上市櫃公司長期股權投資：錯置效果與盈餘管理

Abstract

本研究利用上市櫃公司長期股權投資及財務資料，分析台灣地區企業投資人轉投資股票是否存在「急於實現獲利，緩於實現虧損」之錯置效果，同時研究企業是否存在選擇出售長期股權投資時點進行盈餘管理之行為，最後以股價日資料探討企業出售持股之傾向是否會對股價表現有所影響。實證結果有以下發現，首先，對於長期股權投資，上市櫃公司傾向賣出獲利者，而較不願出售虧損者；若以會計上損益衡量，此一情形更為明顯。第二，上市櫃公司第四季實現獲利與實現損失傾向未異於其他季，說明在我國證券交易所得稅停徵下，企業不會因抵稅考量，而特別有出售虧損持股之情形；且企業未發生特別於年報出爐前透過出售長期股權投資美化帳面之行為。第三，企業會計實現獲利比率與常續性每股盈餘增加及為正次數皆為負相關；與常續性每股盈餘減少及為負次數皆為正相關，顯示企業可能存在透過選擇處份長期股權投資時點進行損益平穩化之盈餘管理。最後，會計實現獲利比率為正的公司相對於無實現獲利之配對組股價表現較差，說明企業傾向實現長期股權投資獲利之態度不受投資人歡迎；而會計實現獲利比率高於會計實現損失比率的公司相對於配對組公司股價表現較差，顯示企業長期股權投資存在錯置效果，對股價有負面影響。

This paper investigates the redemption and earnings management behavior of TSE & OTC listed companies in Taiwan. First we explore whether corporations hold their noncurrent stock equity losers too long and sell winners too soon. Second, we testify if corporations manage earnings by selecting the timing of stocks sales. Finally,wheather the equity investment selling inclination of companies will affect their stock prices is studied. The main findings are as following： 1. TSE & OTC listed companies in Taiwan show a significant preference to realize their long term stock equity winners rather than losers. And when considerd winning or losing accounting to accounting profit or loss, this preference is stronger. 2. Compared to first three seasons, Taiwan corporations do not sell winners or losers especially for forth season to manipulate the financial income of their annual reports. 3. Taiwan corporations show behaviors to manage their earnings for income smoothing purpose. 4. The inclination of companies to sell their profited long term equity investment is not welcomed by stock investors. Stock prices of both companies performing inclination to sell winners and companies existing disposition effect in long term equity investment underperformed those of compared companies.