本研究檢視了台灣股市不同機構投資者的實現損失及持股期間的資訊意涵對未來股票報酬率的預測力。結果顯示，外國機構投資者的實現損失可以預測未來股價下跌，此效果對月報酬、季報酬及年報酬都是顯著。相比之下，本國機構投資者的實現損失對未來股票報酬率的預測力沒有顯著效果。進一步分析實現損失在30天內及90天至180天兩個持股持有期區間，外國機構投資者的實現損失對未來股票報酬率具有預測力，但隨著持有期天數的延長，外國機構投資者的實現損失資訊對未來股價下跌的預測力逐漸消失，而本國機構投資者的實現損失交易在不同股票持有期內皆不具有對股票未來報酬率的預測力。透過其他的計算方式或定義來估計交易實現損失，本研究發現外國機構投資者的實現損失對股票報酬率的預測力表現穩健。整體研究結果指出，相較於本國機構投資者，交易經驗豐富、交易量大且高獲利的外國機構投資者擁有較佳的未來價格資訊性。

This study examines the return predictability of realized losses of institutional investors with large trading volumes, extensive experience, and high profits. The results show that the realized losses of foreign institutional investors can predict future stock price declines, and this effect is significant for monthly, quarterly, and annual returns. In contrast, the predictive power of the realized losses of domestic institutional investors on future stock returns is not significant. Further analysis of the holding periods for realized losses reveals that the return predictability of foreign institutional investors' realized losses is mainly concentrated within two holding periods: 30 days and 90-180 days, while domestic institutional trades lack return predictability across different stock holding periods. However, as the number of days in the holding period extends, the foreign institutional investor’s realized loss information loses its predictive power with respect to future stock prices. Through other calculation methods or definitions of realized losses, this study finds that the return predictability of realized losses of foreign institutional investors is robust. Overall, our findings imply that compared to domestic institutional investors, foreign institutional investors with extensive trading experience, large trading volumes, and high profits possess superior information regarding future prices.

論文審定書……………………………………………………………………………………………………ⅰ
摘要………………………………………………………………………………………………………………ⅱ
Abstract………………………………………………………………………………………………………...ⅲ
第一章 緒論……...…………………………………………………………………………………………....1
第二章 文獻回顧.……………………………………………………………………………………………3
第三章 樣本與研究方法.………………………………………………………………………………....9
第一節 樣本來源...…………………………………………………………………………………...9
第二節 往返交易、股票持有期及實現損益........………………………………………10
第三節 公司層面下的迴歸模型……………………………………………………………...13
第四節 個別帳戶層面下的迴歸模型……………………………………………………….16
第四章 研究結果…………………………………………………………………………………………..18
第一節 機構投資者實現虧損對未來報酬率的預測力…………...………………….18
第二節 機構投資者不同股票持有期區間實現虧損對未來報酬率預測力… 20
第三節 個別機構投資者實現虧損對未來報酬率的預測力…………………21
第四節 穩健性分析………………………………………………………………………………..22
第五章 結論.…………………………………………………………………………………………………24
參考文獻……………………………………………………………………………………………………….26
附錄……………………………………………………………………………………………………….40

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