臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
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
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:1
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.
Admati, A., and P. Pfleiderer, 1988, “A theory of intraday patterns: Volume and price variability,” Review of Financial Studies 1, 3-40.
Atkins, A. and E. Dyl, 1990, “Price reversals, bid-ask spreads, and market efficiency,” Journal of Financial and Quantitative Analysi, 25, 535-547.
Bamber, L.S., O.E. Barron, and T.L. Stober, 1999, “Differential interpretations and trading volume,” Journal of Financial and Quantitative Analysis 34, 369-386.
Barber, B., Y.T. Lee, Y.J. Liu, and T. Odean, 2004a, “Do individual day traders make money? Evidence from Taiwan,” Working Paper, University of California, Davis.
Barber, B., Y.T. Lee, Y.J. Liu, and T. Odean, 2004b, “Who gains from trade? Evidence from Taiwan,” Working Paper, University Of California, Davis.
Barber, B., Y.T. Lee, Y.J. Liu, and T. Odean, 2007, “Is the aggregate investor reluctant to realize losses? Evidence from Taiwan,” European Financial Management 13, 423-447.
Barber, B., Y.T. Lee, Y.J. Liu, and T. Odean, 2009, “Just how much do individual investors lose by trading?” The Review of Financial Studies 22, 609-632.
Black, J. M., and I. Tonks, 1992, “Asset price variability in a rational expectations equilibrium,” European Economic Review 36, 1367-1377.
Bremer, M. and R. Sweeney, 1991, “The reversal of large stock price decreases,” Journal of Finance 46, 747-754.
Brown, K. C. and W. V. Harlow, 1988, “Market overreaction: Magnitude and intensity,” Journal of Portfolio Management 14, 6-13.
Chakravarty, S., 2001, “Stealth-trading: Which traders’ trades move stock prices?” Journal of Financial Economics 61, 289-307.
Chiao, C., W. Hung, and C. F. Lee, 2011, “Institutional trading and opening price behavior: Evidence from a fast emerging market,” Journal of Financial Research 34, 131-154.
Chow, E.H., Y.T. Lee, and Y.J. Liu, 2004, “Intraday information, trading volume and return volatility: Evidence from the order flows on the Taiwan Stock Exchange,” Academic Economic Papers 32, 107-148.
Cox, D.R. and D.R. Peterson, 1994, “Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance,” Journal of Finance 40, 255-267.
Dow, J. and G. Gorton, 1993, “Trading, communication and the response of asset prices to news,” Economic Journal 103, 639-646.
Dow, J., and G. Gorton, 1994, “Arbitrage chains,” Journal of Finance 49, 819-849.
Easley, D., and M. O’Hara, 1992, “Adverse selection and large trade volume: The implications for market efficiency, “Journal of Financial and Quantitative Analysis 27, 185-208.
Fabozzi, F., C. Ma, W. Chittenden, and R. Pace, 1995, “Predicting intraday price reversals, ” Journal of Portfolio Management 21, 42-53.
Giannetti, A., S. J. Larson, C.I. Lee, and J. Madura, 2006, “Price movements, information and liquidity in the night trading market,” Financial Review 41, 119-137.
Gleason, K., C.I. Lee, and J. Madura, 2007, “Sources of intraday noise,” Journal of Trading 2, 37-52.
Kahneman, D., and A. Tversky, 1979, “Prospect theory: An analysis of decision under risk,” Econometrica 47, 263-291.
Kandel, E., and N. Pearson, 1995, “Differential interpretation of public signals and trade in speculative markets”, Journal of Political Economy 103, 831-872.
Kim, S.T., J. Lin, and M.B. Slovin, 1997, “Market structure, informed trading, and analysts’ recommendations”, Journal of Financial and Quantitative Analysis 33, 507-524.
Kyle, A., 1985, “Continuous auctions and insider trading,” Econometrica 53, 1315-1336.
Shleifer, A. and R. Vishny, 1997, “The limits of arbitrage”, Journal of Finance 52, 35-55.
Trueman, B., 1988, “A theory of noise trading in securities markets”, Journal of Finance 44, 83-96.
Xiong, X., 2001, “Convergence trading with wealth effects: An amplification mechanism in financial markets,” Journal of Financial Economics 62, 247-292.
Wong, W. K., M. C. Chang, and A.H. Tu, 2009, “Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange,” Pacific-Basin Finance Journal 17, 28-40.
Allayannis, G., and J. Weston, 2001, “The use of foreign currency derivatives and firm market value”, Review of Financial Studies 14, 243-276.
Amihud, Y., and H. Mendelson, 1986, “Asset pricing and the bid-ask spread”, Journal of Financial Economics 17, 223-249.
Amihud, Y., 2002, “Illiquidity and stock returns: Cross section and time-series effects”, Journal of Financial Markets 5, 31-56.
Bai, C. E., Q. Liu, J. Lu, F. M. Song, and J. Zhang, 2004, “Corporate governance and market valuation in China”, Journal of Comparative Economics 32, 599-616.
