摘要(英) |
This study explores how the net-buy/net-sell stocks by foreign investors or investment trusts will perform in the next few months, discovering which institutional investor has higher Alpha, which stands for better stock-picking ability. We use monthly data of stocks listed on Taiwan Stock Exchange and Taipei Exchange from January 2005 to July 2020 as samples to conduct the study. First, we sort all the stocks by their institutional investor’s Flow Ratio, constructing strong-buy and strong-sell portfolios under different look-back periods and holding periods. We find that the capitalization-weighted returns of the strong-buy portfolios and strong-sell portfolios by investment trusts overall perform better than the ones by foreign investors. Second, we regress the strong-buy stock returns and strong-sell stock returns on the Flow Dummy, and we find that investment trusts’ coefficients under different look-back periods and holding periods are overall higher and more stable than foreign investors’, which means investment trusts have better stock-picking ability. Last, we conduct Fama-French 5-Factor model on different buying-level portfolios and selling-level portfolios. The results reveal that as the buying level of investment trusts’ portfolio increases, the Alpha also increases. Furthermore, the Alphas of investment trusts’ medium-buy portfolios and strong-buy portfolios are higher than the Alphas of foreign investors’, which shows that investment trusts do have better stock-picking ability. But institutional investors tend to sell good stocks so early that they miss the Alphas, especially the investment trusts. |
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