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27
臺大管理論叢
第
27
卷第
4
期
Pre-deregulation
Post-deregulation
Model
IS_QFII
IS_HH_HL
IS_QFII
IS_HH_HL
Variables
β
(t-value)
β
(t-value)
β
(t-value)
β
(t-value)
QFII
t
*IS
t
*X
t3
-0.002
(-0.60)
---
-0.005
b
(-2.12)
---
QFII_HH
t
---
-0.060
b
(-1.98)
---
-0.005
(-0.32)
QFII_HL
t
---
-0.041
(-1.11)
---
0.034
a
(2.98)
QFII_HH
t
*IS
t
---
0.054
a
(3.96)
---
-0.038
(-1.29)
QFII_HL
t
*IS
t
---
0.033
(0.93)
---
-0.071
b
(-2.55)
QFII_HH
t
*X
t3
---
-0.012
(-0.18)
---
0.087
a
(4.07)
QFII_HL
t
*X
t3
---
0.081
a
(3.40)
---
0.032
(1.07)
QFII_HH
t
*IS
t
*X
t3
---
0.011
(0.10)
---
-0.128
a
(-4.30)
QFII_HL
t
*IS
t
*X
t3
---
-0.124
b
(-1.98)
---
-0.063
(-1.20)
LEV
t
0.080
(1.44)
0.083
(1.50)
0.129
a
(5.21)
0.126
a
(4.45)
MB
t
0.033
a
(3.44)
0.033
a
(3.38)
0.006
c
(1.87)
0.006
(1.36)
SIZE
t
0.005
(0.19)
0.007
(0.27)
0.024
b
(1.99)
0.025
c
(1.92)
N
2,170
2,170
3,596
3,596
Adj_
R
2
48.82%
48.92%
28.55%
28.70%
F_value
4.50
a
4.49
a
2.37
a
2.37
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 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
: 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.