本研究以2005年1月至2020年7月於台灣上市、上櫃公司股票月資料做為樣本，探討外資與投信過去一段時間買、賣超的股票，其未來的報酬如何，並藉此分析何者有更優秀的選股能力。首先，本研究將所有股票的法人買賣超比率進行排序，並建構不同觀察期、持有期之下的強買、強賣投資組合，本研究發現整體來看，投信的強買、強賣投資組合市值加權報酬率要優於外資。接著，將強買、強賣的股票報酬率對所設計的變數進行迴歸，本研究發現，投信在不同觀察期、持有期之下的買超虛擬變數係數，整體來看要高於外資而且更為穩定，代表投信有更優秀的選股能力。最後，將外資、投信不同買、賣超強度的投資組合進行Fama-French五因子迴歸，本研究發現隨著投信買超強度增強，投資組合的超額報酬有增加的趨勢，且投信的中、強度買超投組的超額報酬要大於外資，也驗證投信有更優秀的選股能力。但外資與投信都有過早賣出股票而錯失超額報酬的跡象，且投信更為明顯。

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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