| Summary: | 碩士 === 國立東華大學 === 企業管理學系 === 97 === This paper examines the holding preferences and performance of institutional investors in the Taiwan stock markets. Institutional investors have shifted their preferences toward larger, lower systematic risk, lower book-to-market ratio, lower liquidity stocks, and more firms in financial industry over time. These changes in aggregate preferences have arisen primarily from changes in the preferences of different institutional investor, rather than changes in the importance of different investors. When conditioning on different market states (up and down market), we find that foreign investors (FIs) and security investment trust companies (SIFCs) will show converse preferences. Additional analyses investigate the relationship between changes in institutional ownerships and returns in both large and small stocks. Our results reveal that SIFCs will have better contemporaneous performance than FIs in both large and small stocks. Furthermore, only FIs exhibit ability to forecast subsequent security returns in large stocks. Our evidence suggests that institutional
investors have different level of information advantage.
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