本文利用機構投資人帳戶交易資料，以配對交易的方式構建衡量機構投資人持有期間的指標，並探討機構投資人持有期間與股價崩跌風險之間的關係。本文的實證結果發現機構持有期間越長的公司會有較高的股價崩跌風險，提供長期機構投資人並非總是對公司有正向影響的相關證據。進行一系列的內生性問題處理及穩健性測試後，本文的主要發現依然維持一致。本文的發現指出，機構投資人的持有期間與機構是否能及時將資訊反應於股價有一定的關聯，且此關聯並沒有受到流動性、資訊環境以及內部治理的影響。

Using account-level trading data, this paper constructs a measure of institutions’ holding horizon based on round-trip holding periods. We examine how institutions’ holding horizon affects stock price crash risk. We provide evidence that long-term institutional investors do not always exhibit the “bright side” by showing that firms with longer institutional investors’ horizons have a higher subsequent stock price crash risk. The results remain unchanged after addressing endogeneity issues. Our results indicate that institutional investors’ holding horizon is related to whether institutional investors can timely incorporate negative information into stock prices, and such relation is not affected by liquidity, information environment, and internal governance.

Table of Contents
論文審定書 i
摘要 ii
Abstract iii
1. Introduction 1
2. Literature Review and Hypotheses’ Development 5
3. Data and Methodology 11
3.1 Account-level dataset 11
3.2 Measure of institutions’ holding horizon 12
3.3 Measures of Stock Price Crash Risk 13
3.4 Empirical Models 14
4. Empirical Results 16
4.1 Descriptive statistics 16
4.2 Correlation matrix 16
4.3 Institutional investors’ holding horizon and firm specific information 17
4.4 Institutional investors’ holding horizon and stock price crash risk 19
5. Additional Analyses 19
5.1 Illiquidity 19
5.2 Information environment 22
5.3 Internal governance 23
5.4 Different types of institutional investors 24
6. Robustness checks 24
6.1 Additional controls 24
6.2 Alternative measure of institutional investors’ holding horizon 25
6.3 Top 50 ETF constituents 26
6.4 Volatile periods 26
6.5 Endogeneity 26
6.5.1 Heckman two-step sample selection model 26
6.5.2 Propensity score matching 27
7. Conclusion 28
Reference 30
Appendix A 58
Appendix B 59

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