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本次研究將以台灣地區1988年至2008年的上市櫃公司，再扣除金融保險業後作為研究對象。本文使用混合資料的兩階段式迴歸模型來進行實證分析，欲了解在實際經營情況下，當公司有其管理者與股東、股東與債權人的代理問題時，管理者持有公司股份的多寡，是否會對公司的融資決策，如資本結構與負債期限，產生影響。實證結果發現如下： 1. 管理者持股比例與公司負債比例呈現不顯著負向關係。 2. 固定資產、公司規模與公司負債比例呈現顯著正向關係。 3. 獲利能力、營運風險與公司負債比例呈現顯著負向關係。 4. 公司成長機會與營運風險皆與公司負債期限呈現顯著負向關係。 5. 傳統產業、航運產業、觀光產業等三種產業與負債期限呈現顯著相關。 6. 在公司成長機會高時，管理者持股比例與公司負債期限為顯著負向關係。 7. 在公司成長機會低時，管理者持股比例與公司負債期限為顯著正向關係。 8. 在公司營運風險高時，管理者持股比例與公司負債期限為不顯著正向關係。 9. 在公司營運風險低時，管理者持股比例與公司負債期限為不顯著負向關係。

本文利用投信公司公佈之基金持股比例及持股內容明細，分析基金經理人的操作行為以及和股市股價指數的互動關係。研究主題有二： 　　一、群集效果的研究，從持股內容的分析來研究「基金經理人在操作基金時是否有群集行為」。 　　二、研究共同基金對國內股市的影響，探討「共同基金平均持股比例和股價指數間的因果關係及相關性」。 　　實證結果如下： 　　一、國內的基金經理人在操作時有明顯的群集行為（效果）。 　　二、台灣證券交易所股價指數和基金平均持股比例兩者間，不論是當期對當期，或是股價指數落後一週至十週的檢定，皆為顯著的正相關。 　　三、若以八個分類股價指數及對應之基金平均持股來看，塑化、機電、紡織、造紙、營建、金融股的11個檢定值皆為顯著正相關。水泥股及食品股的11個值則皆為顯著負相關。

This paper discuss the issue of how corporate governance variables affect the cognitions of groups of investors to lead they separate their investment strategies in 1997-2011 sample period, the results indicate that firms with higher management stockholdings, lower blockholders’ shareholdings, smaller board size, more outside independent supervisors, CEO duality, and one of ultimate controllers served as chairman would be appealing to individual investors; the robust test from 2007 to 2011 only positively affects the investment strategies for foreign institutional investors. Moreover, we explore that lower blockholders’ stockings and smaller board size are favorable characteristics for investors to increase firms’ trading volumes but also the trading volatilities. Finally, we compute the corporate governance score for every sample company called CG-Index, and discover a perfect corporate governance mechanism would inspire investing motivations of domestic individuals and foreign institutions, after considering the information disclosure ranking in 5 years sample period, the stockholding of whole individual investors is indicated positive related to the corporate governance degree.

許多研究指出開放外資投資國內股票市場的好處，但卻很少文獻探討外資是否有促進市場效率的功能。因此本研究旨在探討外資持股比例的高低是否會影響公司價格效率性。我們使用台灣證券交易所的資料，以2007至2016年間所有外資持股的台灣上市公司為樣本，進行分析。其中，我們使用日報酬的一階自我相關係數來衡量價格效率性，當係數趨近於零時，表示價格是有效率的且遵循隨機漫步。研究結果顯示，在台灣股票市場，無論是整體股票市場，或是分別以各產業及外資持股高低的四個組合來看，外資持股比例的增加並沒有助於公司價格效率性的提升。 / Various benefits of opening a market to foreign investors are indicated in prior studies. However, few studies point out whether foreign investors improve efficiency of stock prices. Using a large sample of TWSE-listed stocks over the period 2007 to 2016, we investigate the relation between foreign ownership and price efficiency. In our analysis, we use the first-order return autocorrelations, which should be zero if prices follow a random walk to compute price efficiency. After controlling for the change in foreign ownership, firm size, stock price and stock liquidity, finally, we find that stocks with greater foreign ownership are not priced efficiently whether in overall market or in each level of foreign ownership and also in different industries. In summary, these results suggest that the foreign investors could not improve price efficiency on the Taiwan stock market.

