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研究生:彭詠銘
研究生(外文):Yung-Ming Peng
論文名稱:重編報表的分析:以聯電為例
論文名稱(外文):An analysis of restatement effect in UMC
指導教授:沈仰斌沈仰斌引用關係
指導教授(外文):Yang-Pin Shen
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:37
中文關鍵詞:存託憑證財報重編事件研究法日內
外文關鍵詞:ADRRestatementEvent studyIntraday
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本篇論文透過財報重編事件,做一個跨國會計與跨國資本市場互動的研究。利用事件研究法分析財務報表重編對聯電公司的影響,發現聯電累積超額報酬從2005/9/26到2005/12/30高達-22%,相較之下聯電ADR就沒有如此劇烈的股價反應。本文並使用日內資料,針對財報重編事件深入探討,當事件的源頭來自於美國證管會所寄來要求重編財報的信件,對於國內所有發行ADR的公司而言,似乎是頭一遭接觸這樣的問題,但對於美國公司,卻時有所聞,因此我們發現的確在台灣一開始對於這樣的資訊反應明顯較大,與Palmrose, Richardson and Scholz (2004)所做出的結果一致。另一方面,在國內爆發內線交易傳聞下,我們也發現台灣與美國的投資人對於這樣的資訊掌握程度將有所不同。
The study explores the information efficiency of UMC relative to UMC-ADR. We find that the market responses to financial restatement events were generally negative for UMC and UMC-ADR. UMC’s cumulated abnormal return, from September 26, 2005 to the year ended December 30, 2005, is approximately -22.2%. However, UMC-ADR did not drop as much as UMC in Taiwan. This thesis also examines the within-day pattern of UMC returns surrounding announcements of financial restatement. The SEC raised additional comments about financial statements, such information for Taiwan invertors have greater sensitive than U.S. investors owing to this event is never happened in Taiwan, but it is common in U.S. And then we analysis insider trading event, verify it is only a rumor. So interval return of UMC has not shown the response. On the contrary, UMC-ADR has significant response. There is probability the information asymmetry between the investor in U.S. and in Taiwan.
Contents
1.Introduction 1
2.Restatement background 3
2.1 Goodwill 4
2.2 Derivative instruments 6
2.3 Employee stock bonuses 6
3.Investor reactions to restatement of financial statements 8
3.1 Restatement effect in home market 8
3.2 Market reaction in UMC-ADR 9
4.Intraday stock returns of UMC in Taiwan and UMC-ADR 10
4.1 sample data 10
4.2 Intraday stock returns analysis 10
5.Conclusions 13
References 16
APPENDIX 18

Tables
Table1 Chronology of major restatement events in UMC 19
Table2 Chronology of major restatement events in UMC-ADR 21
Table 3-1 Intraday stock return in Taiwan UMC on October 03, 2005 and overnight return 23
Table 3-2 Intraday stock return in Taiwan UMC on December 14, 2005 and overnight return 24
Table 3-3 Intraday stock return in Taiwan UMC on December 15, 2005 and overnight return 25
Table 3-4 Intraday stock return in Taiwan UMC on December 28, 2005 and overnight return 26
Table 3-5 Intraday stock return in Taiwan UMC on December 30, 2005 and overnight return 27
Table 3-6 Intraday stock return in Taiwan UMC on February 13, 2006 and overnight return 28
Table 3-7 Intraday stock return in Taiwan UMC on March 28, 2006 and overnight return 29
Table 4-1 Intraday stock return in UMC-ADR on October 03, 2005 30
Table 4-2 Intraday stock return in UMC-ADR on December 14, 2005 and overnight return 31
Table 4-3 Intraday stock return in UMC-ADR on December 15, 2005 32
Table 4-4 Intraday stock return in UMC-ADR on December 29, 2005 and overnight return 33
Table 4-5 Intraday stock return in UMC-ADR on December 30, 2005 and overnight return 34
Table 4-6 Intraday stock return in UMC-ADR on February 13, 2006 and overnight return 35
Table 4-7 Intraday stock return in UMC-ADR on March 28, 2006 and overnight return 36
Table 5 The monthly data of the insiders share holding in Taiwan’s UMC form January 2005 to March 2006 37
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Bacidore, J. M., R. Battalio, N. Galpin and R. Jennings, 2005, “Sources of Liquidity for NYSE-listed non-US stocks,” Journal of Banking & Finance, 29, pp.3075-3098.
Chan, K. C. and G. S. Seow, 1996, “The Association between Stock Returns and Foreign GAAP Earning versus Earnings Adjusted to U.S. GAAP,” Journal of Accounting and Economics, 21, pp.139-158.
Cohen, R. B., P. A. Gompers, and T. Vuolteenaho, 2002, “Who Underreacts to Cash-flow News? Evidence from Trading between Individuals and Institutions,” Journal of Financial Economics, 66, pp.409-462.
Domowitz, I., J. Glen, and A. MADHAVAN, 1998, “International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market,” The Journal of Financial, 53, pp.2001-2027.
Ely, D. and M. Salehizadeh, 2001, “American Depositary Receipts An Analysis of International Stock Price Movements,” International Review of Financial Analysis, 10, pp.343-363.
Kim, M., A. C. Szakmary, and I. Mathur, 2000, “Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities,” Journal of Banking & Finance, 24, pp.1359-1382.
Lys, T. and L. Vincent, 1995, “An Analysis of Value Destruction in AT&T’s Acquisition of NCR,” Journal of Financial Economics, 39, pp.353-378.
Lowengrub, P. and M. Melvin, 2002, “Before and After International Cross-listing: an Intraday Examination of Volume and Volatility,” Journal of International Financial Markets, Institutions and Money 12, pp.139-155.
Miller, D. P., 1999, “The Market Reaction to International Cross-listings: Evidence from Depositary Receipts,” Journal of Financial Economics, 51, pp.103-123.
Shen, C. H. and C. H. Chiu, 1999, “Transaction Cost and the Arbitrage Opportunity Between GDR and Its Stock Price: The Application of Threshold Cointegration,” Journal of Financial Studies, 2, pp. 89-112.
Patro, D. K., 2000, “Return Behavior and Pricing of American Depositary Receipts,” Journal of International Financial Markets, Institutions and Money 9, pp.43-67.
Palmrosea, Z., V. J. Richardsonb, and S. Scholz, 2004, “Determinants of Market Reactions to Restatement Announcements,” Journal of Accounting and Economics, 37, pp.59-89.
Sundaram, A. K. and D. E. Logue, 1996, ”Valuation Effects of Foreign Listings on U.S. Exchanges,” Journal of Internatioinal Business Studies, 27, pp.69-88.
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