根據台灣證券交易所(TWSE)證券統計資料年報顯示，2010年台灣股票市場中散戶投資人交易成交值比重約為68%，外國機構投資人約為18.5%。一般而言，外國機構投資人被視為具有專業分析能力的交易者，散戶投資人則為雜訊交易者。在本文中我們將藉由觀察各類型投資人的交易行為，探討台灣股票市場中不具有資訊內涵的散戶投資人是否會跟隨具有資訊的外國機構投資人的交易行為。 為了瞭解散戶投資人是否有跟隨外國機構投資人的情況，我們在本文中分別使用事件研究法與向量自我迴歸模型(VAR)模型加以分析各類型投資人的交易行為。我們發現，外國機構投資人為正向回饋的動能交易者，本國機構投資人及散戶投資人為反向操作者；然而當發生金融風暴時，外國機構投資人轉變為反向操作者，散戶投資人轉為正向回饋的動能交易者。透過向量迴歸模型，我們發現散戶投資人的交易行為並不會受到前期外國機構投資人交易行為的影響，顯示散戶投資人並未跟隨外國機構投資人的交易行為。 / According to Taiwan Stock Exchange Corporation (TWSE), individual investors accounted for 68% trading volume and foreign institutional investors accounted for 18.5% in stock market in 2010. In general, we regard foreign institutional investors as traders with professional analysis abilities. However, we thought individual investors are noise trader. We would like to know whether the individual investors follow foreign institutional investors’ transactions and elaborate their transaction behavior. In order to understand whether individual investors follow the foreign institutional investors, we used event study and VAR to analyze their transaction behavior. We observed that foreign institutional investors are momentum traders. On contrary, we noticed that domestic institute investors and individuals are contrarian traders. Nevertheless, during financial crisis, foreign institutional investors became contrarian traders and individual turned to momentum traders. Through VAR model, we found that individual did not follow foreign institutional investors.

本研究主要目的在於探討各類型投資人投資股市之損益情形與課徵證所稅對其租稅負擔的影響，以及證券交易所得與股利收入稅率不同下，投資人是否會藉由在除息權前出售股票以規避股利所得稅。 模擬分析結果發現不論在何種課徵證券交易所得稅方式下，機構法人之應納稅負顯著高於其他投資人；在自然人投資人中，大額投資人之應納稅負則高於小額投資人。 　　模擬分析課徵證券交易所得稅並取消證券交易稅下，對半數以上的投資人而言租稅負擔下降，但政府之總稅收卻將增加，隱含著課徵證券交易所得稅，有納稅能力者租稅負擔提高，能達到垂直公平。 　　此外，雖然現制證券交易所得與股利收入稅率不同，但研究發現多數的投資人在除權（息）日前、後之淨購入股數比率並無變動，未能驗證投資人會為了規避股利所得稅，而於除權（息）日前出售股票。

本研究利用台灣證券交易所1992到2006年的投資人成交資料，來研究散戶投資人之交易偏好是否隨時間經過而改變的原因。本研究結果顯示散戶投資人買進股票時對於股票特性的偏好（如本益比、規模、帳面價值對市價比等）會隨著時間經過而改變，此外每個年度買進股票的數目並非隨時間經過而維持一致。最後每年度均在市場交易的散戶投資人，其選擇股票的偏好傾向高周轉率、低報酬率標準差、以及高帳面價值對市價比的股票，顯示持續參與市場的投資人，其買進股票的行為較為傾向風險趨避。 / In this paper, investors’ trading records from TSEC for the period from 1992 to 2006 are used to do the research about whether the preferences of individual investors have changed from time to time. Also, the results show that the buying preferences of individual investors, such as P/E ratio, size, and book-to-market ratio, changed year by year and their numbers of purchased stocks also changed every year. In addition, the research takes the individuals who traded every year as samples to trace their behaviors, and the result shows they preferred to stocks with high turnover ratio, low standard deviation of stock return, and high book-to-market ratio when they were picking stocks. From this result implies that individuals who consistently participated in the stock market behaved as risk-averse investors.

