臺灣博碩士論文加值系統

本研究係從外資法人之專業理性投資者角度，針對外資法人的交易行為與盈餘組成要素間具有不同資訊內涵的關聯性進行測試。欲瞭解我國資本市場自開放外資至今，究竟外資法人扮演著何種持股角色？是短期持有的投機炒作者，抑或是長期持有且縝密的專業理性投資者？外資法人在面對盈餘組成要素間具有不同盈餘持續性之資訊內涵時，將會做出何種投資策略？本研究分別將盈餘分解成：(1)應計項目與現金流量；(2)裁決性應計項目、非裁決性應計項目與現金流量。分別探討應計項目與現金流量何者會影響外資法人調整持股？調整的方為何？何者對外資法人調整持股的影響幅度較大？外資是否可看穿公司操縱盈餘的行為？面對裁決性應計項目較高的公司，外資會傾向於採取減碼的投資策略，抑或是反而傾向於採取加碼的投資策略？
實證結果發現，就應計項目與現金流量而言，在整體產業以及電子業中，應計項目愈高的公司，外資會採取增加買超幅度或減少賣超幅度的策略，但是現金流量的影響幅度大於應計項目；證實外資法人較重視現金流量資訊。
就裁決性應計項目、非裁決性應計項目與現金流量而言，裁決性應計項目的實證結果與預期不符；在以整體產業及電子業為樣本時，裁決性應計項目與外資調整持股成顯著正相關，證實外資法人在我國扮演著短暫投資者的持股角色。而在非電子業樣本中，裁決性應計項目與外資調整持股呈負相關，符合預期假說的方向，外資在非電子業中扮演著長期持有且縝密的投資者，惟此項關係未達統計顯著性。此外，由於非裁決性應計項目不易操縱，且包含未來預期發生的應計基礎會計資訊，其盈餘品質較佳，因此非裁決性應計項目愈高的公司，外資法人採取正向調整持股策略，其調整的幅度甚至大於現金流量。
在控制變數方面，以公司規模最具一致性結果且達統計上顯著性；顯示外資較偏好公司市值較高的股票。另外，發現總資產報酬率為外資考量賣超的一項重要因素。

This study tests the relationship between QFII trading behaviors and the different valuation implications of the cash flow and accrual components of earnings. To find out what kind of the role that QFII play for, transient investors or sophisticated investors and how does the QFII''s reaction about the difference in persistence of the accrual and cash flow components of earnings, I decompose earnings into :（1）accruals and cash flow；（2）discretionary accruals, non-discretionary accruals and cash flow to investigate which would influence QFII''s trading behaviors？What''s the direction of QFII''s holding change？Which would influence more, the extent of QFII''s holding change？Do QFII could detect earnings management？For the firms with higher discretionary accrual, what''s the strategy that QFII would do？Oversell or overbuy？
The results suggested that for the accruals and cash flow, with respect to overall industry and electronic industry, QFII would enhance the level of holding ratio or reduce the extent of oversell while companies with higher accruals. But for the influence upon extent to QFII holding change, cash flow is more than accruals. QFII pays more attention to cash flow.
For the discretionary accruals, non-discretionary accruals and cash flow, the empirical result of the discretionary accruals is inconsistent with expectation. In overall and electronic industry, discretionary accrual is significant positively correlated with QFII holding change. Furthermore, discretionary accrual is negatively correlated with QFII holding change in non-electronic industry; QFII plays a role of sophisticated investors in non-electronic industry. Besides, as a result of difficulty to manipulate non-discretionary accrual and accrual-basis accounting information has better earnings quality, QFII would adjust holding ratio positively while companies with higher non-discretionary accrual, its scope of adjustment is even more than cash flow.
With regard to the control variables, SIZE has the most consistent result; QFII prefers higher market value stocks. Furthermore, I found that ROA is an important factor while QFII makes the oversell strategy.

摘要…………………………………………………………………………Ⅰ
章節目錄……………………………………………………………………Ⅲ
圖表目錄……………………………………………………………………Ⅳ
第一章 緒論………………………………………………………………1
第一節 研究背景………………………………………………1
第二節 研究動機及目的………………………………………2
第三節 研究問題………………………………………………7
第四節 研究架構………………………………………………8
第二章 文獻回顧…………………………………………………………10
第一節 機構投資人的持股角色………………………………10
第二節 盈餘組成要素之相關文獻……………………………15
第三章 研究設計與研究方法……………………………………………20
第一節 研究假說………………………………………………20
第二節 實證設計與模型建立…………………………………23
第三節 變數定義………………………………………………27
第四節 研究期間、樣本選取與資料來源……………………39
第四章 實證分析結果……………………………………………………42
第一節 敘述性統計量分析……………………………………42
第二節 相關性分析……………………………………………46
第三節 單變量分析……………………………………………49
第四節 多變量分析……………………………………………60
第五章 研究結論與建議…………………………………………………83
第一節 研究結論………………………………………………83
第二節 研究限制………………………………………………87
第三節 研究建議………………………………………………88
參考文獻……………………………………………………………………89

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