安全性、資訊不對稱、公司治理與外資持股偏好之關連性

Abstract

自從政府實施金融自由化，逐步解除對於外資持股的限制之後，外資在本國股票市場所扮演的角色日益重要，無論股票成交值及上市公司股權結構中外資持股的比例都大幅提高。本研究係以台灣上市上櫃公司為研究對象，主要目的是欲分析公司特性是否會影響外資持股偏好，使用兩因子誤差成分模型和資料切齊迴歸模型來建立影響外資持股偏好的迴歸方程式。實證模型主要是檢定安全性、資訊不對稱及公司治理機制等公司特性是否會影響外資投資組合之持股偏好。 本文研究結果顯示: (1)外資針對台灣股市投資會把投資安全性列為重要考量，外資為確保投資資金可以順利取回，偏好持有獲利性較佳、負債比例較低、高現金股利收益率之企業；(2)資訊不對稱是外國投資者從事跨國投資所面臨的最大問題，外資偏好持有上市時間較久、規模較大、跨市場掛牌上市、MSCI成分股、出口導向及聘任國際性會計師查核的公司；(3)當管理者持股比重低於60％，隨著管理者持股比重增加，外資在其投資組合中會給於較高之權重，此結果支持利益收斂原則，但當管理者持股超過60％，管理者持股比率越高的公司，外資持股比重反而越低，此結果支持掠奪假說，因為控制股東可能會傷害外部股東權益，相反的，外資偏好具有外部大額股東來制衡管理者的公司，大額股東持股率與外資持股偏好呈顯著正相關；(4)董監事質押比重與外資持股偏好呈顯著負相關，外資不願持股董監事高質押的公司，此結果表示外資會迴避具有潛在代理成本的公司。

Since the liberation of financial system gradually removes limits of foreign ownerships, foreign investors became important roles in Taiwan stock markets. Regardless of trading value of stocks and the ratio of foreign ownerships in ownership structure of listed firm have greatly grown. This paper studies the characteristics of the foreign ownerships of firms listed in Taiwan Stock Exchange and GreTai Securities market. The empirical model was to assess whether the safety, informational asymmetries and corporate governance will affect portfolio preferences of foreign investors. This study uses two way error component model and the censored regression model to examine the relationship between the various characteristic of firms and the foreign investor’s portfolio preferences. The main results of this study are summarized as follows: (1) Foreign investors consider prudence in investing in Taiwanese stock markets as essential. They favor firms with high profitability, low liability, and high cash dividend yields. (2) Information asymmetries are chief problems faced by international investors. Foreigner investors prefer to firms with larger size, longer history, cross-listing, MSCI membership, export orientation and financial statement audited by international auditing firms. (3) When managerial ownerships are lower than 60%, the increase of managerial ownerships will lead to the increase of weight on the foreign portfolio. This finding is consistent with the principal of interest convergence. However, when managerial ownerships are greater than 60%, the increase of managerial ownerships will lead to the decrease of the weight on the foreign portfolio. This finding is consistent with the entrenchment effect because controlling shareholders may entrench outside stockholders. In contrast, foreign investors prefer to hold the firms with the outside block-holders to bind managers. (4) There is a negative relationship between share as collateral by the board of directors and preferences of the portfolio held by foreign investors. Foreign investors do not prefer to hold the firms with higher ratio of pledged director ownership, which implied that foreign investors will avoid to holding the firms with potential agency problems.