會計資訊對外資持股調整影響之研究

本研究探討外資持股調整與財務報表變數之間的關係。觀察83年至88年間上市公司第一次公開年度盈餘數字前外資持股的調整，結果發現：年度盈餘公開前外資已經透過公司季報以及相關訊息的取得，形成對年度盈餘的好壞的預期，並開始反應，大約在年度盈餘數字公開100天前外資持股對負面盈餘消息的調整幾乎全部完成，至於對正面盈餘消息的反應，則在盈餘公開日50天以前反映完畢，且外資對盈餘資訊的反應優於一般投資人。在非盈餘的財務報表變數方面，外資的持股調整與公司調整銷貨變動後的存貨增加有正相關，而與調整銷貨後的銷管費用增加則為負相關，至於調整銷貨變動後的應收帳款變動及毛利變動對外資而言並非重要觀測變數。此外，外資對盈餘資訊的反應程度與公司是否為電子業、公司之BETA值高低以及受外資偏好程度有關。外資對於高科技產業、高BETA以及其資金配置較多的公司盈餘消息的反應顯著高於其他非高科技產業、低BETA以及其資金配置較少的公司。

關鍵字

外資；外資持股；盈餘公開；財務報表變數

並列摘要

This paper examines the relationship between the share holding of qualified foreign institutional investors (QFII) and the financial variables. With the sample of annual earnings announcements during 1994-1999, we find that QFII adjust their share holding early before the announcements probably due to the quarterly earnings or other related information. Basically, QFII start to decrease (increase) their share holding 140 days before bad (good) annual earnings announcement and stop holding adjustments around 100 (50) days before the announcements. QFII adjust their share holding with respect to the annual earnings announcements more efficiently than individual investors. We also find that adjustments of QFII holding are positively related to increase of inventory and negatively related to increment of selling and administrative expenses. The changes of account receivables and gross margin are not significantly related to the adjustments of QFII share holding. Finally, evidence shows that the adjustments of QFII holding are related to industry, beta and QFII preference of the earnings announcing firms.