臺灣博碩士論文加值系統

本研究主要目的是要探討在台灣股票市場當中，在外資法人與投信法人之總投資組合中個股所占之權重比例與個股之市場投資組合權重之比重差距，本研究定義外資法人之投資組合中個股所占其權重比例與個股之市場投資組合權重之比重差距為國外投資偏誤(Foreign Bias)、投信法人之投資組合中個股所占其權重比例與個股之市場投資組合權重之比重差距為國內投資偏誤(Domestic Bias)，藉由迴歸分析的方式探討這兩大Bias情況是否會影響公司價值Tobin’s Q值。以及探討主要影響國外投資偏誤(Foreign Bias)與國內投資偏誤(Domestic Bias)之公司特性與原因。研究對象為台灣股票市場上全體上市櫃公司。研究期間為2002-2007年之公司財務報告年資料，利用隨機效果模型(Random Effect Model)實證綜合了橫斷面與時間序列資料性質之追蹤資料(Panel Data)。經本研究實證結果如下：
1. 本研究定義之國外投資偏誤(Foreign Bias)變數與公司價值Tobin’s Q值呈現負向之迴歸關係，表示國外投資偏誤(Foreign Bias)越小之公司會有較高之Tobin’s Q值；而本研究定義之國內投資偏誤(Domestic Bias)與公司價值Tobin’s Q值呈現正向之迴歸關係，表示國內投資偏誤(Domestic Bias)越大會有之公司有較高的Tobin’s Q值。且國內投資偏誤(Domestic Bias)之迴歸係數大於國外投資偏誤(Foreign Bias)之係數表示投信法人之Bias對於公司價值之影響更大。
2. 國外投資偏誤(Foreign Bias)與國內投資偏誤(Domestic Bias)會受營業收入淨額、股價淨值比、每股盈餘、市值等因素影響，其中市值之統計檢定t值最為顯著，與過去研究顯示機構投資人均偏好市值規模大的我國上市公司結果相吻合，而以外資之偏好程度最大。

This paper is mainly discussing about two major institutional investors’ stock preference --- foreign investment investor and investment trust investor. This paper is trying to use market portfolio concept, we define each stock’s market portfolio weight as the optimal portfolio weight. We calculate each stock’s real portfolio holding weight in total foreign investment investor’s and investment trust investor’s stock holding portfolio, and use the real portfolio holding weight to minus the optimal portfolio weight. Our study define the difference of these two kinds of weight as bias, therefore we will have two kinds of bias --- foreign bias for foreign investment investor and domestic bias for domestic investment trust investor. This paper is trying to figure out that whether foreign bias and domestic bias effect firm value, and what kind of firm characteristics would affect foreign bias and domestic bias.
We use random effect model to complete our regression analysis and we have two empirical evidence result. First, foreign bias is negatively related to firm value and domestic bias is positively related to firm value. Second, foreign bias and domestic bias are related to firm characteristics such as sales、EPS、ROE….Etc. The most obviously effective firm characteristics variable for two kinds of biases is firm market value, and this result is in accordance with the research of Chan, Ng and Covrig(2005) 、Kang and Stulz(1997).

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第二章 文獻回顧 4
第一節 機構投資人持股投資偏好相關文獻 4
第二節 投資偏誤(Home Bias)相關文獻 7
第三章 資料來源與研究方法 8
第一節 研究期間、樣本選取與資料來源 8
第二節 BIAS計算說明 9
第三節 變數定義說明 11
第四節 模型設計 13
第四章 實證分析 15
第一節 敘述統計量 15
第二節 迴歸分析 24
第五章 結論與建議 31
第一節 結論 31
第二節 研究建議 33
參考文獻 34
中文部份 34
英文部份 35

中文部份
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