本研究以民國86年至90年之54檔投資台灣開放式一般股票型之共同基金為研究對象，探討財務資訊與股票型基金持股間之關聯。主要實證議題包括：（一）在不同的產業之下，共同基金經理人從事持股決策所重視的財務屬性是否有差異及（二）公司之財務表現與共同基金對該公司平均持股比例之關聯性。 本研究分別針對建築、食品、塑化、紡織、電機、資訊電子及服務銷售類等七個產業，首先利用因素分析將16項財務比率萃取出數個具代表性之財務屬性，並加入股票週轉率、淨值市價比、本益比與每股股價等控制變數進行迴歸分析，以探討財務屬性與共同基金平均持股比例之關聯性。 實證結果發現，償債能力、經營能力、投資報酬、經營績效、固定資產資金之安全與效率和現金支應能力六個財務屬性最能代表建築產業之財務表現；償債能力、經營能力、應收帳款週轉率和獲利能力四個財務屬性最能代表食品產業之財務表現；償債能力、利息保障倍數、經營能力、和獲利能力四個財務屬性最能代表塑化產業之財務表現;償債能力、利息保障倍數、經營能力、獲利能力和財務結構五個財務屬性最能代表紡織產業之財務表現;償債能力、資金適足率、經營能力、獲利能力和財務結構五個財務屬性最能代表電機產業之財務表現；償債能力、經營能力和獲利能力三個財務屬性最能代表資訊電子產業之財務表現；而償債能力、經營能力、獲利能力、負債比率和固定資產資金之安全與效率五個財務屬性最能代表服務銷售產業之財務表現。各個產業所萃取出之財務屬性因素不盡相同，顯示彙總公司財務狀況及經營績效的財務屬性確有產業別之差異存在。在所探討的財務屬性構面中，償債能力、經營能力、獲利能力為各產業共同強調之財務屬性。 就基金經理人所做的持股策略來看，不論針對何種產業，償債能力、經營能力及獲利能力均是基金經理人最為重視的財務屬性指標。研究結果另外也顯示，除了服務銷售業、食品業與建築業外，其他產業之償債能力屬性表現越好，基金持股比例愈高。塑化業、紡織業、電機業、資訊電子業和服務銷售業之經營能力屬性表現愈好，基金持股比例也相對愈高。至於獲利能力屬性則在紡織業、電機業、資訊電子業和服務銷售業顯著地對基金持股比例有正面的影響。 本研究之發現顯示，不同的產業在不同的經營環境下，反映公司狀況的財務資訊會因產業別而有所不同，即使在相同的財務比率下，彙總公司財務狀況及經營結果之財務因素屬性仍有所差異，並進而影響基金經理人的持股決策，尤其是償債能力、經營能力和獲利能力，更是投資各產業時廣泛參考的基本財務屬性指標。 關鍵字：股票型基金、財務屬性、基金持股比例 / The primary object of this research is to exam the relationship between financial information of a firm and its share held by mutual funds, based on 54 mutual funds of general stock investments in Taiwan over the period of 1997 to 2001. Two major research issues are investigated in this thesis. The study first explores whether the managers of mutual funds emphasize on the same attributes abstracted from financial statements across different industries for their share-holding decisions. The study then examines the relationship between financial performance of a company and its average invested percentage by mutual funds. This thesis focuses on architecture, foods, plastic, textile, electrical machinery, information electronics, as well as service and sales industries. Based on a factor analysis approach, the thesis is able to obtain several representative dimensions of financial attributes out of 16 financial ratios. Then, the use of multiple regression models enables the study to investigate the relationship between financial attributes and average shareholding percentage of the mutual funds across industries. The empirical results indicate that financial attributes extracted are not exactly the same across industries. It implies that industry differences do exist in financial attributes that summarize the financial conditions and operating performances of companies. Among others, attributes that characterize the performance of liquidity, operating efficiency, and profitability of a firm are found important for share-holding percentage across all industries examined. The research findings show that with exceptions in the service and sales, foods, and architecture industries, liquidity has found to have a significant and positive relation with the share-holding percentage of mutual funds in all industries examined. Operating efficiency has also found to be significantly and positively associated with the share-holding percentage in the plastic, textile, electrical machinery, information electronics, as well as service and sales industries. In addition, a significant and