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ISSN 1023-2842! 2004 i! pp.441-464 會計資訊對外資持股調整影響之研究 On he Adjusmens of QFII Holding and Financial Variables 高蘭芬 Lanfeng Kao 國立高雄大學 Naional Universiy of Kaohsiung 摘要 æ r ÙÅ È Ã Ì 83 88 sep e Õå Ír ÙÅû Õå e Ír ep lfå ê Õå à à g è~ Õå e 100 gír ÙÅ îñå à l{ ¹ uñå Ãg Î~å e i 50 glígû lr å Ãg ¹ ~Êå Ã È iñ r ÃÙÅ ep Öà nƒuå Öà v nîáîå ¹ Öà fjœ r Êðî r r å Ãg Õ epûžá ep BETA ó lfª r Õƒ r ¹ ç BETA lf É Ã epå Ãg ¹ mê ç BETA lf É gãep r r ÙÅ å e È h441h

î r ÙÅ æ Absrac This paper examines he relaionship beween he share holding of qualified foreign insiuional invesors (QFII) and he financial variables. Wih he sample of annual earnings announcemens during 1994-1999, we find ha QFII adjus heir share holding early before he announcemens probably due o he quarerly earnings or oher relaed informaion. Basically, QFII sar o decrease (increase) heir share holding 140 days before bad (good) annual earnings announcemen and sop holding adjusmens around 100 (50) days before he announcemens. QFII adjus heir share holding wih respec o he annual earnings announcemens more efficienly han individual invesors. We also find ha adjusmens of QFII holding are posiively relaed o increase of invenory and negaively relaed o incremen of selling and adminisraive expenses. The changes of accoun receivables and gross margin are no significanly relaed o he adjusmens of QFII share holding. Finally, evidence shows ha he adjusmens of QFII holding are relaed o indusry, bea and QFII preference of he earnings announcing firms. Keywords: QFII, QFII share holding, Earnings announcemen, Financial variables 壹 研究動機與目的 q Ås u 79 r à d u 90 1 i 1 i r ÙÅj zšð Ú² r dås iñû~ Ås ff g hãw q ôw ÎÛ r à e¼ d s à µ gê µã ˆá ~ r ˆáÛŽ dåsã µ µ ÕÛ Ú Ä hã d æ ô nl æ» iùr à ˆá q Åsà ¾ µf µ õf (1995) f i (1999) Ÿß f (1999) å æ r ƒ ˆ(informaion leading role) l ¹ (1999) û(1998) è (2000) (1999) r ÛŽ ƒ {ÃÙ v» r ƒ f lð s lj m ƒ g s û(1998) Ùn r à ƒ» è (2000) ßÉ ñ ÍÖr à ˆá»iÙr h442h

ÃÅà Œ f {µä ¹ sep l ~É ñ µ ÍÖ r ÃÅà ¹ xr ~ Å ƒ à e(2000)œv }Ã É Š Ñ j û r ¹ r Ú² r Ãh d s à µ Õ Í Ûr ð ep ñ è (2000)j r ÃÅ» ~ ßÉ ñ r ÃÅà Œ f {µä ¹ sep xr Å ð epã ñ e(2000) r ƒ É Œ fåº Ãep æ ÃwÃ~ r ep å Ãg ÛŽ ¹ å Ûepðîà ñù gûepã Œ îå Ó ÛŽ ƒ d ª îi Ãð drå Ãæ l iù Õå à Šà ƒ å Ó ÛŽ ƒ d ~ dãæ Îdƒ d eæ å Ó iéèå œƒ gû o ~Û s ~å Ó Íƒ ep µå e¼ ep Õå à ƒµg Ó iµó Ãå Ê {Íà þ Ö ŽÎÓ {h Å ¾ å Ó d Ãq ô ~o Û q œƒ epå ᜠðî Åsi lf rãæ» æ Ão µšl ¹ då æ r ð ep ñ lr ƒ {~ æ r å Ãg h ƒµ } g~ ƒ Õå à fg j h v¹å d à Šà fr yovy¹ à f ~ æ Õå Ó Ír ÙÅà f å Ó Ã d Èá j æ ûo²ŠwÍå d å æ ƒ ¹ r ~ î ÛŽ ƒ à ˆ Ú r à ˆáÛ q Ås Ãðî~ r ˆáf}ÅÙÅ Ã ñ~ Û ~áepã ñ nù Œ Á gû~epã È ~ r ÙÅ f ep È Ã Ìƒ sîµ æ Ãq ôwã~¹ ñã È Õr ÙÅà ~á Õ È epã fjœ ep à Œ lf Å ƒ Abarbanell and Bushee, 1998 ô r å h443h

