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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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11 This study follows Jiambalvo et al. (2002) and uses the institutional investors (QFIIs in this study) ownership
as the dependent variable in the regression. The explanatory variables include: firm’s size which is measured
by the natural logarithm of the market value of equity at the end of the calendar year (SIZE
t
); firm’s market-
to-book ratio at the end of the calendar year (MB
t
); a dummy variable for firm with high liquid at the end of
the calendar year
t
, which is 1 if the firm’s stock price is greater than $10, otherwise 0 (LIQ
t
); firm’s stock
return during the
t
-1 calendar year (R
t-1
); firm’s shareholdings turnover rate at the end of the calendar year
t
,
which is measured by the trading volume scaled by the total number of shares outstanding for year (TURN
t
).
ΔQFII (CV) is less (larger) than the median of the industry/year ΔQFII (CV)). In this setting,
the observations are reduced to 2,085 and 3,569 in the pre- vs. post-deregulation subperiod,
respectively, for additional omitted data. The untabulated results reveal that in the IS_QFII
model, the coefficients of ΔQFII
t
*IS
t
*X
t3
is -1.000 (
t
= -2.68), -0.270 (
t
= -0.93), and -0.962
(
t
= -1.87) in the entire pre- and post-deregulation subperiod, respectively, and they are
negative and statistically significant in the entire and post-deregulation periods. Moreover, in
the IS_HH_HL model, the coefficients of ΔQFII_HH
t
*IS
t
*X
t3
and ΔQFII_HL
t
*IS
t
*X
t3
are
-0.086 (
t
= -3.50), and -0.015 (
t
= -0.29) in the post-deregulation period. It means that high
QFIIs ownership with high volatility revealed less informativeness for firms with income
smoothing. In the pre-deregulation subperiod, the coefficients of ΔQFII_HH
t
*IS
t
*X
t3
and
ΔQFII_HL
t
*IS
t
*X
t3
are 0.064 (
t
= 0.97) and -0.136 (
t
= -1.41), which are both statistically
insignificant in the ΔQFII (CV) model. The additional diagnoses do not qualitatively change
the primary results. It is fair to conclude that our main results are robust to the alternative
measure of QFIIs’ shareholdings volatility.
5.4 Endogenous Determination of Institutional Shareholdings
Institutional shareholdings are influenced by the economic characteristics of the firm
and the institutional investors may seek to invest in firms with richer information
environments (e.g., Jiambalvo et al., 2002; Velury and Jenkins, 2006). To control for such
endogeneity, this study follows Jiambalvo et al. (2002) to establish the first stage regression
and estimate the fitted value of QFIIt (and which is denoted as QFII
t
).
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This study then uses
QFII
t
to replace the pivotal explanatory variable (QFII
t
) and reruns Equation (2). This study
also examines the influence of QFIIs deregulation on the earnings informativeness of firm’s
income smoothing behavior (pre- vs. post-deregulation subperiod). The extracted results are
presented in Panel D of Table 7.
It is found that the coefficients of QFII
t
*IS
t
*X
t3
are -0.003 (
t
= -0.54), 0.010 (
t
= 1.18),
and -0.010 (
t
= -3.20), in the IS_QFII, pre-deregulation, and post-deregulation models,
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