positive relation is found between profitability and the share-holding percentage in the electrical machinery, information electronics, textile, as well as service and sales industries. The finding of this study implies that difference in financial conditions of firms may result in difference in financial attributes across industries; even the analysis is based on the same financial ratios. Further, the liquidity, operating efficiency and profitability are the most essential indicators shared by mutual funds managers in making investment decisions. Keywords: stock-type mutual fund, financial attribute, share-holding ratio

我國公股銀行民營化後，對於經營績效的影響目前未有定論，然而我國政府對於已完成民營化公股銀行更衍生出後續之政府持股管理問題。因此本研究整理相關文獻，希望可以透過資料包絡分析法，客觀評估銀行經營績效，並且研究政府持股如何影響公司經營效率。並且考慮資產品質會對銀行經營造成壓力，因此將備抵呆帳是為銀行投出的一部分，希望可以更廣泛的討論銀行經營績效，並且可以對政府持股管理問題提出可能觀點。主要研究結果如下： 一、 公股銀行平均技術效率値顯著優於民營銀行，主要來自於純粹技術效率的優勢。而資產品質主要對民營銀行產生規模效率之減損。 二、 100%公股銀行在純粹技術效率與技術效率，無論是否有考慮備抵呆帳皆顯著最佳，民營化銀行次之，民營銀行最差。然民營化銀行在無論有無考慮備抵呆帳的情形下，規模效率皆不如100%公股銀行或民營銀行。 三、 我國政府不同的持股比例對於公司經營效率之影響，可能並非單純線性關係。若政府低於33%，則持續降低政府對於經營之影響力，可能有助於公司經營效率。 四、 Malmquist生產力指數顯示100%持股公股銀行生產力因為生產技術的提升，累積後較民營化銀行為大，此與三類銀行間t-test之檢定結果相同。顯示政府持股較多的銀行可能有助於提升技術效率與純粹技術效率。

隨著國內外相關弊案的爆發，「公司治理」近幾年來一直是企業相當重視的議題。除了由於受到國際環境變化劇烈所影響之外，公司治理也與整體企業監控制度有密切之關聯。在國內外有相當多的學者從不同角度進行公司治理的相關的研究，而主管機關如金管會、證交所等也陸續制定相關的措施，希望能夠盡最大的力量來保障投資人的權益。 本研究主要是藉由公司治理的主要變數來探討企業購併案所造成的超額報酬與公司治理之間的影響，並進一步討論當公司治理愈差時，宣告購併所產生的超額報酬是否會較低。研究期間為民國87年1月至97年3月間，曾發生併購活動的上市、櫃公司，共選取100個樣本。而實證結果如下： 一. 經理人持股比例和公司宣告購併所造成的超額報酬呈顯著正相關 二. 大股東股比例和公司宣告購併所造成的超額報酬呈顯著正相關 三. 獨立董事占董事會的比例和公司宣告購併所造成的超額報酬呈顯著負相關 四. 董事會的規模和公司宣告購併所造成的超額報酬呈顯著負相關 五. 市值規模和公司宣告購併所造成的超額報酬呈現正相關，但不顯著 另外，本研究也針對公司治理較差的公司去進行研究分析，發現若公司治理較差的公司去從事購併案時，可賺取的超額報酬愈少，而當公司治理愈差時，這種關係將愈顯著。最後，本研究也彙整一些相關建議，以供後續學者、企業以及政府機關做參考。 / As scandals related to managers and the wealth of investors spring up worldwide, corporate governance has become an important issue recently. In addition to drastic international macroeconomics changes, corporate governance is also strongly influenced by overall monitor systems. Scholars around the world have done lots of research regarding corporate governance for decades. In addition, relevant efforts and measures, aimed at protecting investors’ rights and interests, have also been done by authorities such as FSC and TSE. The purpose of the study is to study the relationship between abnormal return of M&A and corporate governance by examining the factors we choose. Furthermore, we discuss if a company performs poorly on its corporate governance system, whether the abnormal return caused by merger deals will also decrease? 100 samples were selected from the listed companies from TSE and OTC between 1998~2008. Main findings include the following： (1). The ratio of the stock held by managers has a positive relationship with abnormal return of M&A. (2). The ratio of the stock held by major stockholders has a positive relationship with abnormal return of M&A. (3). The ratio of the outside independent directors has a negative relationship with abnormal return of M&A. (4). The scale of the board has a negative relationship with abnormal return of M&A. (5). The market value has a positive relationship with abnormal return of M&A Moreover, the study has also done some empirical research on companies whose corporate governance pale in comparison with others and found that those who do poorly on corporate governance tend to make less abnormal return when making acquisition announcements. Last but not least, the study has also made some suggestions for scholars, businesses and government and hope that they may come in handy in the future.

