外來專業投資機構為外資之主要成份。在外資投資訊息隨手可得的今日，其買賣超資訊是否具參考價值？若一般人追隨外資腳步投資，有無獲利空間？本研究觀察由外資前十大買超個股所形成之投資組合，並與台灣五十指數比較。實證結果，無論觀察期間為一個月、二個月或是三個月，都無法帶給投資人顯著的報酬。過去的研究大多只觀察外資買超當日或次日的股價變動。本研究認為訊息反應需要時間，故延長投資組合持有期間與觀察期間，俾觀察隱含資訊是否存在、是否反應在投資組合報酬上。但實證結果發現，外資買超資訊似未包含值得投資人注意的訊息。 As the daily trading activity of Foreign Institutional Investors (FINI), including net buying and net selling of individual, is readily available from the public media, can accessing and acting on this data provide any real opportunity for local individual investors? To answer this questions we set out to determine whether or not a 10-stock portfolio designed to shadow FINI investor activity over one, two and three months could outperform the market as measured by the Taiwan 50 Index. The results indicate that a portfolio made up of the top-10 net bought stocks by FINI does not exhibit spectacular market beating returns on a one, two or three month timeframe for individual investors. Thus, it seems that investors have little to gain from the FINI investment activity data. Furthermore, the study shows that there is a considerable lag between the time FINI data become available and the time that it can be mimicked. Perhaps some advantage would reveal itself if we were to extend the tracking period beyond three months, but based on the study above it appears that following in FINI’s footsteps is an ill-advised, or at best neutral, investment strategy for individual investors.
