和一般散戶相比，機構投資人擁有比較多的資訊，也比較有動機去監督公司的管理階層，因此機構投資人持股比例較高的公司的管理階層能受到有效性的監督。此外，機構投資人持股比例較高的公司，其資訊較透明，一般投資人比較容易獲取該公司的資訊，所以機構投資人持股比例可視為一個風險因子，機構投資人持股比例越高的公司風險越低，投資人所要求的風險溢酬就越低，因此我們假設機構投資人持股比例和股票報酬有負向的關係。實證發現機構投資人的持股比例的確可以解釋股票報酬，且與報酬有負向的關係，符合了我們的假設；所以機構投資人持股比例雖可以解釋股票報酬，但它的解釋能力並不如其他變數來的好。

Firms with higher institutional ownership (hereafter IO) are those whose managers are more efficiently monitored and whose information is more accessible to investors. Hence, institutional ownership can be viewed as a proxy for a risk factor. The risk of firms with high institutional ownership is predicted to be low, and a low compensation required by investors. We find that institutional ownership is negatively related to returns, consistent with efficient-monitoring and information transparency hypotheses. After controlling for the size effect, however, IO lacks independent explanatory ability, suggesting that IO does not provide significant explanatory power beyond the size effect.

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