請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9320完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王泰昌 | |
| dc.contributor.author | Si-Min Liu | en |
| dc.contributor.author | 留思敏 | zh_TW |
| dc.date.accessioned | 2021-05-20T20:17:25Z | - |
| dc.date.available | 2009-07-14 | |
| dc.date.available | 2021-05-20T20:17:25Z | - |
| dc.date.copyright | 2009-07-14 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-01 | |
| dc.identifier.citation | Aggarwal, R., L. Klapper, & P. D. Wysocki. 2003. Portfolio preferences of foreign institutional investors. Working paper, MIT Sloan School of Management.
Ahearne, A. G., W. L. Griever, & F. E. Warnock. 2004. Information costs and home bias: an analysis of US holdings of foreign equities. Journal of International Economics, 62(2): 313-336. Alford, A., J. Jones, R. Leftwich, & M. Zmijewski. 1993. The relative informativeness of accounting disclosures in different countries. Journal of Accounting Research, 31(3): 183-223. Ball, R. and P. Brown. 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research, Autumn, p.159-178. Barth, M. E., W. H. Beaver, & W. R. Landsman. 1998. Relative valuation roles of equity book value and net income as a function of financial health. Journal of Accounting and Economics, 25: 1-34. Beaver, W.H. 1966. Financial ratios as predictors of failure. Journal of Accounting Research, 4 (Supp): 71-111. Bradshaw, M. T., B. J. Bushee, & G. S. Miller. 2004. Journal of Accounting Research, 42 (5), p795-841. Brown, S., K. Lo, & T. Lys. 2000. Use of R-squared in accounting research: measuring changes in value relevance in the last four decades. Journal of Accounting and Economics, 28: 83-115. Burgstahler, D., & I. Dichev. 1997. Earnings, adaptation and equity value. The Accounting Review, 72: 187-215. Bushee, B. J., & C. F. Noe. 2000. Corporate disclosure practices, institutional investors, and stock return volatility. Journal of Accounting Research, 38: 171-202. Chiao, C., & K. I. Lin. 2004. The information content of the net-buy information of institutional investors: evidence from the Taiwan stock market. Review of Pacific Basin Financial Markets and Policies, 7 (2): 259-288. Choi, S. J., & J. E. Fisch. 2008. On Beyond CalPERS: Survey evidence on the developing role of public pension funds in corporate governance. Vanderbilt Law Review, 61(2): 315-354. Collins, D. W., E. L. Maydew, & I. S. Weiss. 1997. Changes in the value-relevance of earnings and book values over the past forty years. Journal of Accounting and Economics, 24(1): 39-67. Collins, D. W., M. Pincus, & H. Xie. 1999. Equity valuation and negative earnings: the role of book value of equity. Accounting Review, 74: 29. Davis-Friday, P. Y., L. L. Eng., & C. S. Liu. 2006. The effects of the Asian crisis, corporate governance and accounting system on the valuation of book value and earnings. The International Journal of Accounting, 41(1): 22-40. Dhaliwal, D. S., O. Z. Li, & H. Xie. Institutional investors, financial health and equity valuation. Asian Pacific Journal of Accounting and Economics, forthcoming. Dontoh, A., S. Radhakrishnan, & J. Ronen. 2005. The declining value relevance of accounting information and non-information based trading: an empirical analysis. Working paper, New York University & University of Texas at Dallas. Easton, P. D., & T. S. Harris. 1991. Earnings as an explanatory variable for returns. Journal of Accounting Research, 29: 19-36. Financial Accounting Standards Board. 1980. Statement of financial accounting concepts (SFAC No.2). Francis, J. & K. Schipper. 1999. Have financial statements lost their relevance? Journal of Accounting Research, 37(2): 319-352. Graham, R. C., & R. D. King. 2000. Accounting practices and the market valuation of accounting numbers: Evidence from Indonesia, Korea, Malaysia, the Philippines, Taiwan, and Thailand. The International Journal of Accounting, 35(4): 445-470. Hayn, C. 1995. The information content of losses. Journal of Accounting and Economics, 20(2): 125-153. Hessel, C. A., & M. Norman. 1992. Financial characteristics of neglected and institutionally held stocks. Journal of Accounting, Auditing & Finance, 7: 313-330. Holthausen, R. W., & R. L. Watts. 