海外企業回台上市之資訊價值分析──以F股之實證研究

A Comparative Study of Information Effect of Depository Receipts versus F Stock in Taiwan

台灣現今經濟產業脈動，為了滿足投資人多元投資需求，政府促使隨著海外企業積極上市於台灣自由的資本市場，加以區別台灣證券市場相較於他國的競爭力及海外企業願意進資台灣的原因。因此，政府積極推動第二上市且發行台灣存託憑證（簡稱TDR）和外國公司來台第一次上市（簡稱F股）。本研究以海外企業來台上市的金融商品為背景，進行研究。針對2003－2015年的期間所發行的F股，採用知名的事件研究法來探討在事件日後五天內黃金蜜月期，是否有發生顯著異常報酬（AR）。進一步利用橫斷面與分量迴歸分析探究影響累積異常報酬（CAR）的因子。實證顯示，F股有顯著的AR，且透過分量迴歸後，發現極其三變數分為負債比率、台商企業及電子科技類股對CAR有影響。故本文可提供來台上市的海外企業在股市投資選擇、給予投資人選股方面的正面評價，甚至提供政府金融主管機關一個未來導向的金融決策。

With the drastic changes of the economic development in Taiwan, the diversified investment has become a management issue of increasing concern. Taiwanese government encouraged overseas enterprises to list in Taiwan stock market, and to face with the international competition. Recently, Taiwanese government has adopted a series of reform policies to attract foreign enterprises (included Taiwanese-owned enterprises listed abroad) to reconsider IPO (F stock). This study attempts to compare the differences of market reaction of F stock during the period 2003-2015. Moreover, these sample data are used to examine there exist significant abnormal returns and to investigate whether these explanatory variables are associated with observed cumulative abnormal returns using cross-section and quantile regression. Evidence shows that F stock have significantly AR, and after quantile regression analysis, it is found that there are significantly influence of three variables that included debt ratio, Taiwanese companies and electronic technology stocks. This finding perhaps can be a basis reference for market participants in decision-making.