Berkman, H., Cole, R. A., and Fu, L., 2009, “Expropriation through loan guarantees to related parties: Evidence from China”, Journal of Banking and Finance 33, 141-156.
Berle, A. A. and G. C. Means, 1932, “The modern corporation and private property”, Larcourt, Brace & World Inc., New York (Republished in 1968).
Bhide, A., 1993, “The hidden costs of stock market liquidity”, Journal of Financial Economics 34, 31-51.
Black, B., 2001, “Does corporate governance matter? A crude test using Russian data”, University of Pennsylvania Law Review 149, 2131–2150.
Black, B., H. Jang, and W. Kim, 2002, “Does corporate governance affect firm value? Evidence from Korea”, Working paper 237, Stanford Law School.
Brickley, Lease and Smith, 1988, “Ownership structure and voting on antitakeover amendments”, Journal of Financial Economics 20, 267-291.
Cao, M., and J. Z. Wei, 2008, “Option market liquidity: Commonality and other characteristics”, Journal of Financial Market 20, 20-48.
Carter, D., D. Rogers, and B. Simkins, 2006, “Hedging and value in the U.S. airline industry”, Journal of Applied Corporate Finance 18, 21-33.
Che, J., and Y. Qian, 1988, “Institutional environment, community government, and corporate governance: understanding China’s township village enterprises”, Journal of Law, Economics, and Organization 14, 1-23.
Chen, C. R., W. Guo, and V. Mande, 2003, “Managerial ownership and firm valuation: Evidence from Japanese firms”, Pacific-Basin Finance Journal 11, 267-283.
Chen, G., M. Firth, and L. Xu, 2009, “Does the type of ownership control matter? Evidence from China’s listed companies”, Journal of Banking & Finance 33, 171-181.
Chen, W. J., R. K. Chou, and Y. J. Liu, 2007, “Partial privatization and SIP stock price performance: Evidence from China”, The 2007 China International Conference in Finance, Chengdu, China and FMA Annual Meeting, Orlando, Florida, USA.
Cheung, S. Y., R. Rau., and A. Stouraitis, 2010, “Helping hand or grabbing hand? Central vs. Local Government Shareholders in Chinese Listed Firms”, Review of Finance 14, 669-694.
Demsetz, H., 1983, “The structure of ownership and the theory of the firm”, Journal of Law and Economics 26, 375-390.
Demsetz, H. and K. Lenn, 1985, “The structure of corporate ownership: Causes and consequences”, Journal of Political Economics 93, 1155-1177.
Dewenter, K.L. and P.H. Malatesta, 2001, “State-owned and privately owned firms: An empirical analysis of profitability, leverage and labor intensity”, American Economic Review 91, 320-334.
Faccio, M., 2006, “Politically connected firms”, American Economic Review 96, 369-386.
Faccio, M., R. W., Masulis, and J. J., McConnell, 2006, “Political connections and corporate bailouts”, Journal of Finance 61, 2597-2635.
Fang, V. W., T. H. Noe, and S. Tice, 2009, “Stock market liquidity and firm value”, Journal of Financial Economics 94, 150-169.
Fisman, R., 2001, “Estimating the value of political connections”, American Economic Review 91, 1095-1102.
Frye, T. and A., Shleifer, 1997, “The invisible hand and the grabbing hand”, American Economic Review 87, 354-358.
Gompers, P., and A. Metrick, 2001, “Institutional investors and equity prices”, Quarterly Journal of Economics 116, 229-259.
Gompers, P., J. Ishii, and A. Metrick, 2003, “Corporate governance and equity prices”, Quarterly Journal of Economics 118, 107-155.
Gupta, N., 2005, “Partial privatization and firm performance”, Journal of Finance 60, 987-1015.
Hausman, A., 1978, “Specification test in econometrics”, Econometrica 46, 1251-1271.
Himmelberg, C. P., R. G. Hubbard, and D. Palia, 1999, “Understanding the determinants of managerial ownership and the link between ownership and performance”, Journal of Financial Economics 53, 353-384.
Holderness, C. G. and D. P. Sheehan, 1988, “The role of majority shareholders in publicly held corporations”, Journal of Financial Economics 20, 317-346.
Holmstrom, B., and J. Tirole, 1993, “Market liquidity and performance monitoring”, Journal of Political Economy 101, 678-709.
Jayachandran, S., 2006, “The Jeffords effect”, Journal of Law and Economics 49, 297-425.
Jensen, M. C. and W. H. Meckling, 1976, “Theory of the firm: Managerial behavior, agency costs and ownership structure”, Journal of Financial Economics 3, 305-360.
Jensen, M.C., and R.S. Ruback, 1983, “The market for corporate control: The scientific evidence”, Journal of Financial Economics 11, 5-51.
Joh, S. W., 2003, “Corporate governance and firm profitability: evidence from Korea before the economic crisis”, Journal of Financial Economics 68, 287-322.