î r ÙÅ æ Á r }Å å à ÙÅ ~ r ôåãùå ep Õ È Å µ å å ƒ r æ å g Ì Ãi Å }ôep å Ãg Õ ë å g Ì ep µƒ ~ æ epµ epå à Bea ó lfªr Õ ô ep µ ÛŽ r ÙÅ Õå Ãg Õ 貳 文獻回顧 一 盈餘的資訊內涵 Ball and Brown (1968)l îå à d ~ î ä Ã æ ƒ îå d Ãå æ oe i} Û Å îå Ó Ãg (Ball and Brown, 1968; Beaver, Clarke, and Wrigh, 1979; Beaver, Lamber and Ryan, 1989; Chambers and Penman, 1984; Eason and Zmijewski, 1989) q ôi}û îå Ó y¹ à (Beaver, 1968; Bamber, 1986; Kiger, 1972; Foser, 1973; Morse, 1981) Å å Ó g Ãå æ eìœv zæ ¾ å Å Ã lîãæ»iùå à n g Å Ã f ƒ dƒ å Ó ÛŽ ƒ d Ãæ w Íd eæ áå ƒ d Ö 1997 ƒæ áå Ó», 1995 k, 1999 y¹ g Ãæ ¹ Beaver (1968) æ Ü Å iñã æ Š Öy¹ iñãæ Å æ å}ã ôs Ãy¹ gû Ãà (aciviy) gû æ¾(beliefs) Ãn µs (Bamber, 1986, p.40)dƒµ } ~ ƒ ô Å y ¹ å Ãg å}(morse, 1981) îå d Ãå æ å g Ì (earnings response coefficiens)㜠~ Ûe¼ ~ spå s h444h

å Ãg þ Kormendi and Lipe (1987)Ùn å ÃÙ µ Îå Ãg Ì Ramakrishnan and Thomas (1991) nå}ãæ¾ á ŒÃ}ô eƒ }Ãå Ù µ } eã å g Ì } q ô å g Ì Ã ÛepÅ Ã Bea ó Collins and Kohari (1989) Eason and Zmijewski (1989) v¹ Ãå ep ÃÅ gû~ Å ~ epå Ãñ µ ÎÅ å Ãg Õ Bea à å g Ì r Amir and Lev (1996) á l ál㺠fç î à ó ñ ~ Û å g Ì Ãq ô~ o å g Ì Ã~ r ~å Ó ÖÃÙÅÃ Õ µ 二 非盈餘財務報表資訊的有用性 Ä È Ãe¼ Å å Ãæ nù Ou and Penman (1989) Creig (1992) Sober (1992) Sloan (1996)lf Abarbanell and Bushee (1998) Êå È Å Ã Ì ÛÕx~Êå È å ƒ à s È Ã å à gû Å Ou and Penman (1989) 68 ô j n 16 ô å à j Õx Ñ å fã æ ë µ Ãå f f ¹ 0.6 ÃepÅ n f ¹ 0.4 à Šà ƒ 14.53%à xs me f j à Ou and Penman ûh Ö Ä s g Ãæ ò{ Craig (1992) ~ Ö Ou and Penman µ à ~ Sober (1992) iù Ou and Penman à ~ ~e ~ás ¾ áš ~e ~ Sober á Ou and Penman û Å ó Û~á vu µãþ µñ µë Abarbanell and Bushee (1998)ÎÛ iù Ou and Penman Abarbanell and Bushee (1998)æ È ñ à ێ ƒ å à môã» î à ñ ol å å lrã ó (value-relevance informaion) å lrã È Ã h445h

