機構投資人持股對股價反映未來盈餘資訊程度之影響──以台灣集團公司與非集團公司為例

Institutional Ownership and the Extent to which StockPrices Reflect Future Earnings: Evidence fromGroup-Affiliated Firms and Non Group-AffiliatedFirms in Taiwan

本文乃是以台灣集團公司與非集團公司作為研究對象，分別利用似無相關迴歸法來探討兩類型公司之機構投資人持股水準與股價反映未來盈餘資訊之關係，以及藉由最小平方法來釐清兩類型公司機構投資人持股比率與股價反映領先資訊間之關聯。實證結果發現：集團公司的股價明顯領先盈餘變動，且不論是集團公司或是非集團公司，其機構投資人不會只看當期盈餘，而是會利用當期資訊來預測未來盈餘，所以是精明的投資者，其持股比例越高，股價反映未來盈餘資訊的程度越高，且集團公司若與非集團公司相比，為有效解決其存在的代理問題，其機構投資人持股越多，公司股價反而揭露較多未來的盈餘資訊。而機構投資人之中又以國內其他機構投資人最具影響力，不過公司機構投資人與外資持股也分別對於集團公司與非集團公司有正面影響。集團公司之機構投資人除使用目前盈餘資訊來進行預測外，也善用領先資訊，但受限於現行會計處理，股價反映領先資訊的程度較小；而非集團公司多出現過度投資的現象，其中又以電子類股為最，且研發支出並非其機構投資人所重視的領先資訊。 The purpose of this study is to provide evidence on the extent to which stock priceslead earnings conditional on institutional ownership and investigate whether the extent ofpricing of forward-looking non-earnings information increases with the level ofinstitutional ownership. The sample consists of the group-affiliated firms and the nongroup-affiliated firms for the period 2001-2003 in Taiwan. Our results show that the stockprices will lead earnings in group-affiliated firms. The institutional investors, especiallythe other domestic institutional investors, are usually sophisticated investors whoare better able to use current-period information to predict future earnings. As expected,current-period stock prices reflect more information in future-period earnings asinstitutional ownership increases in both group-affiliated firms and non- group-affiliatedfirms. More importantly, we find that as institutional ownership increases, the proportionof information in future earnings relative to current earnings, reflected in current stockprices for the group-affiliated firms, is greater than that for the non group-affiliated firmsin order to mitigate the seriousness of agency problems existing in group-affiliated firms.In addition, institutional investors of the group-affiliated firms can incorporateforward-looking information that reflects the future earnings. In the same way, thephenomenon of overinvestment also exists in non- group-affiliated firms, especiallyin many electronics companies. However, the institutional investors of the nongroup-affiliated firms do not regard their R&D expenses as a plausible piece offorward-looking information.