政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34237
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 112878/143845 (78%)
造訪人次 : 50006848      線上人數 : 678
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 會計學系 > 學位論文 >  Item 140.119/34237


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34237


    題名: 應計項目異常現象與投資人持股行為
    作者: 柯亭劭
    貢獻者: 李怡宗
    柯亭劭
    關鍵詞: 應計項目異常現象
    投資人
    持股行為
    應計項目
    機構投資人
    內部關係人
    自然人
    套利投資組合
    accrual anomaly
    investors
    holding behavior
    accruals
    institution investors
    insiders
    individual investors
    hedge portfolio
    日期: 2006
    上傳時間: 2009-09-18 09:05:42 (UTC+8)
    摘要: Sloan（1996）研究指出，投資人無法完全地分辨出應計項目與現金流量間盈餘持續性的差別，導致對應計項目資訊反應過度，而對現金流量資訊則反應不足，因此公司擁有相對較高（低）的應計項目使用金額，預期會有負（正）的未來股票異常報酬率，此種存在於應計項目與未來來股票異常報酬率間之負向關係，即本文所稱之「應計項目異常現象」。

    投資人方面，本研究依資訊取得優勢，區分為內部關係人、機構投資人（外資、投信、自營商）與自然人；投資人持股行為則分別以持股比例與持股比例變動代表。此外，並將應計項目分別以總應計項目與總應計項目組成要素下之個別營運資金應計項目（應收帳款變動數、存貨變動數與應付帳款變動數）作衡量。首先測試應計項目異常現象是否存在於我國，再利用應計項目異常現象建構之套利投資組合，買進最低應計項目金額的投資組合而賣出最高應計項目金額的投資組合，探討應計項目異常現象與投資人持股行為之關聯性。

    實證結果顯示，應計項目異常現象存在於我國，亦存在於個別營運資金應計項目。持股比例方面，外資與內部關係人似乎能利用應計項目異常現象形成之套利投資組合；當總應計項目的金額愈低，持股比例會愈高，但在不同應計項目的衡量方法下會有不同的結果。持股比例變動方面，除內部關係人與自然人稍佳之外，本研究設計之迴歸模型並無對應計項目與投資人持股比例變動間之關聯性有足夠的解釋能力。此外，第二年度的內部關係人持股比例變動雖與總應計項目、存貨變動數有負向的關聯性，惟統計結果並不顯著。

    關鍵字：應計項目異常現象、投資人、持股行為、應計項目、機構投資人、內
    部關係人、自然人、套利投資組合
    Sloan（1996）results indicate investors failing to distinguish fully between the different properties of the accrual and cash flow components of earnings. This leads to
    overreaction of the information contained in the accrual components of earnings and underreaction of the cash flow components of earnings.Consequently,firms with relatively high (low) levels of accruals experience negative (positive) future abnormal stock returns. The negative relationship between accounting accruals and subsequent stock returns calls the “Accruals anomaly” in this paper.

    With repect to the investors, I distinguish them from the advantage of obtaining the information into insiders, institution investors (QFII, mutual funds, security dealers), and individual investors; then use the percentage of the investors’ holding and the percentage of the investors’ holding change to represent the investors’ holding behavior. Besides, I use the total accruals and individual working capital accruals（change in accounts receive, change in inventory, and change in minus accounts payable）to measure accruals. Firstly, I test whether the accruals anomaly exists in our country or not, then exploit the hedge portfolio formed by accruals anomaly,by taking a long position in the stock of firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals generates positive abnormal stock returns to probe into the association between accruals anomaly and investors’ holding behavior.

    The results suggested that accruals anomaly indeed exists in our country and the individual working capital accruals. With regard to the percentage of the investors holding, QFII and insiders seems to capable of exploiting the hedge portfolio formed by accruals anomaly; when firms with relatively low levels of total accruals experience the percentage of the high investors holding,but there have different results of using dissimilar measurement of accruals. For the percentage of the investors holding change, this paper’s regression model doesn’t have enough capability of explaining the association between accruals and percentage of the investors holding change except insiders and individual investors. Furthermore, although the percentage of the insiders’ holding change in the second year is negatively correlated with total accruals and change in inventory, the empirical results are not significant.