î r ÙÅ æ Å ol v l ÃÙ Ou and Penman (1989)lf Abarbanell and Bushee (1998)à î á à ñ å ƒ ô r å à ÙÅ r ep ñ å fµ ñ r ñ epãùå 三 機構投資人與個別投資人之在處理會計資訊上的差異 (insiuions vs. individuals ) y¹ Ãæ Morse (1981) Bamber (1986, 1987)f Ziebar (1990) Û s à ƒ} µ nùå} ÕÃñ ü Õl f ƒå}ãÿƒ Å s ¹ ~ }à (insiuions)f h à ª ª lf à ƒ µãþ Shiller Pound (1989)Ãæ eã h j ¹ Ç gã e¼ lµ à þ Ö Lev (1988)Î ~ª ƒ à ~ }¹ƒ l ߃ Lev î Ãv Õ~ }à ë ~ à iñ Bamber and Cheon (1995)iÙ ¾ ƒ ¹ô à ¹ ôœ g þ ~ ~æ å d æ e á ôœ ƒ sîµ {i ôœå ÃÙÅ ¹}Åy¹ Ãå g Õ (Cready, 1988; Lee, 1992; Cready, 1994; Cready, 1997; Kim, Krinsky and Lee, 1997 ) Cready (1988) å Ãg Õ ¹ h Cready» ~ ¹ å à ó ujµë Lee (1992) vid(inraday) ŠÃ Cready (1994)æ Å Ã~» ~ epƒ Ã~ à ƒ ~ Ãå ðîµ Ã ƒ } Cready (1997) å ~Ó i ÃÙÅjð y¹ à ̻ xy¹ å Ãg Û µƒ à Ì~ µƒ 50% h446h

四 外資之資訊處理能力及投資績效的優越性 (1999) r ÛŽ ƒ {ÃÙ v (informaion leading role)» r ƒ f lð s l m ƒ g s å æ Ùn r à ƒ» s Ãg Ê û(1998) (1998) (1998) ë r à } ˆ}}y ¹ˆá r æ iùr Å ¹ ¹Êr Å è (2000) è (2000) ßÉ ñ ÍÖr à ˆá þ»iùr ÃÅà Œ f {µä ¹ sep l ~É ñ µ ÍÖ r ÃÅà ¹ xr ~ Å ƒ à e(2000)œv }Ã É Š Ñ j û r ¹ 參 研究設計及變數定義 一 外資機構持股比率變動與年度盈餘的關係 æ ÃwÃ~¹ È r ÃÙÅœ ƒ Õå û ÃÛ îi ½Ãð ~ ò{ Õå r ÙÅÃ Ì rãi ~ ª ª lf à µã ¹ h (Shiller and Pound, 1989; Lev, 1988; Bamber and Cheon, 1995) ~ æ å e iíör Ù Åà f j s ÃÅ f lœ r ÛŽol å Ãg ª ¹ à lfr Õå Ãg ÛŽ s ƒ ~ TEJ Ãr ÙÅi ¹ 1994 Úæ r u 84 88 } ²å Ãg l} ²å ~ à ôe i á i 0 ií 140 g iö 30 g(-140, 30)r ÙÅà f æ à epnùµƒ TEJ ¹ 84 88 ƒ Õå e h447h

î r ÙÅ æ Ãep { r ¾ epã iùå ª TEJ r¾ ÙÅ þ á Hold i = M ym i g i ~ g = 1 ª ir ÙÅ Ö î Þ ( m h448h 140, d )ds ÖÃÙÅ i i i M M Hold 140, d = ( Hold d Hold 140 ) ( Hold d Hold 140 ) d á å e iãå i æ (-140, 30) M d=30 HOLDd á d i r µƒå à s ÙÅ ~ i Hold 140,d o áå e ií 140 d i s ÖÃr ep i ÙÅÃ Õ å e i áep~ +1 s Õ å ŠÃ Íå i r æ å (unexpeced earnings) Ãuî å e epe ep Õå {á (random-walk) Ú å á Š Íå È Íå Ãþ å e i ŠÃ Íå ª TEJ iå þ å Šif Š Í îå Íå Îáep Õ È Íå á r ÙÅ å Ãg Á ô r ÙÅ epå e ií 140 g èo e iö 30 gã»r lfå Ãe¼ ep Õå ÛŽ Í É µ à lå {gû Îr }¹n Ãe p Ãep»r ÃÙÅ ¹ {Å Ã Îr à ƒ ¹»rÙÙÅà qû} ¹Å à r å à {g Û ¾ ¹ r á Œ m~ r ÙÅà à æ o à nùå ÕÃr ôå Õ epå à bea óf þ epå à ôl{ r ôœå à só l{ r µƒå à sómèr ôåã Õ»r Ü Å ÃÉ ÎÙÅ Ã Õ µls }Ū

