查詢結果分析
來源資料
頁籤選單縮合
題名 | 機構投資人與股票報酬同步性:由市場、產業與公司特有資訊層面探討 =Institutional Investors and Stock Return Synchronicity: Evidence from Market, Industry, and Firm-Specific Information |
---|---|
作 者 | 丁秀儀; 王銘駿; | 書刊名 | 經濟與管理論叢 |
卷期 | 7:2 2011.07[民100.07] |
頁次 | 頁285-308 |
分類號 | 563.5 |
關鍵詞 | 機構投資人; 股票報酬同步性; Institutional investors; Stock return synchronicity; |
語文 | 中文(Chinese) |
英文摘要 | This paper examines the influence of institutional investor behavior on the stock return synchronicity using a sample of Taiwanese listed companies for the period 2000-2005. We find that stock prices reflect more firm-specific information for firms whose institutional ownerships are higher. Synchronicity is negatively associated with the number of shares held by foreign investors and securities dealers. The negative relationship suggests that the transactions of foreign investors and securities dealers increase the relative flow of firm-specific information to prices. Stock prices contain more market- and industry-level information in firms with more securities investment trust companies’ shares or dominated by securities investment trust companies. The higher the change of ownership ratio of foreign investors, securities investment trust companies, and securities dealers, the lower the synchronicity is. This implies that more firm-specific information impounds into stock prices. From the simultaneous equation estimations, institutional investors and synchronicity are endogenously determined. The level of synchronicity influences the number of shares of these three parties, which in turn influences the level of synchronicity. The above results hold after considering the robustness tests of highly-market-value-weighted stocks and securities investment trust companies’ strategies. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。