The Investment Strategy and Performance of Institutional Investors

本研究經過分析台灣股市中三大法人的持股率與買賣超對於公司財務變數與市場變數的的關係，藉由法人的持股選擇觀點，進而組成具有法人選股特性的投資組合，並驗證其是否具有較佳的績效表現與是否具有擊敗大盤的能力。實證結果發現，外資偏向投資於較大報酬波動率與規模的公司，以及較低負債比率與股利殖利率的公司；投信具有偏好較高的股利殖利率、股東權益報酬率、移動平均報酬率之標準差與規模的公司，以及淨價市值比較低的公司；自營商喜歡較高的負債比率、淨值市價比、移動平均報酬率與規模的公司，以及報酬波動率較低的公司。在驗證經由法人的投資特性組成之投資組合表現中，發現投信之投資組合雖具有較高的平均報酬率，但是考量風險因子後，自營商的績效表現較佳，而且都具有擊敗大盤的績效表現。The study analyzed the relationship between Taiwanese institutional investors’ shareholding ratio or net buy-and-sell and the company's financial variables and market variables. Using the result of regression to compose a portfolio with the characteristics of institutional investors, and verification whether it has a better performance than the stock market index. The empirical results show that foreign investors tend to invest in the company with larger volatility and size, and also lower debt ratio and dividend yield; Investment trust investors with a preference for high dividend yields, return on equity, the long-term volatility and size of the company, and tend to invest in lower book-to-market ratio of the company; Dealers like high debt ratio, book-to-market ratio, size and momentum, and also preference for the company of lower volatility. The performance of the portfolio with institutional investors’ characteristics, we found that the investment trust's portfolio had highest average rate of return, but after consideration of risk factors, dealers had better performance. Both of the portfolio beat the stock market index’s performance