不同類型機構投資人持股對股價報酬波動度的影響

Abstract

本研究探討了不同類型機構投資人持股對未來股價報酬波動度的影響，其中機構投資人依照投資偏好分成Growth 與Non-Growth型，依照投資型態分成Transient與Non-Transient型。本研究針對1997至2015年美國公司資料進行panel資料迴歸分析後發現，加入控制變數後，Growth型機構投資人持股比例與未來股價報酬波動度呈正相關，且Non-Growth型機構投資人持股比例對未來股價報酬波動度的影響為負。當機構投資人同時為Non-Growth型且為 Transient型機構投資人時，被投資公司的股價報酬波動度受機構投資人的投資偏好較大。另外，本研究也發現Growth型機構投資人對股價報酬波動度的影響在金融海嘯前後皆為正向的影響。

This study investigates the influence of different types of Institutional Investors on future stock return volatility. Institutional Investors are classified into Growth and Non-Growth by their investing preference, and are classified into Transient and Non-Transient by their investing style. The empirical results indicate that greater ownership of Growth institutional investors is associated with higher future stock return volatility, and that greater ownership of Non-Growth institutional investors is negatively associated with future stock return volatility. In addition, this study provides evidences for a stronger impact of investing preference on future stock return volatility. Our findings remain consistent before and after global financial crisis.