r à ½ Õ e¼ã Ñ Hold i 140, d = α + α 0, d 5, d + α 1, d d = 139,..., + 30 ( DNEWS) + α ( QFPREFER) + α 6, d 2, d ( BETA) + α 3, d ( TURNOVER) + ε ( STD) + α i, d 4, d ( YEAR) (3.1) DNEWS á 1 mè ep 0 mè ep BETA STD áepå à bea ó þ YEAR áµe å Ã Õ QFPREFER mèôåª r Ã Õ TURNOVER áepå Ã Ã È 1»Ì 1,d ¹ Îå à r ÙÅà ƒ È 1! æ!!!!!!!!! DNEWS 1 å á Ãep 0 å á Ãep i 140 Hold,d HOLD BETA STD YEAR QFPREFER TURNOVER SALES INV AR i i i Hold 140, d = ( Holdd Hold 140) ( Holdd Hold 140) d = 139,...,0,... + 30 å e iãå i HOLD HOLD 1 =84..88 HOLD á ²r }Å ÙÅj epå o 3-5 i µî nã bea epå o 3-5 i µî nã þ Õå µ~ Õ r ôåã Õ ár ôœå µùƒãsó lr µƒå ÙƒÃsó epå à [ Sales E Sales )] E( Sales ) Sales = ( E( Sales ) = ( Sales 1 + Sales 2 ) / 2 M INV Sales mè Õå ¹ o s j à ej l Sales á Sales = [ Sales E( Sales )] E( Sales ) E( Sales ) = ( Sales 1 + Sales 2 ) / 2 Accoun Receivable Sales GM Gross M argin Sales S&A S & A Sales CHEPS ( EPS EPS 1 )/ EPS 1 100 IND 1 ç Å( 23 f 24) 0 m DYY 1 É ñ Õ 0 m Õ MV epsó M h449h

î r ÙÅ æ 二 影響外資持股變動的非盈餘財務報表變數及公司特質變數 æ à z ~ Õr ÙÅà ƒ o eá È ep å lf Åå à r ô ep Õ È Å µ å ƒ à ێ r ôåã ÕÙÅ ƒ Abarbanell and Bushee (1998)Ãæ Ùn î å à ñ ol å å lrã ó ñ nù Öà Öà ÖÃjŒ lf Öà v Abarbanell Bushee û fjœ ô ñ Öå ƒ Ãî u fuå jœ v ÃÅ eœƒ î ufîå ~á lf å ƒ ol r ÃÙÅ ƒ ep µå nùepå Ãñ lå à bea f þ epµ à lfª r Õ ~ ôlr Õ È ep µ ô r ÃÅ µ Falkensein(1996) Ùn É Ùƒ Õ ly¹ ÃÅ l Õ epå þ µƒ sóµ Ãep Õ ly¹ ô r Ùƒsó ÃepµÛŠ s Ù ðãep ~ ep r Õƒ r ç Å x Û r Ã~ ¹ep Šþ µîl Ãà þ ~ iñn ô Õ ô áå Õ q ôî Û»å Õ ¹É ñ u 86 f 87 Î á 1 ŽÎá 0 ol É ñ r {ñµ ª zå à ÑnÙ (1). ep µár µ Ñ QFprefer = β 0 + β1( MV ) + β 2 ( TURNOVER ) + β 3 ( BETA ) + β 4 ( STD ) + β ( IND ) + β ( SALES ) + ε 5 (2). r ÙÅ Ã~ Ñ 6 h450h

