果不論是控制公司的固定效果、使用不同的市場流動性替代變數、使用不同的公司績效衡量指標或者刪除離群值之後都是一致的。其次，吾人亦發現機構投資者的持股和公司績效呈現正向關係，上述結果即使在控制公司固定效果後仍然顯著。至於政府持股對公司績效的影響則不明確，這可能是由於樣本期間內私有化改革仍在持續進行所致。此外，公司規模和財務槓桿與公司績效具有負向關連，意指較大的規模或較高的財務槓桿可能會降低公司價值。
Institutional investors have played an important role in emerging markets given their rapid growth of economies. This dissertation accordingly investigates the effects of institutional investors on stock returns and firm values in Greater China. This dissertation contains two essays entitled “The role of institutions in price correction: Evidence from intraday noise trading in Taiwan” and “Ownership structure, market liquidity and firm performance: Evidence from Chinese listed companies”. The first essay investigates the role of institutional investors in the Taiwanese stock markets in resolving noise trading, which we defined as the deviation of a stock’s price from its fundamental value within a trading day. We use a sample of stocks traded on the Taiwan Stock Exchange that experienced extreme price movements characterizing by price limit hits between March 2003 and March 2007, and assess the noise trading component of the price movements. Our results show that noise trading in the Taiwanese stock markets is prevalent, and that a protracted correction process takes place. In contrast to the findings for US equity markets, we document a disruptive role of institutional investors as they appear to move the market away from equilibrium and slow the speed of correction following an overreaction. In the second essay, we investigate the effects of ownership structure and stock market liquidity on firm performance by using the constituent companies of CSI 300 index on the Shanghai Stock Exchange and Shenzhen Stock Exchange. By using firm-year panel data, we find evidence that firms with higher levels of stock market liquidity exhibit better performance. This result is robust to the inclusion of firm fixed effects, the use of alternative measures of market liquidity, the use of alternative measures of firm performance, and a control for outliers. Besides, we find significant positive and curvilinear relationships between firm performance and the fraction of shares owned by institutional investors even after controlling for firm fixed effects. The effect of state ownership on firm performance is ambiguous for the potential immature privatization program. Moreover, firm size and financial leverage are inversely associated with firm performance, suggesting that larger size or higher financial leverage may reduce firm value.
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