資訊不確定性與不同類型機構投資人持股

Abstract

過去文獻提出許多影響機構投資人行為之因素，而本研究專注於探討資訊不確定性程度是否會對不同類型之機構投資人持股行為產生影響。本研究蒐集了1983 年至 2015 年美國公司年資料，使用 panel 資料迴歸分析。實證結果發現，在加入控制變數後，資訊不確定性與主要投資在成長型股票的 GROWTH 型機構投資人持股成正向關係。而在加入 TRA 型分類後，資訊不確定性對同時分類為GROWTH 型及 TRA 型的機構投資人持股正向影響較大，對非 GROWTH 型及非TRA 型機構投資人持股轉為負向影響，且上述影響於金融海嘯後更為顯著。

This study investigates the effects of information uncertainty on share-holding behaviors of different types of institutional investor (GROWTH, Non-GROWTH, TRA & Non-TRA). The thesis empirical results based upon 1983-2015 US public companies data show that the information uncertainty has a significant positive effect on the share-holding behavior of GROWTH institutional investors. This positive relationship is robust after adding controlling variables. The positive effect of information uncertainty is more significant when investors have the characteristics of both GROWTH and TRA type. The effect turned negative on Non-GROWTH and Non-TRA institutional ownership.