HOLD = γ + γ ( INV ) + γ ( AR ) + γ ( GM ) + γ ( S & A ) 0 + γ ( IND) + γ + γ ( CHEPS ) + γ ( BETA ) + γ ( STD ) + γ ( QFPREFER ) 5 9 1 10 2 6 3 ( YEAR ) + γ ( DYY ) + ε r ~áå à d ÃÛ îæ Ãð ô r ÙÅ Åå Ãg ÛŽ ep µƒ Ñnl ý 11 7 4 8 HOLD = φ + φ ( INV ) + φ ( AR ) + φ ( GM ) + φ ( S & A ) 0 + φ ( IND) + φ ( YEAR ) + φ ( DYY ) + φ ( CHEPS * BETA ) + ε + φ ( CHEPS ) + φ ( BETA ) + φ ( STD ) + φ ( QFPREFER ) 5 9 + φ ( CHEPS * IND) + φ ( CHEPS * QFPREFER ) 12 14 1 10 2 6 13 3 11 7 4 8» Åå ep µ Ãåò Ì ( φ12, φ13, φ14 ) Îr å Ãg Õ ep µƒ 肆 實證結果 一 外資機構持股比率變動與年度盈餘的關係 È 2 áæ à ï î DNEWS Ãs á 0.55 x d e Ãà Õå ƒ 55%á 45%á Õå e Í 140 ôy¹i r ÙÅ HOLD -140,-100 HOLD -140,-50 HOLD -140,0 lf HOLD -140,30 iñ e ií 100 ôy¹i e Í 50 ôy¹i e i gµe iö 30 g r µƒ eps ÙÅ Ã d¹-0.022 +0.004% ep e Í 140 ôy¹i e ií 100 ôy¹i e Í 50 ôy¹i e i gµe iö 30 gãs ÙÅ feœ á-0.138, -0.130, -0.118 f-0.125 o ep sãå áû r ÃÙÅ~e ií 100 ôy¹i Ö e i á~f Ûe iö {Õñ ÙÅ g Ó å Ãep e Í 140 ôy¹i e ií 100 ôy¹i e Í 50 ôy¹i e h451h

î r ÙÅ æ i gµe iö 30 gãs ÙÅ feœá 0.074, 0.115, 0.092 f 0.097 Èxr ÙÅ~ñ o à ~e ií 50 ôy¹i Ö e i á Ûe iö {Õ nùå o r ¹ Õå ÃÓ ÛÓ Íƒ g ~Ó Ö{ ¹r Ãs ÕÙÅ fá 0.003 á 0 Èxr à ÕÙÅ fo œƒ¹ f œƒu µî Bea ós á 0.797 x epãñ Õ ¹s ñ ~áî bea ó îƒ Þ µl s Ãep { î s bea ó ep s È 2! æ ï î s þ ó ó { DNEWS 0.550 0.498 1 1 0 HOLD 140, 100-0.02203 1.139753 13.360-0.027-10.585 HOLD 140, 50 0.00402 1.885577 19.251-0.027-12.53 HOLD 140,0-0.00325 2.419851 19.815 0.017-14.178 HOLD 140,30-0.00356 2.608928 18.970-0.021-19.443 e HOLD 140, 100-0.13881 1.034778 11.627-0.0285-10.585 HOLD 140, 50-0.13075 1.53902 11.444-0.0955-11.955 HOLD 140,0-0.11835 2.047803 17.545-0.07-11.776 p HOLD 140, 30-0.12596 2.201047 17.55-0.1145-11.721 e HOLD 140, 100 0.074633 1.21198 13.36-0.027-5.39 HOLD 140, 50 0.115575 2.124721 19.251 0.009-12.53 HOLD 140,0 0.092029 2.686708 19.815 0.045-14.178 p HOLD 140, 30 0.097757 2.901002 18.97 0.052-19.443 HOLD 0.003 0.031 0.178822 0-0.16943 BETA 0.797 0.328 2.630283 0.765762-1.23923 STD (%) 12.754 4.026 41.71099 11.92568 5.186282 YEAR 86.187 1.396 88 86 84 QFPREFER 0.237 0.984 23.72 0.02 0 h452h

