Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/31009
|
| Title: | ADR的資訊內含與對市場效率的影響
ADR information content and its impact on the market efficiency |
| Authors: | 陳以玲
Chen, I Ling |
| Contributors: | 杜化宇
陳以玲
Chen, I Ling |
| Keywords: | 美國存託憑證溢價
資訊內涵
市場情緒
ADR Premium
Information Content
Market Sentiment |
| Date: | 2008 |
| Issue Date: | 2009-09-14 09:03:14 (UTC+8) |
| Abstract: | 美國存託憑證(American Deposit Receipt，ADR)對美國投資人而言是進入外國市場最簡便的方式之一，因為它以美金計價且在美國交易。發行ADR可以使公司的知名度提高，增加股票的流動性，進而提高股票價格。
有些國家對外資設有投資上限，使外資投資不易或投資成本太高，造成投資障礙。透過購買美國存託憑證可以持有表彰外國公司股份的股權，為投資人帶來收益且達到風險分散效果。亞洲地區為發行美國存託憑證最多的地區，本研究選取了九個新興國家以及日本企業所發行的ADR為研究樣本，探討三個問題：美國存託憑證價格的折（溢）價是否有資訊內涵、美國存託憑證的折(溢)價是否受到美國市場情緒影響以及發行ADR後，本國市場的股票訂價效率是否改善。
研究結果發現，多數ADR折（溢）價的資訊內涵為正向且顯著，意即，今日美國存託憑證的折（溢）價透露出隔日標的股票報酬率的訊息。顯示美國存託憑證存在溢價，不只反應外國政府設立的投資障礙或是外國股票的交易成本過高，還透露出對隔日標的股票報酬率的預期。
美國存託憑證雖然表彰的是外國公司的股權，但卻是在美國交易。ADR的價格不只反應出與標的股票本身的價值，可能還受美國市場情緒影響。本研究的實證結果支持ADR價格受到美國市場情緒影響的論點。表示投資人在選擇美國存託憑證投資標的時，除了要對公司進行合理的評價，也要將美國市場的表現納入考慮。
本研究的研究樣本為九個新興國家以及日本，開發中國家可能對外資設有投資限制且市場資訊效率不高，造成股票的訂價未完全反應其真實價值。海外上市後，更多投資人參與交易，市場資訊環境改善，本國市場的股票訂價效率應該因此提升；過去探討海外上市公司的外國市場價格與本國市場價格間共整合過程的文獻，多以一階自我相關為基礎所發展出來的模型進行實證且未除去市場效率改善帶來的影響。使用一階自我相關為基礎的模型時，須假設樣本為常態分配，但股票報酬的分配很可能不符合常態分配，導致實證結果有偏誤；本研究以無母數連檢定(Run Test)進行實證並除去同時期市場效率改善的影響。究實證結果顯示，股票報酬率在海外上市後變得更為隨機，可預測性降低，表示資訊環境改善明顯有助於股票價格反應其真實價值。
American Deposit Receipt (ADR) is one of the most convenient ways for U.S. - based investors to acquire foreign shares since ADRs are quoted in U.S. dollars and are traded in the U.S. markets.
Foreign investors have difficulty in acquiring foreign shares because of investment limit or high transaction cost. ADRs issued by companies from nine emerging countries in Asia and Japan were picked as sample data to verify the information content and U.S. market sentiment issues. The empirical result for information content is significant and positive. ADR premium (discount) today reveals information that the return of the underlying stock tomorrow will be positive (negative).
ADRs are foreign shares but are traded in the U.S. markets. ADR price may not only contain its intrinsic value but also U.S. market sentiment. The empirical result supports that argument. The result reminds investors that in addition to appropriate valuation of a company, the reaction of other investors in the same market should be taken into account.
