| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 96 === This paper is mainly discussing about two major institutional investors’ stock preference --- foreign investment investor and investment trust investor. This paper is trying to use market portfolio concept, we define each stock’s market portfolio weight as the optimal portfolio weight. We calculate each stock’s real portfolio holding weight in total foreign investment investor’s and investment trust investor’s stock holding portfolio, and use the real portfolio holding weight to minus the optimal portfolio weight. Our study define the difference of these two kinds of weight as bias, therefore we will have two kinds of bias --- foreign bias for foreign investment investor and domestic bias for domestic investment trust investor. This paper is trying to figure out that whether foreign bias and domestic bias effect firm value, and what kind of firm characteristics would affect foreign bias and domestic bias.
We use random effect model to complete our regression analysis and we have two empirical evidence result. First, foreign bias is negatively related to firm value and domestic bias is positively related to firm value. Second, foreign bias and domestic bias are related to firm characteristics such as sales、EPS、ROE….Etc. The most obviously effective firm characteristics variable for two kinds of biases is firm market value, and this result is in accordance with the research of Chan, Ng and Covrig(2005) 、Kang and Stulz(1997).
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