外資與投信之買超行為及資訊價值

Abstract

本論文以台灣2001至2014年的資料為樣本，探討外資與投信之買超行為及資訊價值。研究發現，外資的季買超行為具有持續性，而投信則否，顯示投信的投資期間相較於外資為短，且兩者在小型股標的於下季轉賣之比例均較一般公司為高，顯示兩者在小型股上均更傾向短線操作。在選股偏好上，外資明顯較青睞中大型股，而投信則較偏好小型股。在標的投資組合當季報酬率方面，外資、投信該季買超力道前十名之標的於當季具有顯著正超額報酬，而投信標的當季之報酬率又比外資高。至於標的投資組合於下季之報酬率，本文發現於下季持有外資第一、二季與投信第二季買超力道前十名之標的可獲得顯著之正超額報酬。此外，由於外資的季買超行為顯著具有持續性且外資的投資期間較長，故不具明顯的作帳行為。另一方面，投信投資期間較外資為短，且其第四季之標的投資組合於翌年第一季的表現顯著劣於比較基準，這些現象顯示投信可能於年底進行作帳。

Using the data of Taiwan from 2001 to 2014, this study empirically examines the net buying behaviors and information value of foreign investors and investment trust companies. It finds the following results. First, the foreign investors’ net buying behavior tends to last to the next quarter, which is not true for investment trust companies. This implies that investment trust companies have shorter investment horizons. In addition, both foreign investors and investment trust companies are more likely to sell small-cap stocks in the following quarter. Second, foreign investors prefer mid- and large-cap stocks, while investment trust companies incline to invest in small-cap stocks. Third, the abnormal return of the top ten net buying targets of investment trust companies is higher than that of foreign investors, and both are significantly positive. Fourth, holding either the foreign investors’ 1st and 2nd quarter targets, or the investment trust companies’ 2nd quarter targets in the following quarter can have significantly positive abnormal returns. Finally, based on the positive correlation of foreign investors’ net buying behavior between adjacent quarters, there is no evidence of window dressing for them. As for investment trust companies, their shorter investment horizon and the fact that their 4th quarter targets significantly underperform the benchmark in the 1st quarter of the next year suggest that they may do window dressing near the year end.