Employ a simple non-parametric test and control for contemporaneous marketwide efficiency shifts and the potential contamination from the price effect of cross-listing announcement, the empirical result demonstrated that with improvement of informational environment, stock pricing efficiency was enhanced after cross-listing. |
| Reference: | 中文參考文獻
1. 黃建勳，”ADR 及其價格因素間資訊傳遞效率性－台灣之實證研究”，台北大學企業管理學系碩士論文，民國九十年六月。
2. 周冠男、徐之強與吳昭勳，＂美國存託憑證報酬與風險傳遞之研究＂，中山管理評論，民國九十三年，第12卷第一期，37-62頁。
3. 李雯華，＂美國存託憑證與相關變數之互動研究及其套利策略＂，淡江大學財務金融研究所碩士論文，民國九十年六月。
4. 林孟勳，＂海外上市的資訊內涵與產業內資訊移轉效果之實證研究－ 以台灣企業首次發行海外存託憑證為例＂，國立中山大學企業管理研究所碩士論文，民國九十六年六月。
5. 林珮樺，＂台灣發行之海外存託憑證、發行公司股價與匯率之波動傳遞效應＂銘傳大學金融研究所碩士論文，民國九十二年六月。
6. 吳宗憲，＂我國海外存託憑證折溢價因素及價格波動傳遞效果之研究＂銘傳大學經濟學研究所碩士論文，國民九十一年六月。
7. 許銘傑，＂市場情緒與基本面對短期股價影響之比較＂，國立政治大學國際貿易學系碩士論文，民國九十一年六月。
8. 程淑美，＂台灣股票市場過度反應現象之實證研究＂，輔仁大學管理學研究所碩士論文，民國八十八年六月。
9. 傅楷智，＂美國存託憑證與標的股價格之動態傳遞關係─非線性「模型之應用 」＂，中正大學國際經濟研究所碩士論文，民國九十二年六月。
10.吳宗和，＂美國存託憑證套利機會之實證研究－等價邊界模型之應用＂義守大學管理科學研究所，民國九十三年六月。
11.吳禮祥，＂美國存託憑證的套利交易與價差交易＂，台灣大學財務金融研究所未出版碩士論文，民國八十九年六月。
12.許銘傑，＂市場情緒與基本面對短期股價影響之比較＂，國立政治大學國際貿易學系碩士論文，民國九十一年六月。
13.楊聲勇、董澍琦、王澤世及張德立，＂美國存託憑證與其標的股之報酬與波動性的日內動態傳遞研究-以亞洲四小龍為例＂，經濟與管理論叢，民國九十四年，第一冊第二期，119-141頁。
14.蕭孟柔，＂海外存託憑證與標的股間之動態傳遞關係＂，義守大學財金所碩士論文，民國九十四年六月。
英文參考文獻
1. Beaver, W. (1986) “The Information Content of Annual Earnings Announcements”, Journal of Accounting Research, Vol.6, P67-92.
2. Black, F. (1986) “Presidential address: Noise”, Journal of Finance, Vol.41, P529-543.
3. Bodurtha, JN，Bodurtha Jr.,James N.，Kim, D-S，Kim ,Dong-Soon， Lee, CMC，and Lee, Charles M.C.(1996) ”Closed-end country funds and U.S. market sentiment”, Review of Financial Studies,P256-271.
4. Chen,Shen-Yuan，Chou,Li-Chuan，and Yang,Chau-Chen (2002) “Price Transmission Effect between GDRs and Their Underlying Stocks—Evidence from Taiwan”, Review of Quantitative Finance & Accounting, Vol. 19(2), P181–214
5. Choi, Yoon K. and Kim, Dong-soon (2000) ”Determinants of American Depository Receipts and Their Underlying Stock Returns Implications for International Diversification”, International Review of Financial Analysis, Vol. 9(4), P351-368.
6. Davies, P. L. and Canes,M. (1978) “Stock Prices and The Publication of Second-Hand Information”, Journal of Business, Vol.51 (1), P43-55.
7. Delong, J. B.，Shleifer, Andrei，Summers, L.H.，and Waldmann,R. J.(1990) “Positive Feedback Investment Strategies and Destabilizing Rational Speculation”, Journal of Finance,Vol.45, P379-395.
8. Ely, D. and Salehizadeh, M. (2001) “American Depositary Receipts: An Analysis of International Stock Price Movements”, International Review of Financial Analysis, Vol.10, P343-363.
9. Errunza, V. R., and Miller, D. P. (2000) ”Market Segmentation and the Cost of Capital in International Equity Markets”, The Journal of Financial and Quantitative Analysis, Vol.35 (4), P577-600.
10. Fama, Eugene F.，French, Kenneth R.，Booth ,David G. and Sinquefield, Rex (1993) “Differences in the Risks and Returns of NYSE and NASD Stocks”, Financial Analysts Journal, Vol. 49 (1), P37-41.