2001. The relevance of the value-relevance literature for financial accounting standard setting. Journal of Accounting and Economics, 31 (1-3): 3-75. Huang, C. 1999. A study of negative earnings: information and measurement perspectives. Master Thesis, National Taiwan University, Taiwan. (in Chinese) Huang, S. 2001. The relationship between financial performance of publicly listed companies and foreign investment in Taiwan. Master Thesis, Chung Yuan Christian University, Taiwan. (in Chinese) Jan, C., & J. Ou. 1995. The role of negative earnings in the evaluation of equity stocks. Working paper, New York University, & Santa Clara University. Kang, J., & R. Stulz. 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46: 3– 28. Kao, N. 2000. On holdings preference and performance of institutional investors. Master Thesis, National Chung Cheng University, Taiwan. (in Chinese) Kao, L. 2004. On the adjustments of QFII holdings and financial variables. Sun Yat-Sen Management Review, 12 (3): 441-464. (in Chinese) Kwan, F. B., & M. G. Reyes. 1997. Price effects of stock market liberalization in Taiwan. The Quarterly Review of Economics and Finance, 37 (2): 511-522. Kuo, S. 2002. Institutional investors and relevance of financial statements. Master Thesis, National Cheng Kung University, Taiwan. (in Chinese) Lee, C. 2001. A study of value relevance of earnings and book values. Master Thesis, National Taipei University, Taiwan. (in Chinese) Lin, C., Kuo, H., & Wu, J. 2008. The accuracy and explainability of cross-sectional equity valuation models. Soochow Journal of Accounting, 1 (1): 83-109. (in Chinese) Lin, K. 2001. Value-relevance of earnings and book values—take scale effect into consideration. Master Thesis, Natiional Taiwan University, Taiwan. (in Chinese) Lin, Y. 2007. A study of value relevance of earnings and book values—take scale effect into consideration. Master Thesis, National Taiwan University, Taiwan. (in Chinese) Lo, K., & T. Lys. 2000. The Ohlson model: contribution to valuation theory, limitations, and empirical applications. Journal of Accounting, Auditing & Finance, 15: 337-367. McKinsey & Company. 2002. Global investor opinion survey: key findings. Ohlson, J. 1995. Earnings, book values, and dividends in the security valuation. Contemporary Accounting Research, 11: 661-688. Peng, H. 2005. On the relationship between price and earnings: reconsideration of the specification problem of earnings and book value of equity. The International Journal of Accounting Studies, 40: 69-90. (in Chinese) Shleifer, A., & R. W. Vishny. 1986. Large shareholders and corporate control. Journal of Political Economy, 94, 461-488. Taiwan Corporate Governance Association (TCGA). 2003. Report on survey of corporate governance. TCGA, Taipei. (in Chinese) Shleifer, A., & R. W. Vishny. 1997. A survey of corporate governance. Journal of Finance, 52: 737-783. Theil, H. 1971. Principles of Econometrics, Wiley, New York, NY. Wu, C. F., Y. Zhang, & T. Wang. 2009. A study on corporate governance and portfolio preferences of foreign investors. Journal of Management & Systems, forthcoming. Wu, Y. 2003. The study of institutional investor, corporate governance and corporate value. Master Thesis, Soochow University, Taiwan. (in Chinese) Zanglein, J. E. 1999. From Wall street walk to Wall street talk: the changing face of corporate governance. Depaul Business Law Journal, 11:43. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9320 | - |
| dc.description.abstract | 本研究主要討論三個主題：台灣上市公司﹝金融業除外﹞自1994至2007年價值攸關性之變化、外資法人持股比例與股票評價攸關性，以及外資法人在被投資者中所扮演的角色。本研究利用「盈餘—帳面值—股價」的關聯模型，以及盈餘投資組合法檢驗攸關性之變化，發現台灣盈餘與權益帳面值的股價評價攸關性，在2005至2007年有明顯的提升，此外，攸關性之走勢在2001年以後也明顯較2001年以前平穩。此現象與台灣自2001年解除外資持股上限、2002年加入世界貿易組織WTO以及近十年來之會計變革或有相關。
本研究著眼外資法人持股比重越來越高，以及持股比例係一量化指標，採用Dhaliwal et al. (2005) 之方法，將外資法人持股比例加入市場評價模型，探討此因素是否會影響每股盈餘、每股帳面價值在股價評價攸關性之權重，實證結果顯示外資持股比重越高的公司，盈餘在有利潤之公司的股價評價權重越高，權益帳面值則是在有損失公司之評價權重越高。此外，本研究分別以資產報酬率、股東權益報酬率、負債比率控制財務健全度以後，外資法人持股比例對於正、負盈餘公司的盈餘、權益帳面值的評價權重仍有顯著且相同方向之影響，顯示市場認為外資機構投資人除了在持股選擇上扮演受託人與善盡忠實義務之角色以外，同時也在被投資公司之中扮演長期治理監督的角色。 | zh_TW |
| dc.description.abstract | Following Taiwan’s deregulation of foreign investor’s stock holdings limits in 2001, the increase in the level of foreign institutional investment has posed great opportunity for Taiwan accounting academia to study investment behaviors, holding preferences of this new set of trader and its impact on Taiwan stock market. This study aims to study three topics: first, trend of value relevance in Taiwan from 1994 to 2007; second, the relationship between foreign institutional holdings and the extent investors utilize accounting numbers in stock valuation; and third, the roles foreign institutional investors play in their investees.
