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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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0.501 (0.500) to reflect the fractional ranking of the correlation coefficient (between 0 and
1). The mean (median) QFIIs’ ownership (QFII%) is 7.486% (2.506%), which is
approximately the same as the mean QFIIs’ ownership of all listed firms (i.e., 7.027%). This
result suggests that the QFIIs’ ownership is relatively small and QFIIs focus on some
internationally visible listed firms in Taiwan. Since the standard deviation of our empirical
variables is somewhat large, this study adopts White’s (1980) heteroskedasticity consistent
covariance matrix estimator to correct estimates of the coefficient covariances in the possible
presence of heteroskedasticity in all empirical regressions.
Table 2 Descriptive Statistics of Related Variables (N = 5,766)
Variables
Mean
SD
Min
Q1
Med.
Q3
Max
R
t
0.050
0.174
-0.546
-0.044
0.027
0.113
1.555
X
t-1
-0.027
0.432 -13.280
0.007
0.048
0.082
1.860
X
t
0.002
0.330
-6.606
0.004
0.045
0.091
4.444
X
t3
0.048
0.798 -27.226
-0.037
0.104
0.257
3.480
R
t3
0.196
0.310
-0.761
0.016
0.146
0.313
3.968
IS
t
0.501
0.287
0.001
0.253
0.500
0.748
1.000
QFII%
t
7.486 11.524
0.000
0.380
2.506
8.875 73.956
QFII(CV)
t
0.494
0.648
0.000
0.077
0.246
0.649
3.464
LEV
t
0.395
0.166
0.016
0.272
0.393
0.502
0.972
MB
t
1.658
1.535
0.070
0.820
1.240
1.960 31.800
SIZE
t
8.181
1.478
4.205
7.123
8.033
9.006 14.371
Legends:
1. R
t
: a firm’s ex-dividend annual stock return in year
t
. X
t-1
: the earnings per share in year
t
-1, deflated
by the stock price at the beginning of year
t
. X
t
: the earnings per share in year
t
, deflated by the
stock price at the beginning of year
t
. X
t3
: the sum of earnings per share for year
t
+1 thuough
t
+3,
deflated by the stock price at the beginning of year
t
. R
t3
: the annually compounded monthly returns
for year
t
+1 thuough
t
+3. IS
t
: income smoothing measure. QFII%
t
: the percentage of qualified foreign
institutional shareholdings. QFII(CV)
t
: the coefficient of variation of shareholdings. LEV
t
: firm’s
leverage. MB
t
: market-to-book ratio. SIZE
t
: natural logarithm of market value of common equity in
year
t
.
2. “a” and “b” denote the significance on 1% and 5% levels respectively, based on two-tailed tests.
Table 3 presents the correlations between related variables. It reveals that QFIIs’
ownership are significantly positive-associated with past, current, and future earnings. This
result suggests that firms with high QFIIs ownership have better earnings performance. It is
surprising to find that the correlation between the annual stock returns (R
t
) and the income