    Key words: accrual anomaly, investors, holding behavior,
    accruals, institution investors, insiders,
    individual investors, hedge portfolio
    參考文獻: 中文部分
    朱建州，1999，機構投資人與月營收資訊內涵之關聯性研究－以台灣股市為例，國立中正大學會計研究所未出版碩士論文。
    林玫秀，2002，台灣上市與上櫃公司盈餘管理現象之研究，私立中原大學會計學系碩士論文。
    林珈汶，1997，外國法人持股比例變動對股票報酬率之影響，國立中興大學企業管理學系碩士論文。
    周凡敬，1999，基本分析與市場效率：以會計資訊之存貨與應收帳款為例，國立台灣大學會計學系碩士論文。
    金成隆與曹壽民，1999，台灣上市公司盈餘/股價關聯性之研究，中山管理評論，第七卷，第1期：81-100。
    施生元，2001，投信、外資及散戶從眾行為之探討，私立元智大學管理研究所碩士論文。
    陳慧如，1996，外資大額交易與股價關聯之研究，私立淡江大學財務金融學系碩士論文。
    陳慧美，2003，盈餘管理與財務特性,股票報酬關聯性之探討，國立中山大學財務管理學系碩士論文。
    許嘉麟，1999，金融風暴前後股價、匯率與三大法人操作策略之關係研究，私立淡江大學財務金融學系碩士論文。
    張皇輝，1995，外資及自營商的買賣策略對臺灣股市報酬率與波動性影響之研
    究，國立臺灣大學商學研究所碩士論文。
    張勝傑，1996，外資買賣超資訊參考價值之研究，國立中興大學企業管理學系碩士論文。
    張懿心，2001，現金流量與應計項目增額資訊內涵之研究，國立成功大學會計學系碩士論文。
    曹玉萍，2002，研發活動、內部人及外資持股變動關聯性之研究，私立中原大學會計學系碩士論文。
    黃于珍，1988，外資交易行為對台灣股市之影響，私立輔仁大學金融研究所碩士論文。
    黃仲賢，2003，財務報表資訊與非財務報表資訊異常現象之探討:以應計項目與非財務指標為例，私立中原大學會計學系碩士論文。
    黃懷慶，2000，臺灣股市三大機構投資人(外資、投信與自營商)投資行為之實證研究，私立朝陽大學財務金融系碩士論文。
    湯惠玲，2001，外國專業投資機構持股策略與投資標的財務屬性關聯性之研究，國立政治大學會計學系碩士論文。
    趙正源，2003，應計項目組成與股票報酬之關聯性，私立輔仁大學會計學系碩士論文。
    薛敏正及林嬋娟，2003，自由現金流量與盈餘管理關聯性之研究，台灣管理學刊，第3卷，第1期：151-68。
    韓千山，1999，內部關係人訊息優勢、股票質押與下單策略，國立台灣大學財務金融學系碩士論文。
    蘇鵲翎，1999，散戶與法人投資行為對股票報酬率與週轉率影響之探討--以台灣上市電子股為例，國立台灣大學財務金融學系碩士論文。
    英文部分
    Admati, A., and P. Pfleiderer. 1988. A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1: 3-40.
    Admati, A., and P. Pfleiderer. 1988. Sunshine trading and financial market
    Equilibrium. Review of Financial Studies 4: 443-482.
    Alford, A., J. Jones, and M. Zmijewski. 1994. Extensions and violations of the
    statutory SEC Form 10-Kfiling requirements. Journal of Accounting and
    Economics 17 (January): 229-254.
    Ali, A., X. Chen, T. Yao, and T. Yu. 2006. Do mutual funds profit from the accruals
    anomaly? Working Paper, Texas University.
    Badrinath, S., G. Gay, and J. Kale. 1989. Patterns of institutional investment,
    prudence, and the managerial ”safety-net” hypothesis. Journal of Risk and
    Insurance 56(December): 605-629.
    Badrinath, S., G. Gay, and J. Kale, and H. E. Ryan. 1996. Characteristics of common
    stock holdings of insurance companies. The Journal of Risk and Insurance 63:
    49-76.
    Ball, R., and P. Brown. 1968. An empirical evaluation of accounting income numbers.
    Journal of Accounting Research (Autumn): 159-178.
    Barber, B. M., and T. Odean. 2000. Trading is hazardous to your wealth: The common
    stock investment performance of individual. The Journal of Finance (December): 773-806.
    Bamber, L., and S. Cheon. 1995. Differential price and volume reactions to accounting earnings announcements. The Accounting Review (July): 417-441.
    Bauman,W.S., R. E. Miller. 1997. Investor expectations and the performance of value
    stocks versus growth stocks. Journal of Portfolio Management (Spring) : 57-68.
    Beneish, M. D., and M. E. Vargus. 2002.Insider trading, earnings quality, and accrual
    mispricing. The Accounting Review 77 (October): 755-792.
    Bikhchandani, S., D. Hirshleifer, and I. Welch. 1992. A theory of fads, fashion,
    custom, and cultural change as informational cascades. Journal of Political
    Economy 100: 992-1026.
    Bushee, B. 2001. Do institutional investors prefer near-term earnings over long-run
    value. Contemporary Accounting Research 18: 207-246.
    Bushee, B., and J. S. Raedy. 2003. Factors affecting the implementability of stock
    market trading strategies. Working Paper, Pennsylvania University.
    Chakravarty, S., and J.M. John. 1999. Does insider trading really move stock prices ? Journal of Financial and Quantitative Analysis 34 (June) : 191-209.
    Chaney, P. K., and D.C. Jeter. 1992. The effect of size on the magnitude of long-window earnings response coefficients. Contemporary Accounting Research 8: 540-560.
    Chan K., N. Jegadeesh, and T. Sougiannis. 2004. The accrual effect on future earnings. Review of Quantitative Finance and Accounting 22: 97-121.
    Collins, D. and P. Hribar. 2002. Errors in estimating accruals: Implications for
    empirical research. Journal of Accounting Research 40: 105–134.
    Collins, D., G. Gong, and P. Hribar. 2003. Investor sophistication and the mispricing