現今，世界經濟脈動迅速，科技發展日新月異，如何在瞬息萬變的趨勢洪流中掠取先機，端賴自身競爭力強弱而定。然而管理當局短視行為的發生，卻易損及企業的競爭優勢，甚至對企業未來有不利影響。造成管理當局短視之因源於多方面，來自資本市場投資人的影響即為其一。而資本市場中，機構投資人往往是大家注目的焦點，因此本研究乃對機構投資人持股比例與管理當局短視行為的關係進行探討，並期望能對公司治理制度的擬定上有所助益。 本研究以民國八十四年至民國九十年為研究期間，針對我國上市公司研究其管理當局短視行為與機構投資人持股比例間的關係，並探究在電子與非電子產業間兩者關係是否相同。此外，本研究亦比較機構投資人與個人投資者，各自持股比例與管理當局短視行為的相關情形，進以探尋真正能發揮監理機制的投資人類別。 實證結果顯示：(1)管理當局短視行為與機構投資人持股比例高低有顯著之負向關係，而與個人投資者持股比例間則有顯著的正向關係。(2)在非電子產業中，機構投資人持股與管理當局短視行為呈顯著負向關係，而電子產業中兩者則無顯著關係。(3)管理當局短視行為與機構投資人持股比例變動的幅度有顯著之負向關係，而與個人投資者持股比例變動則有顯著的正向關係。(4)在非電子股產業方面，機構投資人持股比例變動幅度與管理短視行為間無顯著關係；但在電子產業中，則兩者間呈現顯著之負向關係。 / Nowadays, the economy situation is changing so fast and the development of new technology has altered with each passing day. To be ahead of their competitors, firms must sharpen their competitive edge. However, management myopia often damage their competitive advantages and would do harm to the firms in the future. The phenomenon of management myopia is derived from many reason, one of them is the effect of the investors in the capital market. Furthermore, participants in the capital market always pay attention to the behavior of institution investors. Thus, this research explores the relationships between the ownership of institution investors and management myopic. We hope it would be beneficial to the enactment of the system of corporate governance. This research focuses on the relationship between the myopic behavior of management and the ownership of institution investors of the listed companies in Taiwan Stock Exchange from 1995 to 2001. It also explores if the relationship is the same in both electronic industry and non-electronic industries. Besides, the study also compares the effect of the ownership of individual or institution investors on the management myopia in order to point out the type of investors that can provide monitory function clearly. The empirical study indicates that (1) there is a significant negative relationship between the myopic behavior of management and the ownership of institution investors. Conversely, there is a significant positive relationship between the myopic behavior of management and the ownership of individual investors. (2) In the electronic industry, the relationship between the ownership of institution investors and the myopic behavior of management is not significant. However, it is significant negative in other industries. (3) The change of percentage of ownership of institution investors has significant negative relationship with the management myopia. However, it is opposite to the individual investors. (4) No significant relationship between the institution investors and the management myopic in non-electronic industries. But in the electronic industry, it is significant negative.