By market valuation regression models, this study empirically shows that trend of value relevance becomes steadier and higher after 2001; furthermore, higher level of foreign institutional holdings can elevate investors’ reliance on earnings (equity book values) when valuing profit (loss) firms. In addition, this study also suggests that foreign institutional investors not only play fiduciary roles who self select into more financial healthy firm in the very first place; on the other hand, they also play governance roles that have implication of a firm’s long-term profitability. However, in what way and to what extent foreign institutional investors dynamically affect their investees’ operation prospects worth further investigation. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T20:17:25Z (GMT). No. of bitstreams: 1 ntu-98-R96722005-1.pdf: 482131 bytes, checksum: a806fe0b60789e81f2207a102eb0f54d (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | Table of Contents
1 Introduction 1 2 Literature Review 6 3 Research Topics 12 3.1 Trend of value relevance 12 3.2 Relationship between foreign institutional ownership and value relevance 15 3.3 The roles foreign investors play in their investees 22 4 Models and Variable Measurement 25 4.1 Sample selection 25 4.2 Models and Variables 26 4.2.1 Trend of value relevance 26 4.2.2 Level of foreign institutional ownership and value relevance 32 4.2.3 The roles foreign investors play in their investees 34 5. Empirical Results 38 5.1 Descriptive statistics 38 5.2 Trend of value relevance 46 5.3 Foreign institutional ownership and value relevance 59 5.4 Foreign institutional ownership and the roles they play 74 6. Concluding Remarks 79 References 81 Tables Table 1: Descriptive Statistics 42 Table 2: Industry distribution 43 Table 3: T-test for the mean difference between high/ low FI group 45 Table 4: Pearson (Spearman) correlation 45 Table 5: Yearly %mkt for accounting-based portfolios 48 Table 6: Trend regression of %mkt for accounting-based portfolios 49 Table 7: Yearly regression results for model (1), (1.1) and (1.2) 51 Table 8: Trend regression on total R-sq for market valuation model (1) 52 Table 9: Frequency of loss and profit firms 54 Table 10: Regression result for model (2) 58 Table 11: Regression results for profit/ loss firms 58 Table 12: Yearly %mkt for accounting-based portfolios for high/ low groups 61 Table 13: Yearly market valuation models regression results for high/ low FI firms 64 Table 14: Regression result for model (3) 69 Table 15: Regression result for model (4) 70 Table 16: The valuation effect of change of FI 73 Table 17: Regression results for ROA, ROE and DR-model 77 Table 18: Regression results of models controlling for financial health 78 Graphs Graph 1: Industry distribution for high FI group 44 Graph 2: Trend of %mkt for accounting-based portfolios 48 Graph 3: Line graph for total R-sq , incremental explanatory power of EARN and BVPS 52 Graph 4: TAIEX performance from 1994 to 2007 54 Graph 5: %mkt of portfolio 1 (Sign_earnings) for high and low FI group 61 Graph 6: of portfolio 2 (△earnings) for high and low FI group 62 Graph 7: Trend of value relevance across high/ low FI firms 66 | |
| dc.language.iso | en | |
| dc.title | 外資法人持股比例與股票評價攸關性之研究 | zh_TW |
| dc.title | Foreign Institutional Holdings and Value Relevance in Stock Valuation | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 劉嘉雯 | |
| dc.contributor.oralexamcommittee | 林瑞青 | |
| dc.subject.keyword | 外資,外資法人,價值攸關性, | zh_TW |
| dc.subject.keyword | foreign institutional investors,value relevance,stock valuation, | en |
| dc.relation.page | 83 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2009-07-02 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 會計學研究所 | zh_TW |
| 顯示於系所單位： | 會計學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-98-1.pdf | 470.83 kB | Adobe PDF | 檢視/開啟 |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。