    of accruals. Review of Accounting Studies 8: 251–276.
    Collins, D., and S. Kothari. 1989. An analysis of intertemporal and cross-sectional
    determinants of earnings response coefficients. Journal of Accounting and
    Economics 11: 143-181.
    Cready, W. M. 1994. Determinants of relative investor demand for common stocks.
    Journal of Accounting, Auditing, and Finance 10: 487-507.
    Dahlquist, M., and G. Robertsson 2001. Direct foreign ownership, institutional
    investors, and firm characteristics. Journal of Financial Economics 59: 413-440.
    DeAngelo, H., L. DeAngelo, and D. J. Skinner. 1994. Accounting choice in troubled
    companies. Journal of Accounting and Economics 17: 113-143.
    DeAngelo, L. E. 1986. A study of management buyouts of public stockholders. The
    Accounting Review (July): 400-420.
    Dechow, P. M., R. G. Sloan, and A. Sweeney. 1995. Detecting earnings management.
    The Accounting Review 70: 193-225.
    Desai, H., S. Rajgopal, and M. Venkatachalam. 2004. Value-glamour and accruals mispricing:One anomaly or two? The Accounting Review 79 (April): 335-385.
    Del Guercio, D. 1996. The distorting effect of the prudent-man laws on institutional
    equity investments. Journal of Financial Economics 40: 31-62.
    Dobrzynski, J. 1993. Relationship investing. Business Week 3309 ( March 15): 68-75.
    Drucker, P. 1986. A crisis of capitalism. Wall Street Journal 32(September).
    DuCharme, L., P. Malatesta, and S. Sefcik. 2001. Earnings management: IPO
    valuation and subsequent performance. Journal of Accounting, Auditing and
    Finance 16: 369-396.
    Easton, P., and M. Zmijewski, 1989. Cross-sectional variation in stock market
    response to accounting earnings announcements. Journal of Accounting and
    Economics 11: 117-141.
    El-Gazzar, S. M. 1998. Predisclosure information and institutional ownership: A cross-sectional examination of market revaluations during earnings announcement periods. The Accounting Review 73(January): 119-129.
    Falkenstein, E. G. 1996. Preference for stock characteristics as revealed by mutual
    fund portfolio holdings. Journal of Finance 51: 111-135.
    Gervais, S., and T. Odean. 2001. Learning to be overconfident. The Review of
    Financial Studies (Spring): 1-27.
    Gombola, M. J., and J. E. Ketz. 1983. A note on cash flow and classification patterns
    of financial ratios. The Accounting Review 58 (January): 105-114.
    Gompers, P., and A. Metrick. 2001. Institutional investors and equity prices.
    Quarterly Journal of Economics 116: 229-259.
    Graves, S. B. 1988. Institutional ownership and corporate R＆D in the computer
    industry. Academy of Management Journal 31(June): 417-428.
    Grinblatt, M., and M. Keloharju. 2000. The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics 55: 43-67.
    Grossman, S. J., and J. E. Stiglitz. 1980. On the impossibility of informationally
    efficient markets. American Economic Review 70: 393-408.
    Gu, Z., and P. C. Jain. 2006. Can the accrual anomaly be explained away by operating
    cash flows: A component level analysis. Working Paper, Carnegie Mellon
    University.
    Healy, P. M. 1985. The effect of bonus schemes on accounting decisions. Journal of Accounting and Economics (April): 85-107.
    Hellwig, M. F. 1980. On the aggregation of information in competitive markets.
    Journal of Economic Theory 22: 477- 498.
    Hessel, C., and M. Norman. 1992. Financial characteristics of neglected and
    institutionally held stocks. Journal of Accounting, Auditing, and Finance 7:
    313-334.
    Hudson, C. D., J.S. Jahera, and W. P. Lloyd. 1992. Further evidence on the
    relationship between ownership and performance. The Financial Review 27
    (May) : 227-239.
    Hung, M. 2001. Accounting standards and value relevance of financial statements：An international analysis. Journal of Accounting and Economics 30: 401-420.
    Jacobs, M. 1991. Short-Term America; The Causes and Cures of Our Business
    Myopia. Boston, MA:Harvard Bussiness School Press.
    Jensen, M. 2005. Agency costs of overvalued equity. Financial Management 34:
    5-19.
    Jensen, M.C., and W. H. Meckling. 1976. Theory of the firm: Managerial behavior,
