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| 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. |
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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
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