15 /274
15
臺大管理論叢
第
27
卷第
4
期
component of earnings with income smoothing. Thus, the coefficient on QFII
t
*IS
t
*X
t3
will be
negative to reflect the reducing earnings informativeness of income smoothing income
smoothing for firms have higher QFIIs’ ownership.
Secondly, Equation (3) is a variant model of Equation (2). We further incorporate the
QFIIs’ shareholdings volatility into the empirical model to examine whether the earnings
informativeness conveyed by income smoothing for the firms with higher QFIIs’ ownership
is affected by the QFIIs’ trading behaviors. We expand Equation (2) by incorporating two
dummy variables for QFIIs’ shareholdings volatility, QFII_HH and QFII_HL, and two
interactive variables between IS
t
*X
t3
and QFIIs’ shareholdings volatility variables (QFII_HH
t
*IS
t
*X
t3
and QFII_HL
t
*IS
t
*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_HH
t
+ β
11
QFII_HL
t
+ β
12
QFII_HH
t
*IS
t
+ β
13
QFII_HL
t
*IS
t
+ β
14
QFII_HH
t
*X
t3
+ β
15
QFII_HL
t
*X
t3
+ β
16
QFII_HH
t
*IS
t
*X
t3
+ β
17
QFII_HL
t
*IS
t
*X
t3
+ β
18
LEV
t
+ β
19
MB
t
+ β
20
SIZE
t
+ ε
t
where,
QFII_HH
t
: a dummy variable denoted as one for any firm with high QFIIs ownership
and high QFIIs shareholdings volatility, 0 otherwise;
QFII_HL
t
: a dummy variable denoted as one for any firm with high QFIIs ownership
and low QFIIs shareholdings volatility, 0 otherwise.
The definitions of the remaining variables are the same as Equation (1).
According to Hypothesis 2a, the coefficient on QFII_HH
t
*IS
t
*X
t3
is expected to be
negative for the short-term oriented QFIIs, while in turn, to reduce the earnings
informativeness of managerial income smoothing. In the low QFIIs’ shareholdings volatility
case (H2b), the coefficient in QFII_HL
t
*IS
t
*X
t3
is expected to be positive or to be
statistically insignificantly negative, since the long-term oriented QFIIs will mitigate the
negative effect on the earnings informativeness of firms with income smoothing.
4. Empirical Results
4.1 Descriptive Statistics and Correlation Analysis
Table 2 presents the descriptive statistics for the related variables in this study. The
mean (median) annual stock return in year
t
(R
t
) is 0.050 (0.027) and reveals positive annual
returns in the samples, on average. The mean (median) income smoothing measure (IS
t
) is
(3)