    agency cost and ownership structure. Journal of Financial Economics 9:
    305-360.
    Jones, J. J. 1991. Earnings management during import relief investigations. Journal of Accounting Research (Autumn): 1993-228.
    Kang, Jun-Koo, and Rene M. Stulz. 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46: 3-28.
    Kim, J., and R. Verrecchia. 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics (January): 41-67.
    Kothari, S. P., E. Loutskina, and V. Nikolaev. 2006. Agency theory of overvalued
    equity as an explanation for the accrual anomaly. Working Paper, Tilburg
    University.
    Kyle, A. 1985. Continuous auctions and insider trading. Econometrica 53: 1315-1336.
    Kyle, A. 1989. Informed speculation with imperfect competition. Review of Economic
    Studies 56: 317-355.
    Lee, C. 1992. Earnings news and small traders: An intraday analysis. Journal of Accounting and Economics 15: 265-302.
    Lev, B., and D. Nissim. 2006. The persistence of the accruals anomaly. Contemporary
    Accounting Research (Spring): 193-226.
    Mashruwala, C., S. Rajgopal, and T. Shevlin. 2004. Why is the accruals anomaly not
    arbitraged away? Working Paper, University of Washington.
    Monks, R., and N. Minow. 1995. Corporate Governance. Cambridge, MA:Blackwell.
    Nofsinger, J. R., and Richard W. S. 1999. Herding and feedback trading by
    institutional and individual investors. The Journal of Finance (December):
    2263-2295.
    O’Brien, P., and R. Bhushan. 1990. Analyst following and institutional ownership.
    Journal of Accounting Research 28: 55-82.
    Opler, T., and J. Sokobin. 1997. Does coordinated institutional shareholder activism
    work? An analysis of the activities of the Council of Institutional Investors.
    Working paper. Ohio State University.
    Ou, J. A., and P. H. Stephen. 1989. Financial statement analysis and the prediction
    of stock return. Journal of Accounting and Economics (November): 295-329.
    Penman, S. H., and X. J. Zhang. 2002. Accounting conservatism, the quality of
    earnings, and stock returns. The Accounting Review 77 (April): 237-264.
    Porter, M. 1992. Capital Choices: Changing the Way America Invests in Industry.
    Boston, MA: Council on Competitiveness/Harvard Bussiness School.
    Potter, G. 1992. Accounting earnings announcements, institutional investor
    concentration, and common stock returns. Journal of Accounting Research
    30(Spring): 146-155.
    Ronen, J., and S. Sadan. 1982. Smoothing income numbers: Objectives, means, and
    implications. The Accounting Review 57 (July): 654-655.
    Rosenberg,B.,K. Reid,and R. Lanstein.1985.Persuasive evidence of market
    inefficiency.Journal of Portfolio Management 11: 9-17.
    Schipper, K., and L. Vincent. 2003. Earnings quality. Accounting Horizons 17:
    97-110.
    Schipper, R. 1989. Commentary on earnings management. Accouting Horizon 3:
    91-102.
    Seasholes, M. 2000. Smart foreign traders in emerging markets. Working Paper,
    Harvard University.
    Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash
    flows about future earnings. The Accounting Review (July): 289-315.
    Teoh, S. H., I. Welch, and T. J. Wong. 1998. Earnings management and the long-run market performance of initial public offerings. Journal of Finance 6: 1935-1974.
    Watts, R. L., and J. L. Zimmerman. 1986. Positive accounting theory. Working Paper, University of Rochester.
    Wilson, G. P. 1986. The relative information content of accruals and cash flows.
    Journal of Accounting Research: 165-204.
    Xie, H. 2001. The mispricing of abnormal accruals. The Accounting Review 76 (July):
    357-373.
    描述: 碩士
    國立政治大學
    會計研究所
    94353016
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094353016
    資料類型: thesis
    顯示於類別:[會計學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    301601.pdf43KbAdobe PDF2793檢視/開啟
    301602.pdf81KbAdobe PDF2925檢視/開啟
    301603.pdf86KbAdobe PDF21028檢視/開啟
    301604.pdf65KbAdobe PDF2929檢視/開啟
    301605.pdf161KbAdobe PDF21721檢視/開啟
    301606.pdf175KbAdobe PDF23822檢視/開啟
    301607.pdf314KbAdobe PDF22832檢視/開啟
    301608.pdf1016KbAdobe PDF21031檢視/開啟
    301609.pdf152KbAdobe PDF2970檢視/開啟
    301610.pdf99KbAdobe PDF21484檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