本文探討台灣股市在2001年至2013年間，三大法人買賣超行為對股價短期影響。本文依三大法人在集中和店頭市場前一週成交量或成交金額買賣超前十的股票為標的，觀察三大法人買賣超行為是否有隱含訊息並可以作為一般投資人投資參考之依據。實證結果發現，除了自營商的賣超行為，三大法人買(賣)超之股票當週呈現顯著之正(負)報酬，而往後一個月之報酬皆呈現顯著之正(負)報酬。因此，三大法人在買超行為確實隱含資訊，賣超行為較不明顯，投資人跟隨三大法人買超行為可以有不錯獲利。;This study investigates short-term returns of stocks net bought or net sold by institutional investors, and examines whether institutional investors’ net buy-and-sell has implied information for stock prices. This study focuses on stocks which are top ten weekly net-bought or net-sold by institutional investors in terms of the number of shares transaction or the amount of dollar transaction during the period from 2001 to 2013. Empirical results show that stocks net bought (net sold) by institutional investors experience a positive (negative) weekly return during the week institutional investors net buy (net sell) those stocks. Except for stocks net sold by security dealers, significant positive (negative) returns for those stocks can be found in the following four weeks. However, the magnitudes of post returns for net-sold stocks are lower than those for net-bought stocks. Such finding implies that institutional investors’ net buy-and-sell, especially for the net buying, do have implied information for stock valuations, and individual investors can earn a certain return following institutional investors’ net buy-and-sell. Our results are robust after adjusting for the market, size, and book-to-market ratio risk factors.
