台灣股市超額報酬與集保股權持股比率之研究

Abstract

本研究從台灣股市中探討集保股權分散表中各層級持股比率、三因子模型、動能因子及週轉率對個股相對大盤超額報酬率之影響，資料來源為台灣經濟新報(TEJ)、臺灣集中保管結算所(TDCC)。樣本個股選取614檔個股。樣本資料期間為2013年1月至2020年6月之月資料。被解釋變數為個股相較加權指數之月超額報酬率、個股相較加權指數之季超額報酬率、個股相較加權指數之年超額報酬率。解釋變數為市場風險Beta值、公司市值、股價淨值比、週轉率、動能、集保股權分散比率層級等。 實證結果發現，當1-5 張的非專業機構投資人增加，對於個股相較加權指數之月超額報酬率、季超額報酬率及年超額報酬率有相當顯著負向的影響；當投資人持有5.001-10 張的比率增加，對於個股相較加權指數之季超額報酬率及年超額報酬率有相當顯著負向的影響；持100.01-800張比率增加對於長期之年超額報酬率有顯著正面影響，尤其觀察持100.001-200張比率之層級，對短中長期之月超額報酬率、季超額報酬及年超額報酬皆有顯著正面影響。市場風險因子對個股相較加權指數之季超額報酬率及年超額報酬率有顯著正面影響。動能因子對個股相較加權指數之季超額報酬率及年超額報酬率有顯著負面影響，未發現動能效應。股價淨值比因子、市值因子、週轉率因子對個股相較加權指數之超額報酬率皆有顯著正向影響，本研究發現台股並未存在股價淨值比效應及規模效應。

This research aims to explore the impact of the shareholding ratio of the spread of shareholdings under TDCC, the three-factor model of Fama ＆ French, momentum factor and turnover rate on the excess return of stocks in Taiwan. The sources of data are collected from Taiwan Economic Journal (TEJ) and Taiwan Depository Clearing Corporation (TDCC). The sample data are the monthly data of 614 stocks, and the sample period is from January 2013 to June 2020. The dependent variables are the monthly, quarterly and yearly excess return rate of stocks compared to Taiwan Capitalization Weighted Stock Index(TAIEX), respectively, and the independent variables include the shareholding ratio of the spread of shareholdings under TDCC Custody, the market risk Beta, company market capitalization, and Price-Book Ratio, turnover rate, momentum of stock price etc. Our major empirical findings show that there exists very significantly negative influence of the non-professionally institutional investors who held 1,001- 5,000 shares on the monthly, quarterly and yearly excess return of stocks compared to TAIEX, respectively. It also indicates that the ratio of holding 5,001-10,000 shares has a very significantly negative impact on the quarterly and yearly excess return of stocks. However, it indicates that there exists significantly positive influence of those who held 100,001-800,000 shares on the long-term yearly excess return, especially holding 100,001-200,000 shares with a significantly positive effect on the short, medium and long term excess return. Beta has a significantly positive impact on the quarterly and yearly excess returns of stocks, while the momentum factor has a significantly negative influence on the quarterly and yearly excess returns of stocks. Thus, there is no momentum effect. The price-book ratio, company market capitalization, and turnover factor have significantly positive influence on the excess return of stocks. Finally, this study shows that there are no price-book ratio effect and scale effect in Taiwan.