s þ ó ó TURNOVER (%) 323.902 252.817 1565.34 262.4 2.71 INV (%) 12.637 175.318 3226.07 1.938023-3843.84 AR (%) 25.994 413.630 14382.65 3.142193-3856.93 GM (%) 80.379 3471.845 138775.2-6.73703-7506.78 OE (%) 0.659 108.992 870.5114 2.474672-3581.09 CHEPS (%) -78.750 815.156 10950-25.5034-15450 IND 0.188 0.390 1 0 0 DYY 0.422 0.494 1 0 0 CHSALES (%) 117.251 120.208 3914.792 108.3163-774.213 MV d 18243 52907 1281037 6999 178 Noe: È 1 þá 12.754% þ á 11.925% à Õe æ á 84-88 s óá 86.187 o Ö Ã w e på à á 323% å ¹epà s n 12.637% n 25.99% jœ n 80.379% v n 0.659% ~ ep Åå ƒ à s 78.75% ƒ 18.8%áç Å 42.2%Ãep É ñ ep s sóá 18243 d¹ ¹ 6999 d xep ƒu Ã È 3 {x epå e Ãe¼ vè 3 æn~ ô d izó Ãå ƒ 63%á izf iz Ãj è å qizãå Ó Ãj Š 56% oi» å Ó iz xã î χ 2 2 =42.48> χ 0.01(3) =11.34 1 Ãå j olæn Ãep }¹~ iz e å g ep }¹²Öe å à } h453h

î r ÙÅ æ i i i È 3! Ó e¼ Panel A:} ió epü 83 84 85 86 87 88 89 î 27 17 59 62 21 73 55 314 64 78 53 86 110 68 86 545 î 91 95 112 148 131 141 141 859 12 8 23 14 24 95 20 196 19 28 13 16 59 37 23 195 î 31 36 36 30 83 132 43 391 6 7 14 17 23 14 23 104 7 11 13 18 20 4 22 95 î 13 18 27 35 43 18 45 199 7 1 20 18 16 16 40 118 qi 6 0 12 17 22 1 36 94 î 13 1 32 35 38 17 76 212 }î 59 56 97 113 122 115 136 698 96 117 91 137 211 110 167 929 2 2 H0:iz x χ = 42.48> χ 0. 01 (3) =11.34 Panel B:} ió epj 83 84 85 86 87 88 89 î i i i 30% 18% 53% 42% 16% 52% 39% 37% 70% 82% 47% 58% 84% 48% 61% 63% 37% 22% 64% 47% 29% 72% 47% 50% 63% 78% 36% 53% 71% 28% 53% 50% 46% 39% 52% 49% 53% 78% 51% 52% 54% 61% 48% 51% 47% 22% 49% 48% 54% 100% 63% 51% 42% 94% 53% 56% qi 46% 0% 37% 49% 58% 6% 47% 44% }î 38% 32% 52% 45% 37% 51% 45% 62% 68% 48% 55% 63% 49% 55% h454h

100% 80% 60% 40% 20% 0% h h h ph BAD GOOD 1! }Ó iz j 2A áå e Í 140 g e Ö 30gr ÙÅà î áå e iãå i ás ÖÃr ÙÅ î Ù Å î à æ Õå e Í 140 gr ep lfå ê Õå à à g g Û~ Õå e 100 gír ÙÅ å à l{ e Í 100 glö {ñ ÙÅ xr îñå ~Ó Í 100 g gû Þ dr epãùås ñ 0.1~0.15% ¹ epãg ÎÛ~å e Í 140 g e Í 60 g nùåj Ö ~ƒ¹ ÃÙÅ n Þ dr epãùås n 0.1% ~ þ 0.15 0.1 0.05 0-140 -120-100 -80-60 -40-20 0 20-0.05-0.1 þ -0.15-0.2 2A! å e Í 140 i e Ö 30 ir ÙÅ î f h455h

