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臺大管理論叢
第
27
卷第
4
期
Table 7 Results of the Role of QFIIs in Earnings Informativeness of Income
Smoothing-Robustness Tests
Panel A: Using Variance Ratio to Measure Income Smoothing
Pre-deregulation
Post-deregulation
Model
VR_QFII
VR_HH_HL
VR_QFII
VR_HH_HL
Variables
β
(
t
-value)
β
(
t
-value)
β
(
t
-value)
β
(
t
-value)
QFII
t
*VR
t
*X
t3
0.005
(0.58)
---
-0.005
c
(-1.82)
---
QFII_HH
t
*VR
t
*X
t3
---
-0.014
(-0.12)
---
-0.038
(-0.83)
QFII_HL
t
*VR
t
*X
t3
---
-0.091
(-0.93)
---
-0.092
b
(-2.09)
Panel B: Alternative Influential Cutoff Point of QFII Examinations
Pre-deregulation
Post-deregulation
Model
IS_QFII
IS_QFII
IS_HH_HL IS_QFII
IS_QFII
IS_HH_HL
Cutoff rate
5% Median Median
5% Median Median
QFII
t
*IS
t
*X
t3
-0.090
(-1.44)
0.041
(0.53)
---
-0.074
c
(-1.72)
-0.109
a
(-3.07)
---
QFII_HH
t
*IS
t
*X
t3
---
---
-0.007
(-0.26)
---
---
-0.142
a
(-6.31)
QFII_HL
t
*IS
t
*X
t3
---
---
-0.007
(-0.13)
---
---
-0.106
b
(-2.06)
Panel C: Using Shareholdings Turnover to Proxy QFIIs Volatility
Pre-deregulation
Post-deregulation
Cutoff criteria
5%
Median
5%
Median
QFII_HH
t
*IS
t
*X
t3
-0.008
(-0.07)
0.112
(1.24)
-0.083
c
(-1.81)
-0.134
a
(-3.37)
QFII_HL
t
*IS
t
*X
t3
0.052
b
(2.21)
0.123
(1.34)
-0.067
(-1.59)
-0.102
a
(-2.89)
Panel D: Endogenous Determination of Institutional Shareholdings Examination
Model
IS_QFII
Pre-deregulation
Post-deregulation
IS
t
*X
t3
0.057
a
(2.89)
-0.020
(-0.46)
0.118
a
(3.60)
QFII
t
*IS
t
*X
t3
-0.003
(-0.54)
0.010
(1.18)
-0.010
a
(-3.19)
Legends:
1. 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
. IS
t
: income smoothing measure. VR
t
: variance ratio to proxy for income
smoothing. 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). QFIT
t
: the percentage of qualified foreign institutional shareholdings.
2. “a” and “b” denote the significance on 1% and 5% levels respectively, based on two-tailed tests.
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