We analyze institutional allocation in initial public offerings (IPOs) using a new data set of R.O.C. offerings between 2005 and 2006. We document a positive relationship between institutional allocation and day one IPOs returns. This is partly explained by the practice of giving institutions more shares in IPOs with strong premarket demand, consistent with Book Building theories. However, institutional allocation also contains private information about first-day IPOs returns not reflected in premarket demand and other public information. Our evidence supports Book Building theories of IPO underpricing, but suggests that institutional allocation in Underpriced issue is in excess of that explained by Book Building alone.

archives@tulane.edu / 1 / Mengde Liu

This paper probes into institutional investor¡¦s impact on Taiwan¡¦s stock market and its shareholding ratio in the relation of return. We aim to find out an effective return index of degree in order to provide another reference basis for investors. This research uses listed companies from 1999 to 2003 as sample. The analysis result shows that Taiwan has gone against the phenomenon of book-to-market and size effect in the past five years, and institutional investors¡¦ partiality is one of the reasons causing this phenomenon. The stock with high share of all kinds of institutional investors is expected to have high return in addition. In consideration of the momentum of the share of all kinds of institutional investors, we are unable to prove that the stock which has the positive momentum of share of all kinds of institutional investors will yield high return. The size factor and book-to-market ratio factor at the regular value prove whether institutional investors still have the ability to select stocks. The result proves that the group with high share of all kinds of institutional investors still has high return under the same book-to-market ratio and size factor, and proves that institutional investors indeed have better tactics in selecting stocks.

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Yes / This paper investigates the role of institutional investor sentiment in the mean–variance relation. We find market returns are negatively (positively) related to market’s conditional volatility over bullish (bearish) periods. The evidence indicates institutional investors to be sentiment traders as well.

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。

Liquidity risk is a large issue faced by mutual funds. Large funds typically trade in size, and these large sizes often have a significant impact on prices. My hypothesis is that large funds will not invest in illiquid assets as much as smaller funds due to the price sensitivity of illiquid assets. While this seems obvious, the results from this study are not in agreement with this hypothesis. My paper finds that as the illiquidity of a stock increases, so does the probability that a large fund invests in the stock.

全球產業以及經濟局勢瞬息萬變，不斷的出現各種破壞式創新的產品與商業模式，也因此企業積極的尋求購併擴張的機會，以達到永續經營和極大化股東財富的目的。而近年來機構投資人在台灣證券市場扮演著重要的腳色，因此本文將探討機構投資人的持股穩定度與購併宣告效果之關聯。 本論文以機構投資人(外資、投信、自營商)對主併公司的持股比例穩定度為依據，分類為被長期與短期機構投資人持有之主併公司，並以台灣市場2003年起至2016年底，排除掉金融相關產業的購併案件為研究樣本，探討機構投資人是否對主併公司發揮監督效果，同時觀察長短期機構投資人是否對主併公司之公司特性以及購併交易案之交易特性有無偏好。 本文研究結果指出，不論在三日、五日或是七日的事件窗口之下，長期機構投資人所持有之主併公司的累積異常報酬都顯著大於被短期機構投資人所持有之主併公司，顯示長期機構投資人確實對主併公司發揮了監督功能。而被長期機構投資人持有之成長型公司獲得的累積異常報酬顯著優於被短期機構投資人所持有之成長型公司。亦發現短期機構投資人偏好能夠明顯提升主併公司盈餘的購併案件。 / This study investigates the relationship between institutional ownership stability and the announcement effect of merger and acquisition, instead of the proportion of institutional ownership, which is very common in last few years. This research is based on acquiring firm listed in Taiwan Stock Exchange which announced merger and acquisition between 2003 and 2016. We classify the sample into two groups according to the standard deviation of the proportion of institutional ownership. The first group is the acquiring firm owned by long-term institutional investor, which means the standard deviation of the acquiring firm in group one is relatively small. By contrast, the second group is the acquiring firms owned by short-term institutional investor. First, we found the long-term institutional investor demonstrated the ability to monitor the acquiring firm because the first group’s CAR is significantly higher than the second group. Second, the growth stock owned by long-term institutional investors also has a significantly higher CAR than the growth stock owned by short-term institutional investor. Third, we also found that the short-term institutional investors prefer the merger and acquisition cases which can increase the net income of the acquiring firm.

The objective of this study was to gain increased knowledge regarding BlackRock’s ability to influence their Swedish owned companies. The scope of this thesis has been to study eight companies where BlackRock have holdings. The actions of BlackRock are studied from two approaches, direct influence and indirect influence based on the literature review. The direct influence is a formal approach, including information regarding BlackRock’s participation in the nomination committee, the board of directors and their votes during the annual general meetings. The indirect influence consists of non-legal binding activities and includes information regarding BlackRock’s use of broad-based communication in form of CEO letter, where interpretations of the CEO letter have been compared to the studied companies’ annual reports. The study uses a qualitative method strategy with a deductive approach, together with data triangulation. The collected results and the analysis showed that BlackRock uses both direct and indirect methods to influence and deviates from the Swedish corporate code of governance in their methods of influence. One of the conclusions was that BlackRock, with their CEO letter, managed to influence their owned companies in regards to sustainability reporting according to SASB och TCFD framework.

Yes / Although a cornerstone of traditional finance theory, empirical evidence in support of a positive mean-variance relation is far from conclusive, with the behavior of retail investors commonly thought to be one of the root causes of departures from this expected relationship. The behavior of institutional investors, conventionally thought to be sophisticated and rational, has recently come under closer scrutiny, including in relation to investor sentiment. Drawing together these two strands of literature, this paper examines the impact of institutional investor sentiment on the mean-variance relation in six regions, including Asia (excl. Japan), Eastern Europe, Eurozone, Japan, Latin America, and the US, and across thirtyeight markets. Empirical evidence supports the differential impact of institutional investor sentiment on the mean-variance relation (i.e., positive or negative), both across regions and across markets. In particular, for markets with cultural proneness to overreaction and a low level of market integrity institutional investor sentiment tends to distort the risk-return tradeoff.