臺灣博碩士論文加值系統

中文摘要

本研究檢視台灣公司至海外發行存託憑證的長期價格效果，樣本包含1992-2003年間至海外首次發行存託憑證之56家台灣公司。發行公司持有期間異常報酬之計算為分別減去配對公司報酬以及市場指數報酬而得。首先和配對公司相較之下，發行公司之特質傾向為高科技、高市值、高成長性、高獲利性與低財務風險。
實證結果顯示，海外掛牌公司有相當顯著的持有期間異常報酬。長達73個月的平均持有期間異常報酬，若以配對公司為衡量基準高達194.06%，若以市場指數為衡量基準更高達208.21%。橫斷面的迴歸分析進一步指出，具有較大規模、較高資產報酬率與權益市價淨值比的發行公司會有較高的持有期間異常報酬，此現象尤其在掛牌後更為顯著。

Abstract

This paper examines the long-term valuation effect for Taiwan companies issuing depositary receipts in the international capital markets. The sample contains 56 initial depositary receipt offerings by Taiwan companies in the period 1992-2003. Both matching-firm returns and market-index returns are used as the benchmark to compute the buy-and-hold abnormal return for depositary receipt issuing firms. In comparison, the cross-listing firms tend to be more high-tech oriented with higher market value, higher growth potential, higher profitability, and lower financial risk.
The empirical result indicates that cross-listing firms experience significant buy-and-hold abnormal returns. The average buy-and-hold abnormal returns in the entire 73-month period are 194.06% and 208.21% respectively when measured relative to the control sample firms and the market index return. Cross-sectional regression analysis indicates that sample firms with larger firm size, higher returns on assets, and higher market-to-book value ratios are associated with higher buy-and-hold abnormal returns, especially in the post-listing period.

Table of Contents

Abstract……………………………………………………………………………I
Acknowledgments…………………………………………………………………III
Table of Contents……………………………………………………………………IV
List of Tables………………………………………………………………………VI
List of Figures…………………………………………………………………VII
Chapter 1 Introduction…………………………………………………………1
1.1 Background to the Research………………………………………………1
1.2 Motives and Purposes………………………………………………………4
1.3 Outline of the Dissertation…………………………………………………5
Chapter 2 Depositary Receipt Markets………………………………………6
2.1 Worldwide Depositary Receipt Markets……………………………………6
2.2 Taiwan’s Firms in Depositary Receipt Market……………………………9
2.3 Information and Electronic Industry in Taiwan…………………………15
Chapter 3 Literature Review……………………………………………………18
3.1 The Benefits and Costs of International Cross-listing……………………18
3.2 Valuation Effect of Cross-listing.………………………………………22
3.3 Relationship between Firm Characteristics and Motives to Cross-list…30
3.4 Comments on the Previous Research………………………………………34
Chapter 4 Research Design………………………………………………………35
4.1 Hypotheses………………………………………………………………35
4.2 Definitions of Variables…………………………………………………38
4.3 Sample………………………………………………………………………40
4.4 Methodology………………………………………………………………44
Chapter 5 Empirical Results……………………………………………………46
5.1 Characteristics of Cross-listing Firms versus Matching Firms……………46
5.2 Long-term Valuation Effect of Cross-listing………………………………61
5.3 Relationship between Firm Characteristics and BHARs…………………66
Chapter 6 Conclusions and Future Research…………………………………71
6.1 Conclusions…………………………………………………………………71
6.2 Contributions, Implications and Future Research…………………………73
References…………………………………………………………………………76
Appendix 1 Characteristics of Cross-listing Companies around Year of First Cross-Listing…………………………………………………………82
Appendix 2 Characteristics of Domestic Companies around Year of First Cross-Listing…………………………………………………………83
About the Author……………………………………………………………………84

List of Tables

Table 2.1 Distribution of All Depositary Receipts for Taiwan Companies 1992 - 2005
…………………………………………………………………………….10
Table 2.2 Important Indicators of Integrated Circuits for Taiwan…………………16
Table 2.3 Capital Investment of Global Integrated Circuit Industry………………16
Table 2.4 Taiwan's Investment in Flat Panel Display………………………………17
Table 3.1 Empirical Studies Related to Stock Returns of International Cross-Listings
……………………………………………………………………………26
Table 3.2 Empirical Studies Related to Characteristics of Cross-Listing Firms……………………………………………………………………32
Table 4.1 Definitions of Variables……………………………………………………39
Table 4.2 Sample Firms and Depositary Receipt Issue Dates………………………41
Table 4.3 Distribution of Sample Firms’ First Depositary Receipt Offerings 1992-2003……………………………………………………………………43
Table 5.1 Differences between Sample Firms and Matching Firms: 7-year Average
……………………………………………………………………………49
Table 5.2 Differences between Sample Firms and Matching Firms around Year of First Cross-Listing…………………………………………………………55
Table 5.3 Buy-and-Hold Abnormal Returns around the Listing of a DR Program…62
Table 5.4 Regressions of Buy-and-Hold Abnormal Return Performance: OLS……68
Table 5.5 Regressions of Buy-and-Hold Abnormal Return Performance: GMM……70

List of Figures

Figure 2.1 Annual DR Capital Raised and Total Sponsored DRs in Worldwide Depositary Receipt Markets……………………………………………8
Figure 2.2 The Amount and Cases of Issuance of All Depositary Receipts for Taiwan Companies………………………………………………………………11
Figure 2.3 Depositary Receipt Capital Raising Value (U.S. $ bn) in 2005…………12
Figure 2.4 Total Sponsored Depositary Receipts in 2005…………………………13
Figure 5.1 Sample Firms versus Matching Firms around the Listing of a DR program - Measure of Size…………………………………………………………56
Figure 5.2 Sample Firms versus Matching Firms around the Listing of a DR program – Measure of Growth Opportunity……………………………57
Figure 5.3 Sample Firms versus Matching Firms around the Listing of a DR program – Measure of Profitability……………………………………58
Figure 5.4 Sample Firms versus Matching Firms around the Listing of a DR program – Measure of Financial risk……………………………………58
Figure 5.5 Sample Firms versus Matching Firms around the Listing of a DR program – Measure of R & D……………………………………………59
Figure 5.6 Sample Firms versus Matching Firms around the Listing of a DR program – Measure of Ownership Structure……………………………59
Figure 5.7 Sample Firms versus Matching Firms around the Listing of a DR program – Measure of International Orientation…………………………60
Figure 5.8 Buy-and-Hold Abnormal Return Using Matching Firms as a Benchmark
……………………………………………………………………………63
Figure 5.9 Buy-and-Hold Abnormal Return Using Market Index as a Benchmark…64

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