Theoretical models suggest that ownership structure may be an important determinant of securities' market characteristics. For example, the presence of informed traders leads to greater bid-ask spreads (Copeland and Galai (1983), and Glosten and Milgrom (1985)), and strategic trading of informed and discretionary liquidity traders leads to intertemporal variation in both trading volume and trading costs (Admati and Pfleiderer (1988), and Foster and Viswanathan (1990)). However, the empirical studies on the effect of ownership structure on market characteristics are limited. Prior studies focus on either one type of market characteristics or one type of owners, and usually do not address the potential endogeneity problem between market characteristics and ownership structure. This dissertation extends existing literature with two essays on ownership and market characteristics. The first essay broadly examines the effect of ownership structure (inside ownership, institutional ownership, and individual ownership) on market characteristics such as order flow, price impact of trade, quoted spread and quoted depth. For each market characteristic examined, I establish an empirical model based on existing theories and empirical evidence. My results indicate that stocks with greater inside ownership have lower order flow, greater price impact of trade, greater quoted spread and lower quoted depth, while stocks with greater active institutional ownership and greater individual shareholders have greater order flow, smaller price impact of trade, lower spread and greater depth. These results may have implications for corporate governance. For example, while agency theory suggests managerial ownership may align interests of managers and shareholders, this essay finds that this comes with a liquidity cost. Further, my results suggest there are liquidity benefits of individual and institutional ownership. If as suggested by Amihud and Mendelson (1989), investors require a higher rate of return for illiquid stocks, firms can target their shares to specific types of investors (for example, active institutions and individuals) to improve liquidity, and reduce their cost of capital. The second essay is a specific application of the first essay and examines the effect of institutional ownership on price discovery around earnings announcements. I select earnings announcements as the event for my analysis because there are three well-documented regularities about earnings announcements. First, market participants anticipate the forthcoming earnings announcements. Second, the announcements of earnings news are usually accompanied by abnormal price changes and abnormal volume. Third, there is evidence that stock price continues to move in the direction of earnings surprise after the announcements of earnings news. Since results from the first essay suggest that institutional investors affect market characteristics such as price impact of trade and quoted spread, I expect that institutional participation would also affect the price discovery process around earnings announcements. My results indicate that institutional ownership is associated with greater anticipation of earnings news. Further, stocks with greater institutional ownership have a greater price response to announcements of earnings news. Finally, institutional investors have no significant effect on post-announcement drift. The results of the second essay suggest that institutional investors contribute to the price discovery process. / Ph. D.

本研究主要探討公司設置獨立董監事及其專業性，對於分析師進行公司盈餘預測時是否會產生影響。由於上市櫃審查準則的規範，本研究將樣本分為兩群，第一群樣本為受此準則規範，須強制設置獨立董監事之IPO公司，第二群樣本為不受此準則規範之上市櫃公司，以研究透過獨立董監的設置，是否會對分析師行為產生影響。 研究結果發現，獨立董事的設置有助於降低分析師預測離散度，尤其是具有專業背景之獨立董事，對於降低分析師的預測誤差及預測離散度有顯著影響；在獨立監察人方面，僅具專業背景之獨立監察人對於提升分析師跟隨人數有顯著影響。另外，亦發現受規範公司樣本對於分析師預測行為之影響力明顯大於不受規範公司樣本，本研究推論其原因為國內除了新上市櫃有因應法規之需求而設置獨立董監事外，一般上市櫃公司並無強大誘因促使其設立獨立董監事，造成自願設置之樣本數量過少，而導致其實證結果不顯著。 / This study investigates the effect on the forecasting behavior of analysts through employing independent directors or independent supervisors and their professional background. According to the listed examination criterion of TSEC and OTC, the samples are classified into two groups: companies regulated by the law and non-regulated companies. The empirical results suggest that independent directors contribute to reducing forecasting dispersion of analysts. Furthermore, independent directors who have professional background contribute to reducing forecasting dispersion and forecasting error of analysts. In terms of independent supervisors, only people who have professional background are positively related with analyst following. The results also show that regulated companies have more significant influence on analysts than non-regulated companies do, indicating that in response to the listed examination criterion of TSEC and OTC, regulated companies have to employ independent directors and independent supervisors. On the other hand, there is no motive for non-regulated companies to employ independent directors and independent supervisors, resulting in no significant impact on forecasting behavior of analysts.

本文探討分析師追蹤行為及分析師特性對其客戶投資效率的影響，並進一步研究分析師對國有與非國有企業的不同影響。本文以2007-2016年中國滬深證交所上市公司為樣本。實證結果發現，分析師追蹤及有較多的分析師追蹤，明星分析師追蹤及有較多的明星分析師追蹤，分析師預測公司數量較多都能提高其追蹤的上市公司的投資效率。本文進一步研究發現，分析師預測公司家數越多，其追蹤的國有企業的投資效率要高於非國有企業；並且，在分析師追蹤下，地方企業的投資效率要高於中央企業。然而，並沒有顯著證據能夠證明在分析師的追蹤下，非國有企業的投資效率高於國有企業。總結上述，分析師在資訊傳遞方面扮演著重要的角色，有助於降低企業資訊不對稱，從而對企業投資效率產生正面的影響。 / The objective of this thesis is to examine the association between forecasts behaviors and the covered firms’ investment efficiency. Using a sample of Chinese listed firms from 2007 to 2016, the empirical results can be summarized as follows. The presence of analyst following improves the investment efficiency of listed companies; the effect increases with the number of analysts following. Second, my results are stronger for firms with star analysts following than those without such analysts; more star following leads to greater improvement in investment efficiency. Thirdly, the effect of the number of analysts is more pronounced for stated-owned enterprise (SOE) than non-stated-owned enterprise (non-SOE). Further analyses indicate that for SOE, the presence of analysts following on investment efficiency is stronger for local SOE than for central SOE.

本研究以1980年至2015年美國及加拿大上市公司為研究對象，探討具有會計專長之執行長（CEO）與外界反應的關係。在探討外界反應之前，本文先檢視具有會計專長之CEO對於盈餘品質的影響，透過此結果，推論專業人士（包含會計師與分析師）與市場投資人之反應。本研究預期，當CEO具有會計專長時，會使盈餘品質降低，故審計風險隨之提高，導致審計公費增加，且分析師的追隨意願降低，同時也將影響市場投資人的反應。 研究結果發現，具會計專長CEO與盈餘管理、審計公費、公司累積異常報酬呈現顯著正相關，與分析師追隨數則為顯著負相關，顯示當CEO具有會計專長時，因有盈餘操控的情況，所以審計公費提高、分析師追隨數減少；但市場投資人或許無法體認盈餘操控的事實，故仍相信具有會計專長之CEO，有可能為公司帶來正面的影響。 / This study investigates the relationship between CEOs with accounting expertise and external reactions of investors, auditors and analysts. The sample firms used in this study are all the stock-listed companies in America and Canada during 1980-2015. Before examining such external reactions, this paper explores the association between CEOs with accounting expertise and earnings quality, which help us to obtain an explanation why auditors, analysts and investors have such reactions. The empirical results show that CEOs with accounting expertise manage earnings more aggressively than CEOs without such expertise. As a consequence, the firms with such CEOs will be charged higher audit fees and have less analyst following. However, investors might not recognize this fact; they still believe that CEOs with accounting expertise will have a positive influence on firms. Our findings could offer a reference for a company looking for a CEO that could bring accounting quality.