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研究生:呂竹耘
論文名稱:海外掛牌與公司價值之探討-以亞洲地區為實證
指導教授:張焯然張焯然引用關係
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
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:2010
畢業學年度:98
語文別:中文
論文頁數:34
中文關鍵詞:海外存託憑證Tobin’s q掛牌溢酬Heckman兩階段迴歸模型
外文關鍵詞:Depositary receiptsTobin’s qListing premiumHeckman two-stage model
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在資本市場全球化為必然趨勢後,亞洲國家企業為走向國際化而選擇海外融資,融資工具有許多種,而發行存託憑證則為其中之一項。然而,企業赴海外掛牌是否對其公司價值是否有所影響,一直以來是學者探討的問題。本研究採用期間為2007年,以亞洲十個地區之上市公司為觀察對象,再將樣本劃分為有發行存託憑證與未發行存託憑證,並以Tobin’s q做為公司價值之代理變數,在控制會影響公司價值的公司基本面與國家可能之變數後,建立多元迴歸模型分析。然而必須考慮的是,由於公司選擇是否到海外掛牌並非隨機,有可能是因為公司本身就有較高的價值,才會有動機到跨國掛牌,因此實證結果可能會產生自我選擇偏誤(self-selection bias)的情況。在考量此偏誤之下,將採用Heckman兩階段迴歸模型方法做為修正。
根據在觀察全亞洲樣本公司後之實證結果可發現,赴海外發行存託憑證其之樣本公司其公司價值顯著高於未赴海外發行存託憑證之公司,且不同發行類別也會影響此種掛牌溢酬之效果。最後,由迴歸分析結果可發現,時間效果顯著影響赴海外發行存託憑證企業之公司價值,代表赴海外掛牌之企業其掛牌溢酬效果會隨著掛牌時間的增長而下降,而發行不同類別存託憑證之公司其時間效果也有所差異。

The main purposes of this thesis are to (1) examine whether the companies with issuing depositary receipts (DRs) would have higher firm value than the companies without issuing DRs (2) find out which type of DRs would have higher premium (3) examine whether this premium effect is weakened under the fact that many of Asian countries have been witness to rapid economic growth over the past years.
This study employs the Tobin’s q ratio as a proxy for firm value and uses a sample of listed companies from ten Asian countries at the end of 2007, then divides the sample firms into two groups depended on the companies have issued DRs or not. After controlling the firm-specific and country-level variables which would affect Tobin’s q, we could examine whether the cross-listing premium is significant between cross-listed firms and not-cross-listed firms. Additional, time variable is added to model in order to examine the premium is weakened as time goes by.
The empirical results indicate the companies which issued DRs had Tobin’s q ratio that were 30.4% higher than the q ratio of the companies which didn’t issue DRs, and this premium effect would be different from the type of DRs. Finally, we add the time variable and find out the q ratio, on average, would decrease 5.2% per year after listing.

致謝 I
摘要 II
Abstract III
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究流程 4
第二章 文獻回顧 5
第三章 研究設計 9
第一節 資料來源與處理 9
第二節 研究變數與定義 10
第三節 研究模型 14
第四章 實證結果與分析 19
第一節 發行海外存託憑證的掛牌溢酬 19
第二節 時間對掛牌效果的影響 27
第五章 結論 30
附錄 32
參考文獻 33

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