臺灣機構投資人動態持股偏好之探討

The Dynamic Investment Preferences of Institutional Investors in Taiwan

本文主要探討機構投資人持股偏好是否有隨時間改變的趨勢，以及機構投資人是否會因市場狀態不同（股市上漲或下跌時期）而改變其持股偏好。研究顯示外資逐年將股權移往大市值、低系統風險、低股價、低週轉率與成長股，並略微持有較多高股價變動的公司股份，然投信卻逐漸將股權移往小市值、高系統風險、低股價變動的股票。外資與投信反向操作的情況在控制市場狀態時更為明顯，外資於股市下跌時期拋售大型股、高價股、輸家股、年輕股、高系統風險、低淨值市價比、與低股利支付個股，而這些特徵值卻是投信於股市下跌時所特別偏好的。本文更進一步檢視偏好改變的原因，研究顯示外資將股權往大市值集中的現象除了導因於近鄉偏誤（homebias），大市值個股所提供的高流動性與變現性使得外資在股市下跌時快速退出市場也是原因之一。而投信在小型股相較於外資的確更能展現其資訊優勢。

The purpose of this paper is to investigate what and how institutional investors reveal dynamic preferences with and without conditioning on market states. Our results show that mutual funds exhibit a significantly preference toward stocks with smaller-capitalization, higher-beta, and lower-total-risk over time while foreign investors move toward stocks with larger-capitalization, lower-beta, higher-total-risk, lower-price, lower-turnover and growth stocks. The contrary holding preferences between foreign investors and mutual funds are much more apparent conditional on the market states. Further evidence shows that foreign investors’ forecasting ability to stock returns arises primarily for large-capitalization securities, implying that information asymmetry and home bias possibly result in investment barriers to smaller securities. Mutual funds unambiguously exhibit an informational advantage in smaller stocks over foreign investors.