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    题名: 應計項目異常現象與投資人持股行為
    作者: 柯亭劭
    贡献者: 李怡宗
    柯亭劭
    关键词: 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
    上传时间: 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
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