Khanna, N., and R. Sonti, 2004, “Value creating stock manipulation: feedback effect of stock prices on firm value”, Journal of Financial Markets 7, 237-270.
Khwaja, A. I. and A. Mian, 2005, “Do lenders favor politically connected firms? Rent provision in an emerging financial market”, Quarterly Journal of Economics 120, 1371-1411.
Kyle, A.S. and J. Vila, 1991, “Noise trading and takeovers”, Rand Journal of Economics 22, 54-71.
La Porta, R., F. Lopez-de-Silanes, and A. Shleifer, 1999, “Corporate ownership around the world,” Journal of Finance 54, 471-517.
Lang, L. and R. Stulz, 1994, “Tobin’s Q corporate diversification, and firm performance”, Journal of Political Economy 102, 1248-1280.
Lesmond, D.A., J. P. Ogden, and C. A. Trzcinka, 1999, “A new estimate of transaction costs”, Review of Financial Studies 12, 1113-1141.
Lesmond, D.A., 2005, “Liquidity of emerging markets,” Journal of Financial Economics 77, 411-452.
Li, D. and C. Wu, 2002, “The colour of the cats”, Economic and Social Review 33, 133-146.
Maug, E., 1998, “Large shareholders as monitors: Is there a tradeoff between liquidity and control?” Journal of Finance 53, 65-98.
McConnell, J. J. and H. Servaes, 1990, “Additional evidence on equity ownership and corporate value”, Journal of Financial Economics 27, 595-612.
McKinsey & Company, 1999-2002, The McKinsey Quarterly.
Morck, R., A. Shleifer, and R. W. Vishny, 1988, “Management ownership and market valuation – An empirical analysis”, Journal of Financial Economics 20, 293-315.
Pound, J., 1988, “Proxy contests and the efficiency of shareholder oversight”, Journal of Financial Economics 20, 237-265.
Qian, Y., 1996, “Enterprise reform in China: Agency problems and political control”, Economics of Transition 4, 427-447.
Qi D., W. Wu and H. Zhang, 2000, “Shareholding structure and corporate performance of partially privatized firms: Evidence from listed Chinese companies”, Pacific-Basin Finance Journal 8, 587-610.
Rubin, A., 2007, “Ownership level, ownership concentration and liquidity”, Journal of Financial Markets 10, 219-248.
Sapienza, P., 2004, “The effects of government ownership on bank lending”, Journal of Financial Economics 72, 357-384.
Sarkar, J. and S. Sarkar, 2000, “Large shareholder activism in corporate governance in developing countries: Evidence from India”, International Review of Finance 1, 161-194.
Shleifer, A., 1998, “State versus private ownership”, Journal of Economic Perspectives 12, 133-150.
Shleifer, A. and Vishny, R. W, 1986, “Large shareholders and corporate control”, Journal of Political Economy 94, 461-487
Sias, R., L. Starks, and S. Titman, 2006, “Changes in institutional ownership and stock returns: Assessment and methodology”, Journal of Business 79, 2869-2910.
Stulz, R.M., 1988, “Managerial control of voting rights: Financing policies and the market for corporate control”, Journal of Financial Economics 20, 25-54.
Subrahmanyam, A., and S. Titman, 2001, “Feedback from stock prices to cash flows”, Journal of Finance 56, 2389-2413.
Sun, Q., and W. H. Tong, 2003, “China share issue privatization: The extent of its success”, Journal of Financial Economics 70, 183-222.
Tian, L., 2002, “Government shareholding and the value of China’s modern firms”, Working paper, London Business School.
Uno, J., and N. Kamiyama, 2010, “Ownership structure, liquidity and firm value”, Working paper, Waseda University Institute of Financial Studies.
Wei, Z. B., Xie, F. X. and Zhang, S. R., 2005, “Ownership structure and firm value in China's privatized firms: 1991-2001”, Journal of Financial and Quantitative Analysis 40, 87-108.
Xu, X., and Y. Wang, 1999, “Ownership structure and corporate governance in Chinese stock companies”, China Economic Review 10, 75-98.
Zhang, A., Y. Zhang, and R. Zhao, 2001, “Impact of ownership and competition on the productivity of Chinese enterprises”, Journal of Comparative Economics 29, 327-346.
Zheng, J., X. Liu, and A. Bigsten, 1998, “Ownership structure and determinants of technical efficiency: an application of data envelopment analysis to Chinese enterprises (1986-1990)”, Journal of Comparative Economics 26, 465-484.
Zhou, X., 2001, “Understanding the determinants of managerial ownership and the link between ownership and performance: Comment”, Journal of Financial Economics 62, 559-571.

 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關博士論文
 
無相關書籍
 
無相關著作
 
無相關點閱
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：1219（臺灣：1161，外國：58） ／ 本年度總使用人次：2541260 ／ 訪客人次（自102年09月）：68347326
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上