2009年之際，台灣中小企業隨著時代演進逐年增加，各項數據顯示了台灣蓬勃 的創業活動，正走向「創業型經濟體系」的形態，然而，其中的設計產業，由於 商業模式多元且無界限，並無既定的商業模式可供遵循，台灣中小型企業在此產 業中創業的案例雖多，關於此領域的相關財務管理文獻卻相當匱乏，一般教科書 與教學個案關於此類的案例也相當稀少。本研究乃是藉由「01 生活發展事業」此間設計公司在 2009、2010 年之際創業的案例，透過財務管理觀點（特別是預算評估、資金運用以及公司治理之代理人問題作為分析重點），搭配企業管理相關分析，對當時的台灣設計產業創業環境以及公司本身做綜合性的討論，提供給欲進入設計產業之潛在企業家，以及剛踏入設計產業創業家，一個不同以往的借鏡與思考方向。

本研究探討私募折價幅度及私募前後績效之影響因素，並將應募人分為內部人、積極投資人以及消極投資人三種，觀察不同應募人下的私募，其私募前及私募後是否有累計異常報酬。 實證結果發現，在私募前股價表現與私募對象之關係方面，當私募對象為內部人時，在私募前45日股價即開始下挫，之後的累計異常報酬皆為負值，其原因可能為內部人藉由套利交易，先行在集中市場上賣出手中原有持股，再用較低價格認購私募新股，此舉不但能使手中持股的成本降低同時也能維持既有股權。關於私募半年後的股價表現，內部人及積極投資人私募後的累計異常報酬顯著為正，代表內部人在投資私募新股時，可能隱含著未來公司有較好的投資機會；至於積極投資人後續績效為正，可能代表積極投資人未來將會扮演監督者的角色，有助於提高公司的價值。迴歸分析也顯示，當公司私募的價格相對於公司在私募定價日當時的股價折價越多時，私募之後的累計異常報酬越低，代表私募折價會降低公司價值，傷害現有股東的權益。 / This study investigates the effect of private placements on stockholder wealth before/after the events based on cumulative abnormal return for three categories of investors, namely, the insiders, active investors and passive investors. For private placements with insider investors, significant negative abnormal return prior to private placements may reveal sell arbitrage taken by insiders while significant positive abnormal return subsequent to private placements supports signaling theory. Evidence showing significant negative relation between price discount on private placements and subsequent business performance implies the price discount reduces market value and hence harmful to existing shareholders’ wealth.

根據Easley, Kiefer, O’Hara and Paperman (1996)所發展的模型，我們可以對台灣證券交易所上市的股票進行訊息交易的研究。我們的結果顯示，交易越活絡的股票含有訊息交易的機率越低；而這與Easley, Kiefer, O’Hara and Paperman的研究結果一致；換句話說，紐約證券交易所與台灣證券交易所的股票對於訊息交易都有類似的特性。因此，根據研究結果，沒有訊息的投資人應該多去交易較活絡或交易量較大的股票，因為這些股票含有訊息交易的機率較低。 / Following the empirical model developed by Easley, Kiefer, O’Hara and Paperman (1996), we have investigated the information content of the stocks on the TSEC. Our result reveals that more liquid stocks have the lower risk of informed trade than do less liquid stocks and this is basically consistent with the finding of Easley, Kiefer, O’Hara and Paperman. Stocks on the NYSE and the TSEC have similar characteristics of informed trade. Therefore, for uninformed traders, it is better for them to trade stocks which are more liquid and have higher trading volume.