î r ÙÅ æ Ñ(3.1) å (DNEWS) Ì α 1, d ( d = 139,..., = 30 ) à ÕolgÛå r ÙÅœ Ã Õ 2B á å Ö ( 140, d ) r îùå DNEWS Ì α 1, d à T ó 2B x T ó~(-140,-134) j ¹ 0.05 n ~(-140,-107) Ö d T ó ñ (-140,-53) Ö { x~å Ó 50 gí r g µƒã Õå 4 3 2 1-140 -120-100 -80-60 -40-20 0 20 0 2B! å r ÙÅ Ã µ á r ~å à ێ ¹ ô } s Å Ã f r ÙÅ ˆj 2C áå e iíös à î ô µ uã î (-140,-139) (-140,+30) î Ž Ù f µ îã î (-140,-139) (-140,0) î ÎŽ Ù Ã ñ }¹r ~Í 100 gsp megûå à x ~ ê f f Õ ¹ r ë î ˆ Š Ñ(3.1) Ãe¼ ~ á î Î î å Ã Ì Ã T ó (-140,-128) ÃÙ (-140,+30)1 ~ár à ~e i 100 glí l~e ií 50 g {g xr å à g 1 á åä eã» É~i h456h

~ ƒ¹s Å Ã f lùå Ã Õ Å fá ep Õå Ã} r ÃÙÅ á l ¹ ~ þ þ 2C å e iíös î (%) 二 影響外資持股變動的財務報表變數及公司特性變數 ~Í ô Õå à r ÃÙÅ Îe¼ È mèep ñ à fep µ r ÙÅÃ È 4 Ñ 1 {x 84 88 r ÙÅ ep ñ l fep µ û Í Ã» ë Åå à (CHEPS) r ÙÅ ƒ Ãuå ¹å lrãep ñ ep Öà n r ÙÅ ƒ uå ô» Abarbanell Bushee (1998)µ à åg lîã ~Ûæ ªð¹ ê à o Ðf Ð Abarbanell Bushee à ÎqnÙ Ð Ð nã Õ ¹ Ã É iñ x É l Éà å Û o Ðà n xep à ƒ nv å ÎÛ æ û x r ep à n ᜠ¹ Öà (AR)fjŒ (GM) r Êep ñãðî ågã Öà v n(s&a) r á h457h

î r ÙÅ æ ŒÄ g ep à n Œ¹ å ¹ÛŽ~á È ~{ fjœ { µ Ñ 1» à VIF (variance inflaion facors)á 1.74 Ã{ µ ~ ~ep µ iñ È 4 Ñ 1 û xepñ (BETA f STD) r ÙÅ œƒ à epª r Ã Õ (QFPREFER) lf ç epîûr Ù Ã r à ÕÌep µãm olænù ep µ r à ٠dãóá p-value QFPREFER = 0. 1144+ 0. 000016*(MV) + ( 0. 00015 )* (TURNOVER ) + ( 0. 056 )* ( BETA ) + 0. 0094* ( STD ) + 0. 1083* ( IND ) + 0. 0129* ( SALES ) + ε ( 0. 2631 ) ( 0. 0188 ) ( 0. 0001 ) ( 0. 0198 ) ( 0. 0122 ) ( 0. 0102 ) ( 0. 2007 ) r ~ ˆ Éà µ Ã~ lîûepã ¾ Û j û eãr s à É~qÅÙ ó ÃÅ Ûsó(MV) ÃÅ r ç Å(IND=1) (TURNOVER) lfå ¾ µ(std) ÃÅ äûr á l É ÃÅ ¹epà BETA óî Ûr ÅÃlî È 4 Ã Ñ 2~4 û ô ep µûž r å Ãg Õ Ñ 2 Ñ 4 eœ ôœ ~ ep BETA lfª r Õ Š r å Ãg Ñ CHEPS*IND CHEPS*BETA lf CHEPS*QFPREFER ÃÌ äáu eœ xr ¹ ç BETA lf É Ãepå Ãg ¹ mê ç BETA lf É gãep Ñ 5 û x } fr ÙÅ ô µ r ÙÅà r à å g d à } r å Ãg Õ ¹ Ñ 6 û ëå} Ã{ Õ ~ol ªÃ d h458h

