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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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Model
IS
IS_QFII
IS_HH_HL
Variables
β
(t-value)
β
(t-value)
β
(t-value)
QFII_HH
t
---
---
-0.027
(-1.53)
QFII_HL
t
---
---
-0.015
(-0.80)
QFII_HH
t
*IS
t
---
---
-0.020
(-0.79)
QFII_HL
t
*IS
t
---
---
-0.024
(-1.19)
QFII_HH
t
*X
t3
---
---
0.052
b
(2.04)
QFII_HL
t
*X
t3
---
---
0.066
(1.57)
QFII_HH
t
*IS
t
*X
t3
---
---
-0.055
(-1.47)
QFII_HL
t
*IS
t
*X
t3
---
---
-0.075
(-1.45)
LEV
t
0.086
a
(2.72)
0.091
a
(2.81)
0.090
a
(2.77)
MB
t
0.018
b
(2.38)
0.018
a
(2.65)
0.017
b
(2.27)
SIZE
t
0.005
(0.26)
0.007
(0.38)
0.008
(0.42)
N
5,766
5,766
5,766
Adj_
R
2
33.14%
33.37%
33.55%
F_value
3.58
a
3.60
a
3.61
a
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
: a firm’s sum of annual stock returns for
year
t
+1 thuough
t
+3. IS
t
: income smoothing measure. QFII
t
: the percentage of qualified foreign
institutional shareholdings. QFII_HH
t
: dummy variable (1 if the firm with high qualified foreign
institutional shareholdings and high qualified foreign institutional shareholdings volatility, 0
otherwise). QFII_HL
t
: dummy variable (1 if firms with high qualified foreign institutional
shareholdings and low qualified foreign institutional shareholdings volatility, 0 otherwise). LEV
t
: firm’s
leverage. MB
t
: market-to-book ratio in year
t
. 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.