Since the 2008 financial crisis, we have been seen significant changes and movements in the capital markets. As an Investor Relations Officer (IRO) of the listed company, a continuing challenges is to attract and retain the investment funds from the capital market and keep a liquidity. Hence, the effective Investor Relations is very essential for the listed company because an effective investor relations programme is not only save valuable management time, but also can assist to deliver a fair valuation for the equity of enterprise, reduced funding costs and provide a strong shareholder base which will stand the company in good stead if times get tough, such as in low season business cycles or uncontrollable global financial crisis. The Investor Relations would be the eyes and ears of a company in the capital market and would deliver valuable insights into market sentiment, such as to potential investors and shareholders. An effective investor relations must have full commitments and supports of the senior management and C-suite. Investor Relations is a strategic management responsibility that requires an integration of corporate finance, communications, competence, perspective, and compliance to enable the most effective two-way communication between a company, investment community, and all shareholders. The key objective of IR is to achieve optimal valuation of the enterprise. The Investor Relations should articulate in a way that investors could understand the direction of the company and develop reasonable expectations for determining success via investor conference, roadshow, and other communication channels.

證券市場係現代化國家發展經濟、繁榮社會的主要工具，其重要性自不待言。然證券 交易之首要為公平，欲達公平之目的，唯適切適時充分公開之資訊是賴。 誠如吾人所知，訊息溝通的良善與否，受訊息本身與訊息之通路（即媒體）等因素的 影響。當訊息本身並不為受訊者所重視，而無法作有效之貢獻時，訊息溝通便發生障 礙。同理，通路之選擇是否恰當，亦影響到受訊者之有效接觸與否。 援引之證券市場投資人之資訊收集行為，吾人可知有關公開之主體，除了必須適時適 切充分公開有關之資訊外，尚須公佈真正為投資人所關切之資訊，同時得選擇適宜的 管道加以傳佈，方能達到證券市場資訊有效流通之目的，進而促進市場交易之效率與 公平。 本研究嘗試從文獻制度與實證等方面，研究投資人選擇資訊來源及對投資資訊之認知 ，以瞭解對證券市場訊息流通之作用。 實證針對一般投資人寄發問卷收集資訊，將證券有關資訊先行分類，逐一詢問填卷人 獲取該資訊之來源，利用獨立性檢定之統計方法，檢定投資人資訊來源與合統計變項 間有否顯著關連存在。其次，詢問受訪者進行投資分析來源與人口統計變項間有否顯 著關連存在。其次，詢問受訊者進行投資分析決策時所考慮之重要因素，以及目前公 開之資訊是否已充分提供上述之重要考慮之因素，亦即其是否真正切合投資之需求。 研究結果發現：證券市場投資人某些資訊類別之資訊來源，確與人口統計變項有顯著 關連存在。而現行公開之資訊有明顯部份不符合投資人之需求。顯示將投資人的人口 特性納入媒體選擇考慮，並針對投資人的需求強化公開資訊之品質，對於促進證券市 場訊息之有效流通，實有其必要性。

本研究利用1992年至2006年間台灣證券交易所的逐筆成交資料，探討機構投資人的投資偏好。將法人分為外資、自營商、投信及其他法人四類，依Ng和Wu(2006)年提出的研究方法，利用投資者投入資金的比重做為偏好強度的衡量，以各種股票特性因子作為偏好的替代變數，分別進行迴歸分析。研究結果發現四類法人皆偏好市值占總市值較高、流動性較高、高價、低報酬波動性的股票，在報酬率方面，外資、自營商及投信皆偏好資產報酬率、股票報酬率以及現金股利率的股票。此外，觀察不同年度，四類法人對於高流動性、高報酬率及低報酬率波動度的股票有較穩定的偏好，但對於其他變數的偏好則會隨著時間及環境發生改變。

In this paper, we find evidence that the mutual fund flows could be a good measure of investor sentiment, and inventors in Taiwan have independent sentiments about domestic and foreign markets. We further construct a sentiment index by principle component analysis, and show that investor sentiment measured by fund flows has no significant impact, although the sign is positive as expected, on concurrent market return. The results also suggest different sentiments embedded in mutual fund flows and stock market in Taiwan.