h459h È 4! r ÙÅ ~ ~ r ÙÅ Ñ 1 Ñ 2 Ñ 3 Ñ 4 Ñ 5 Ñ 6 0.1189 (0.0125)** 0.1202 (0.0114)** 0.1182 (0.0127)** 0.1206 (0.0110)** 0.1212 (0.0105)** 0.1198 (0.0114)** INV 0.0017 (0.0019)*** 0.0016 (0.0022)*** 0.0016 (0.0022)*** 0.0016 (0.0020)*** 0.0016 (0.0022)*** 0.0016 (0.0022)*** AR 0.0000 (0.8975) 0.0000 (0.8918) 0.0001 (0.7140) 0.0000 (0.9282) 0.0000 (0.9213) 0.0001 (0.7961) GM 0.0000 (0.1541) 0.0000 (0.1813) 0.0000 (0.1137) 0.0000 (0.1358) 0.0000 (0.1540) 0.0000 (0.1166) S&A -0.0033 (0.0002)*** -0.0033 (0.0002)*** -0.0032 (0.0002)*** -0.0033 (0.0002)*** -0.0032 (0.0002)*** -0.0032 (0.0002)*** CHEPS 0.0010 0.0007 (0.0156)** -0.0005 (0.3420) 0.0009 (0.0008)*** 0.0007 (0.0208)** -0.0001 (0.8127) BETA -0.0035 (0.2417) -0.0031 (0.2985) -0.0021 (0.4789) -0.0037 (0.2174) -0.0034 (0.2547) -0.0027 (0.3718) STD -0.0001 (0.5654) -0.0002 (0.5229) -0.0002 (0.4614) 0.0000 (0.9104) 0.0000 (0.8413) -0.0001 (0.7453) QFPREFER 0.0068 0.0068 0.0069 0.0074 0.0074 0.0073 IND 0.0072 (0.0017)*** 0.0077 (0.0008)*** 0.0075 (0.0011)*** 0.0070 (0.0024)*** 0.0073 (0.0015)*** 0.0072 (0.0017)*** YEAR -0.0013 (0.0220)** -0.0013 (0.0199)** -0.0013 (0.0215)** -0.0013 (0.0180)** -0.0013 (0.0172)** -0.0013 (0.0185)** DYY -0.0117-0.0115-0.0114-0.0113-0.0112-0.0112 CHEPS*IND 0.0014 (0.0209)** 0.0009 (0.1363) 0.0001 (0.9270) CHEPS*BETA 0.0021 (0.0009)*** 0.0014 (0.1156) CHEPS*QFPR EFER 0.0011 (0.0003)*** 0.0010 (0.0015)*** 0.0009 (0.0081)*** É Ù á p-value ***,**f*eœmè 1%, 5%f 10% j

î r ÙÅ æ 伍 結論 æ r ÙÅ ep Õå lf mêå È Ã Ì Õå e Í 140 i e Ö 30 ir ÙÅ Ã î ô Õå e Í 140 g r ep l f må ê Õå à à g è~ Õå e i 100 ôy¹iír ÙÅ îñå à l{ uñå ÃÙÅ Î~e i Í 50 y¹i g Þ d r epãùås ñ 0.1~0.15% epãùå s n 0.1% á r å Ãþ ô } s Å Ã f r ÙÅ ˆj» }¹r ~å e Í 50 gsp megûå à ¹ Õå à fg r á xr ~ ê ¹ lg ~Êå à ñ iñ r ÃÙÅ ep Ö Ã nƒuå Öà v nƒîå ¹ Öà fjœ r Ê ñãðî ë nù o Ðlf Ð É Õ Éá x ep ƒ à nv å ÎÛ åg à Öà v n r áœä g ep à n Œ¹ å ~ep µ iñ» xepñ r ÙÅ œƒ à epª r Ã Õ lf ç e pîûr Ù Ã Ö ô r å Ãg Õ epûžá ep Bea lfªr Õƒ r ¹ ç Bea lf É Ãepå Ãg ¹ mê ç Bea lf É gãep 參考文獻 k 1999 Õå Ó» æ æ µ i h460h

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