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公司盈餘平穩化行為與盈餘資訊性之關係－合格境外機構投資者角色之檢測
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reported series smooth (Tucker and Zarowin, 2006). Thus, a more negative correlation
between ΔDA and ΔNDE represents the more income smoothing.
Magnitude of Qualified Foreign Institutional Investors Ownership (QFIIs):
The QFIIs’ ownership is proxied by the total number of shares held by the QFIIs
divided by the total number of shares outstanding. This study further calculates the monthly
average of QFIIs’ ownership for sample firms in each calendar year, respectively. Thus, the
proxy for QFIIs ownership in the analysis is the mean of a firm’s monthly QFIIs ownership.
3
Dummy Variable for Firms with High QFIIs’ Ownership and Low QFIIs Shareholdings
Volatility (HL):
Institutional ownership is likely to be influential in any firm when it owns at least five
percent of the stockholdings (Bushee, 1998). A firm is classified as a high QFIIs’ ownership,
if the QFIIs ownership is more than or equal to 5% to ensure the influential and informative
role of the QFIIs. In addition, this study uses the coefficient of variation (CV) of QFIIs
ownership to proxy qualified foreign institutional shareholdings volatility (QFII (CV)). The
QFII (CV) is measured as the standard deviation of a firm’s monthly QFIIs’ shareholdings of
the calendar year divided by the mean of the QFIIs’ shareholdings. A firm is classified as
long-term oriented QFIIs which are proxied by low QFIIs shareholdings volatility (i.e., QFII
(CV) is less than the median of the industry-year QFII (CV)). Thus, QFII_HL is denoted as 1
for a firm which is classified as having both high QFIIs’ ownership and low QFIIs’
shareholdings volatility, and 0 otherwise.
Dummy Variable for Firms with High QFIIs’ Ownership and High QFIIs Shareholdings
Volatility (HH):
In the same manner, a firm is classified as having high QFIIs shareholdings volatility if
QFII (CV) is more than or equal to the median of the industry-year QFII (CV). This type of
QFIIs, to some extent, can be classified as short-term oriented traders. Thus, the dummy
3 The three major types of institutional investors in the Taiwan Stock Exchange are qualified foreign
institutional investors, securities investment trust companies and dealers. Chang (2010) finds that local
institutional investors seem to follow QFIIs, increasing (decreasing) holdings in a particular sector in the same
and periods subsequent to positive (negative) QFII order flows. Huang and Shiu (2009) also argue that local
institutional investors may be more knowledgeable than foreign institutional investors about the local
environment or local firms, yet, foreigners may have better human expertise/experience or resources in
Taiwan.