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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 18-九月-2009 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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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
dc.contributor.advisor 李怡宗zh_TW
dc.contributor.author (作者) 柯亭劭zh_TW
dc.creator (作者) 柯亭劭zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 18-九月-2009 09:05:42 (UTC+8)-
dc.date.available 18-九月-2009 09:05:42 (UTC+8)-
dc.date.issued (上傳時間) 18-九月-2009 09:05:42 (UTC+8)-
dc.identifier (其他 識別碼) G0094353016en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34237-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 94353016zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (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		zh_TW
dc.description.abstract (摘要) 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		en_US
dc.description.tableofcontents 謝辭 I
論文摘要 II
目錄 IV
圖表目錄 VI
第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究問題 6
第三節 研究貢獻 8
第四節 研究架構 9
第貳章 文獻探討 11
第一節 盈餘、應計項目資訊內涵與盈餘管理 11
第二節 會計資訊與機構投資人持股行為 23
第參章 研究設計 29
第一節 研究假說 29
第二節 分析方法 36
第三節 變數衡量 41
第四節 樣本選取與研究期間、資料來源 55
第肆章 實證結果與分析 57
第一節 敘述性統計量分析 57
第二節 相關性分析 60
第三節 應計項目異常現象存在性 65
第四節 多變量分析 71
第伍章 結論與建議 126
第一節 研究結論 126
第二節 研究限制 135
第三節 研究建議 136
參考文獻 137

圖表目錄

【圖1.4-1】研究架構圖 10
【表3.1-1】集中交易市場成交金額投資人類別比例表 31
【表3.3-1】變數定義與預期方向 54
【表4.1-1】敘述性統計 59
【表4.2-1】投資人持股比例之相關性分析 63
【表4.2-2】投資人持股比例變動之相關性分析 64
【表4.3-1】資產負債表法衡量之總應計項目與未來報酬率之關係 68
【表4.3-2】現金流量表法衡量之總應計項目與未來報酬率之關係 68
【表4.3-3】應收帳款變動數與未來報酬率之關係 69
【表4.3-4】存貨變動數與未來報酬率之關係 69
【表4.3-5】應付帳款變動數與未來報酬率之關係 70
【表4.4-1】外資持股比例與總應計項目之多變量分析結果 73
【表4.4-2】投信持股比例與總應計項目之多變量分析結果 75
【表4.4-3】自營商持股比例與總應計項目之多變量分析結果 76
【表4.4-4】內部關係人持股比例與總應計項目之多變量分析結果 79
【表4.4-5】自然人持股比例與總應計項目之多變量分析結果 80
【表4.4-6】外資持股比例與個別營運資金應計項目之多變量分析結果 83
【表4.4-7】投信持股比例與個別營運資金應計項目之多變量分析結果 86
【表4.4-8】自營商持股比例與個別營運資金應計項目之多變量分析結果 87
【表4.4-9】內部關係人持股比例與個別營運資金應計項目之多變量分析結果 90
【表4.4-10】自然人持股比例與個別營運資金應計項目之多變量分析結果 91
【表4.4-11】外資持股比例與所有營運資金應計項目之多變量分析結果 93
【表4.4-12】投信持股比例與所有營運資金應計項目之多變量分析結果 94
【表4.4-13】自營商持股比例與所有營運資金應計項目之多變量分析結果 97
【表4.4-14】內部關係人持股比例與所有營運資金應計項目之多變量分析結果 98
【表4.4-15】自然人持股比例與所有營運資金應計項目之多變量分析結果 99
【表4.4-16】外資持股比例變動與總應計項目之多變量分析結果 101
【表4.4-17】投信持股比例變動與總應計項目之多變量分析結果 102
【表4.4-18】自營商持股比例變動與總應計項目之多變量分析結果 105
【表4.4-19】內部關係人持股比例變動與總應計項目之多變量分析結果 106
【表4.4-20】自然人持股比例變動與總應計項目之多變量分析結果 107
【表4.4-21】外資持股比例變動與個別營運資金應計項目之多變量分析結果 109
【表4.4-22】投信持股比例變動與個別營運資金應計項目之多變量分析結果 111
【表4.4-23】自營商持股比例變動與個別營運資金應計項目之多變量分析結果 115
【表4.4-24】內部關係人持股比例變動與個別營運資金應計項目之多變量分析結果 116
【表4.4-25】自然人持股比例變動與個別營運資金應計項目之多變量分析結果 117
【表4.4-26】外資持股比例變動與所有營運資金應計項目之多變量分析結果 119
【表4.4-27】投信持股比例變動與所有營運資金應計項目之多變量分析結果 120
【表4.4-28】自營商持股比例變動與所有營運資金應計項目之多變量分析結果 123
【表4.4-29】內部關係人持股比例變動與所有營運資金應計項目之多變量分析結果 124
【表4.4-30】自然人持股比例變動與所有營運資金應計項目之多變量分析結果 125
【表5.1-1】應計項目異常現象之實證結果彙總表 133
【表5.1-2】投資人持股行為之實證結果彙總表 134		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094353016en_US
dc.subject (關鍵詞) 應計項目異常現象zh_TW
dc.subject (關鍵詞) 投資人zh_TW
dc.subject (關鍵詞) 持股行為zh_TW
dc.subject (關鍵詞) 應計項目zh_TW
dc.subject (關鍵詞) 機構投資人zh_TW
dc.subject (關鍵詞) 內部關係人zh_TW
dc.subject (關鍵詞) 自然人zh_TW
dc.subject (關鍵詞) 套利投資組合zh_TW
dc.subject (關鍵詞) accrual anomalyen_US
dc.subject (關鍵詞) investorsen_US
dc.subject (關鍵詞) holding behavioren_US
dc.subject (關鍵詞) accrualsen_US
dc.subject (關鍵詞) institution investorsen_US
dc.subject (關鍵詞) insidersen_US
dc.subject (關鍵詞) individual investorsen_US
dc.subject (關鍵詞) hedge portfolioen_US
dc.title (題名) 應計項目異常現象與投資人持股行為zh_TW
dc.type (資料類型) thesisen
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