臺灣博碩士論文加值系統

本研究使用 2006 年至 2020 年間台灣股票市場的外資機構投資人持股集中度樣本資料，探討外資機構投資人持股集中度 (用以衡量少部分機構投資人擁有公司大部分股份之持股程度) 如何影響股價崩盤風險。本文研究發現，外資機構投資人持股集中度與股價崩盤風險呈現顯著負向關係。本文進一步證據表明，外資機構投資人持股集中度對於股價崩盤風險的負面影響關係更顯見於外資機構投資人持股水平較高以及具有較嚴重代理問題的樣本公司中。上述研究發現支持本文主要研究假說：外資機構投資人持股水平較用以捕捉機構投資人的短期交易主義，而其持股集中度則較用以捕捉機構投資人的外部監控力量以幫助抑制公司股價崩盤風險。本文最後另一項證據顯示，外資機構投資人持股集中度對於股價崩盤風險的監督效果能夠做為財務分析師和大眾媒體的外部監督力量補充效果；但較能夠做為全球四大會計師稽核的外部監督力量替代效果。

This paper examines substantial fresh evidence showing, after adjusting for the level of such ownership, there is a negative relationship between stock price crash risk and ownership concentration for foreign institution, where a small number of institutions own a significant portion of a company's shares. The study uses a particular dataset on the ownership of firms by investors of foreign institution on the Taiwan stock market between 2006 and 2020. According to additional data, enterprises with higher levels of foreign institutional ownership and more problematic executive agency difficulties experience a more pronounced negative association between ownership concentration for foreign institution and crash risk. These results support the theory that while the amount of ownership for foreign institution predicts short-termism, the risk of a future stock price crash is reduced by the concentration of such ownership, which serves as a proxy for external monitoring. More substantial data suggests that, in reducing the danger of future stock market crashes, the monitoring system of ownership concentration for foreign institution complements financial analysts and the media while replacing the Big 4 auditors.

中文摘要 ......................................................................................................................... i
ABSTRCT ....................................................................................................................... ii
誌謝 ............................................................................................................................... iii
Table of Contents ........................................................................................................... iv
List of Tables ................................................................................................................... v
1. Introduction ............................................................................................................. 1
2. Literature review and hypothesis ............................................................................ 9
3. Data and methodology ........................................................................................... 13
3.1. Sample Collection ........................................................................................ 13
3.2. Measuring foreign institutional ownership concentration ........................... 13
3.3. Measuring stock price crash risk ................................................................. 15
3.4. Descriptive Statistics ................................................................................... 16
4. Main empirical results ........................................................................................... 20
4.1. Panel regressions ......................................................................................... 20
4.2. Addressing concern for endogeneity ........................................................... 23
4.3. Other robustness analyses ............................................................................ 25
4.4. Moderation effect of foreign institutional ownership level ......................... 28
5. Further evidence .................................................................................................... 30
5.1. Moderation effect of managerial agency problem ....................................... 30
5.2. The substitutionary or complementary effect of other external monitoring ................................................................................................................. 32
6. Conclusions ........................................................................................................... 35
References ..................................................................................................................... 37

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