本研究之樣本期間為2012年1月1日至2012年12月31日，以台灣股票市場中市值前50大的公司為樣本，使用Panel Data迴歸模型，探討公開資訊內容、股票報酬率與專業機構投資人交易行為之間的關聯性。將公開資訊內容分成組織、策略與財務等三種不同類型之資訊內容；專業機構投資人分成外資、投信與自營商。
研究結果顯示：(1)策略及財務資訊內容與股價報酬率存在正向影響關係，顯示當日發佈之策略、財務利多消息，確實能使得股價報酬率上升；當日發佈之策略、財務利空消息，確實會導致股價報酬率下降。(2)財務資訊內容與外資、投信買賣行為存在正向影響關係，當日發佈之利多財務資訊內容，將吸引外資與投信買超；當日發佈之利空財務資訊內容，將導致外資與投信賣超。然而自營商交易行為明顯不同於外資與投信，所有資訊內容對自營商買賣超皆不具解釋能力。(3)公開資訊內容與外資、投信之實際交易行為一致，確實在財務好消息出現時，外資與投信將會買超該個股；財務壞消息出現時，外資與投信將會賣超該個股，並無利用相關利多消息出現時趁機出脫股票之現象。

This study used the Top 50 companies of market capitalization in Taiwan stock market, using Panel Data regression model to examine the relationship between public information, stock returns and institutional investors trading behaviors from 2012/1/1 to 2012/12/31. This study categorized the public information into three groups, which are organization, strategy and finance, and also categorized the institutional investors into three groups, which are Foreign Investors, Investment Trust and Security Dealer.
This Study document that:
(1) Strategic information and financial information are positively related to stock returns. The relationship means that good daily strategic and financial news would make positive stock returns; bad daily strategic and financial news would make negative stock returns.
(2) Financial information is positively related to Foreign Investors and Investment Trust trading behavior. The relationship means that good daily financial news would attract Foreign Investors and Investment Trust to buy the specific stocks, bad daily financial news would lead to Foreign Investors and Investment Trust to sell the specific stocks. Particularly, all kinds of information have no influence on Security Dealer trading behavior.
(3) The content of public information is consistent with Foreign Investors and Investment Trust trading behavior. Foreign Investors and Investment Trust buy the stocks indeed when there is coming good news and sell the stocks when there is coming bad news.

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