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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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where,
R
t
:
a firm’s ex-dividend annual stock return in year
t
;
X
t-1
: a firm’s earnings per share in year
t
-1, deflated by the stock price at the
beginning of year
t
;
X
t
:
a firm’s earnings per share in year
t
, deflated by the stock price at the beginning
of year
t
;
X
t3
:
a firm’s sum of earnings per share for year
t
+1 through
t
+3, deflated by the stock
price at the beginning of year
t
;
R
t3
:
a firm’s sum of annual stock returns for year
t
+1 through
t
+3;
IS
t
:
a firm’s income smoothing measure;
LEV
t
: a firm’s leverage measured as total debts divided by total assets of the sample
firms at the end of the calendar year;
MB
t
: a firm’s market-to-book ratio measured as the market value of equity divided by
book value of equity at the end of the calendar year;
SIZE
t
: a firm’s size measured by the natural logarithm of market value of common
equity at the end of the calendar year;
ε
t
:
the error term.
In Equation (1), the coefficient in IS
t
*X
t3
is expected to be positive to reflect the
earnings informativeness of firms with income smoothing (Tucker and Zarowin, 2006).
We use the following equations to test the hypotheses. Firstly, this study expands
Equation (1) by incorporating the pivotal variable (QFII
t
), the interactive variable of income
smoothing (IS
t
) and the three future years’ earnings (X
t3
). The equation is presented as
follows:
R
t
= β
0
+ β
1
X
t-1
+ β
2
X
t
+ β
3
X
t3
+ β
4
R
t3
+ β
5
IS
t
+ β
6
IS
t
*X
t-1
+ β
7
IS
t
*X
t
+ β
8
IS
t
*X
t3
+ β
9
IS
t
*R
t3
+ β
10
QFII
t
+ β
11
QFII
t
*IS
t
+ β
12
QFII
t
*X
t3
+ β
13
QFII
t
*IS
t
*X
t3
(2)
+ β
14
LEV
t
+ β
15
MB
t
+ β
16
SIZE
t
+ ε
t
where,
QFII
t
: the monthly average of QFIIs ownership for the sample firm in calendar year
t
.
The definitions of the remaining variables are the same as Equation (1).
As discussed above, Hypothesis 1 conjectures the excessive focus on current earnings
by QFIIs creates incentives for firm managers to aggressively manage earnings,
subsequently, firms with higher QFIIs ownership are likely to reduce the informative