臺灣博碩士論文加值系統

本研究主要探討內部人、機構投資人與公司經營績效之關聯性，以2002年至2006年間台灣上市公司資料進行實證研究。本研究使用追蹤型迴歸分析法來分析橫斷面與混合時間數列的資料，經檢定，顯示各模型均適用於固定效果模型。實證結果顯示內部人申報轉讓行為可獲得正的異常報酬；機構投資人的買超行為可獲得正的異常報酬，賣超行為會造成負的異常報酬；內部人持股比例對公司經營績效的影響，呈現顯著正相關；機構投資人持股比例對公司經營績效的影響，亦呈現顯著正相關；更進一步發現機構投資人持股比例對績效的影響優於內部人持股比例對績效的影響；而在股票波動性方面，發現內部人持股比例及機構投資人持股比例皆與股票波動性呈負向關係，且機構投資人持股比例對股票波動性降低的程度優於內部人。

This study is to examine the relationship among of insiders, institutional investors and firm performance. This model is applied to the data of the Taiwan stock market for 2002 to 2006. We will apply linear regression models for panel data. Furthermore, applies Redundant Fixed Effects Test and Hausman Test to determine the best statistic method. The empirical results are summarized as follows：the announcement of the change in the insiders’ shareholding will produce positive abnormal return. Institutional investors’ excess buy will produce positive abnormal return and excess sale will produce negative abnormal return. Insider ownership has significant positive impact on performance. Institutional ownership has significant positive impact on performance. And we also find institutional ownership on performance is superior to insider ownership on performance. In stock return volatility, we find insider ownership and institution ownership have significant negative impact on stock return volatility. And we also find the degree of stock return volatility for the institutional ownership is smaller compared to the insider ownership.

中文摘要-------------------------------------------------------------------------------i
英文摘要-------------------------------------------------------------------------------ii
致謝-------------------------------------------------------------------------------------iii
目錄-------------------------------------------------------------------------------------iv
表目錄----------------------------------------------------------------------------------vi
圖目錄----------------------------------------------------------------------------------vii
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
第三節 本文架構及研究流程---------------------------------------------------4
第二章 文獻回顧----------------------------------------------------------------------6
第一節 代理理論與資訊不對稱------------------------------------------------7
第二節 公司治理與代理問題--------------------------------------------------11
第三節 股權結構與股票波動性-----------------------------------------------13
第四節 內部人交易相關文獻--------------------------------------------------14
第五節 機構投資人交易相關文獻--------------------------------------------18
第三章 研究設計---------------------------------------------------------------------21
第一節 研究架構-----------------------------------------------------------------21
第二節 研究假說-----------------------------------------------------------------22
第三節 研究變數操作性定義--------------------------------------------------27
第四節 研究方法-----------------------------------------------------------------34
第五節 資料來源與樣本選取--------------------------------------------------44
第四章 實證結果分析-----------------------------------------------------------------46
第一節 樣本資料敘述統計分析----------------------------------------------47
第二節 異常報酬之分析-------------------------------------------------------52
第三節 模型基本檢定----------------------------------------------------------54
第四節 內部人交易行為與經營績效之關聯性-----------------------------58
第五節 機構投資人交易行為與經營績效之關聯性-----------------------64
第六節 比較機構投資人與內部人對績效之影響-------------------------69
第七節 股權結構對股票波動性之關聯性----------------------------------77
第八節 穩健性檢定-------------------------------------------------------------79
第五章 結論與建議-----------------------------------------------------------------86
第一節 研究結論----------------------------------------------------------------86
第二節 研究建議----------------------------------------------------------------88
參考文獻--------------------------------------------------------------------------------89
中文部份--------------------------------------------------------------------------------89
英文部份--------------------------------------------------------------------------------90










表目錄
表1-1 歷年三大法人與一般投資人投資額佔我國股市比重-----------------2
表3-1 變數定義----------------------------------------------------------------------31
表3-2 研究樣本公司篩選過程----------------------------------------------------45
表3-3 研究樣本篩選過程----------------------------------------------------------45
表4-1 樣本變數之敘述統計量----------------------------------------------------49
表4-2 機構投資人與內部人股權高低之獨立樣本t檢定--------------------50
表4-3 各事件日之SCAR及統計值----------------------------------------------53
表4-4 皮爾森相關係數表----------------------------------------------------------56
表4-5 檢定適用之模型-------------------------------------------------------------60
表4-6 內部人交易行為與績效之迴歸分析-固定效果--------------------------60
表4-7 檢定適用之模型-------------------------------------------------------------62
表4-8 董監事質押比率與績效之迴歸分析-固定效果--------------------------63
表4-9 檢定適用之模型-------------------------------------------------------------65
表4-10 機構投資人交易行為與績效之迴歸分析-固定效果------------------66
表4-11 檢定適用之模型------------------------------------------------------------67
表4-12 機構投資人交易行為與績效之迴歸分析-固定效果------------------68
表4-13 主導與績效間之ANOVA-------------------------------------------------71
表4-14 內部人與機構投資人對績效影響之迴歸分析-固定效果-----------73
表4-15 持股、主導與績效之迴歸分析(考慮非線性及交叉項)-------------75
表4-16 股票波動性之迴歸分析-固定效果-------------------------------------77
表4-17 二階段最小平方法之迴歸分析-固定效果-------------------------------------80
表4-18 持股、主導與ROE、RETURN之迴歸分析-固定效果------------------------83
表4-19持股、主導與績效之迴歸分析(考慮非線性及交叉項)---------------85
圖目錄
圖1-1 研究流程-----------------------------------------------------------------------5
圖2-1 董監事持股與Tobin Q的非單調線性關係----------------------------16
圖3-1 研究架構----------------------------------------------------------------------21
圖3-2 事件日、事件期、估計期關係圖----------------------------------------35
圖4-1 ROA與機構投資人對內部人持股相對比例之關係-------------------69
圖4-2 ROE與機構投資人對內部人持股相對比例之關係-------------------70
圖4-3 托賓Q與機構投資人對內部人持股相對比例之關係----------------70
圖4-4 EPS與機構投資人對內部人持股相對比例之關係--------------------71

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