11. Foerster, S. R. and Karolyi, G. A. (1999) “The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States”, The Journal of Finance, Vol.54(3), P981-1013.
12. Howe, J. (1986) “Evidence stock market overreaction”, Financial Analysts Journal, Vol.42 (4), P74-77.
13. Hsiao, J-L and Liu,H-H (2002) “International Information Transmission of Stock Return and Volatility: The Case of ADRs and Their Underlying Stocks”, Working Paper.
14. Hubbard, Daniel Julian (1992) “An Accounting Study of American Depositary Receipts (foreign stock holdings, foreign currency exchange, finance history) ”, Ph. D. dissertation, Virginia Polytechnic Institute and State University.
15. Ibbotson, R. G.，Sindelar, J. L.，and Ritter,J. R.(1988) “Initial Public Offerings”, Journal of Applied Corporate Finance , Vol.1 (1), P37-45.
16. Jayaraman, N.，Shastri,K.，and Tandon,K. (1993) “The Impact of International Cross-listing on Risk and Return: The Evidence From American Depository Receipts”, Journal of Banking and Financ , Vol.17, P91-103.
17. Jiang, C. X. (1998) “Diversification with American Depository Receipts: the Dynamics and the Pricing Factors”, Journal of Business Finance and Accounting, Vol.25 (June/July), P683-699.
18. Jungwon Suh, Terry (2003) ”ADRs and U.S. Market Sentiment”, The Journal of Investing,P87-95.
19. Karolyi, G. A. and Stulz,R. M.(1996) “Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Co-movement”, Journal of Finance, Vol.51 (3), P951-986.
20. Kim, M.，Szakmary, A. C.，and Mathur,I. (2000) “Price Transmission Dynamics between ADRs and their Underlying Foreign Securities”, Journal of Banking and Finance, Vol. 24, P1359-1382.
21. Lee,Bong-Soo and Hong,Gwangheon (2002) “On The Dual Characteristics of Closed-End Country Funds”, Journal of International Money & Finance, Vol. 21 (5),P589-618.
22. Li, Shu-Hsing，Teruya, Jenny，and Tsai, Bi-Huei (2006) ”Foreign Ownership Restrictions, Depository Receipt Supply, and Investor Sentiment on Taiwanese Depository Receipt Premiums”, Journal of Accounting, Auditing & Finance, P169-189.
23. Liang, Y. and Mougoue,M. (1996) “The Pricing of Foreign Exchange Risk: Evidence from ADRs”, International Review of Economics and Finance, Vol.5 (4), P337-385.
24. Liu, P.，Smith, S. D.，and Syed,A. A. (1990) “Stock Price Reactions to the Wall Street Journal’s Securities Recommendations”, Journal of Financial and Quantitative Analysis, Vol.25(3), P399-410.
25. Liu, Shinhua (2007)”International Cross-listing and Stock Pricing Efficiency：An Empirical Study”, Emerging Market Review,Vol.8, P251-263.
26. Merton, R. C. (1987) ”A Simple Model of Capital Market Equilibrium with Incomplete Information”, Journal of Finance,Vol. 42(3), P483.
27. Miller, D. P. (1999) “The Market Reaction to International Cross-listing: Evidence from Depositary Receipts”, Journal of Financial Economics, Vol.51, P103-124.
28. Neal, R. and Wheatley, S. M. (1998) ”Do Measures of Investor Sentiment Predict Returns?”, Journal of Financial and Quantitative Analysis Vol.33, P523-547.
29. Patro, D. K. (2000) “Return Behavior and Pricing of American Depositary Receipts”, Journal of International Financial Markets, Institutions and Money, Vol.9, P43-67.
30. Puthenpurackal, John (2006) ” Explaining Premiums in Restricted DR Markets and Their Implications: The Case of Infosys,” Financial Management , P93 – 116
31. Richard,John E. and Wiggins,James B.(2000) ”The Information Content of Close-End Country Fund Discounts”, Financial Service review,P171-181.
32. Williams, J. B. (1956), The theory of investment value, North-Holland Edition.
參考網站
1. 美國國際商務會員服務中心 http://www.americamember.org/
2. 資誠會計師事務所 http://www.pwc.com/
3. 青島市外債管理辦公室 http://www.qdwzb.gov.cn/ |
| Description: | 碩士
國立政治大學
財務管理研究所
95357024
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095357024 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 791 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