本研究主要係探討財務比率資訊對外國專業投資機構投資決策之資訊內涵。主要實證議題包括：（一）探討不同產業下，影響外資投資策略之重要財務屬性為何？（二）前述財務屬性與外資持股變動之關係；及（三）財務比率資訊對外資持股變動之解釋能力是否因產業別之不同而有所差異？ 本研究以民國84年至88年間之台灣上市電子業、紡織業、塑膠業、食品業公司為樣本，首先運用因素分析將十八項財務比率萃取出獲利能力、償債能力、經營能力、帳款變現性及財務結構等五個不同構面的財務屬性，並加入公司規模、本益比及產業加權指數變動作為控制變數，以迴歸模式進行產業別分析。 實證研究結果發現，就整體而言，獲利能力為外資持股最具決策攸關性之財務屬性。就個別財務因素觀之，獲利能力、經營能力、帳款變現性及財務結構屬性均符合本研究假說預期與外資平均持股比例呈正向關係。償債能力屬性在電子業、紡織業及食品業均與預期相符呈正相關，僅在塑膠業與外資持股呈現負相關，與預期假說相違。由於負債比對償債能力屬性之影響為負向，故負相關之研究結果表示負債比相較於其他財務比率對塑膠產業樣本公司之償債能力屬性具更明顯的影響力。如併考量塑膠業之流動比及速動比均較其他產業為高之情形，此發現可能意謂，外資基於塑膠業之產業特性，並不希望塑膠業公司積壓過多資源而導致喪失投資獲利的機會。 此外，實證結果亦顯示，迴歸模式之解釋力在不同產業下確實存在產業之差異性，故產業性質對財務比率分析具有重要影響力。 / By examining whether the detailed financial ratios are informative about subsequent changes in Qualified Foreign Institutional Investors’(QFII) shareholdings, this thesis investigates the usefulness of accounting fundamental signals in the QFII investment decisions. Using a sample of firms listed in Taiwan Stock Exchange from electronics, textile, plastic and food industries over the period of 1995 to 1999, this thesis explores three empirical issues: (1) What are the important financial attributes for QFII’s investment decisions, measured in terms of changes in QFII shareholdings of specific companies? (2) The relationship between the shareholding change and the financial attributes. And (3) Would such relationship differentiate across industries? Based upon a factor analysis approach, this thesis first extracts 18 financial ratios into five dimensions of financial attributes: profitability, operating management, account receivable turnover, liquidity, and financial structure. By incorporating these five financial attributes with company size, price-earning ratio and industrial stock price index into a multiple regression, the relationship between financial attributes and QFII shareholdings is then investigated. The empirical findings indicate that profitability is the most relevant factor that affects the QFII shareholdings. The evidence also shows that consistent with the hypothesis, profitability, operating management, accounts receivable turnover, and financial structure are significantly and positively associated with QFII shareholdings for all industries related. With the exception of the plastic industry, liquidity is negatively related to QFII shareholdings. There is cross-industry difference in explanatory power of regression models used. This result might thus imply that industry factor plays a role in the usefulness of financial ratio analysis.