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系統識別號 U0026-0107201410250500
論文名稱(中文) 臺灣存託憑證投資與營運績效之研究
論文名稱(英文) On the Evaluation of the Performance of Taiwan Depositary Receipts
校院名稱 成功大學
系所名稱(中) 會計學系
系所名稱(英) Department of Accountancy
學年度 102
學期 2
出版年 103
研究生(中文) 鍾宛蓁
研究生(英文) Wan-Jen Chung
學號 r16014038
學位類別 碩士
語文別 英文
論文頁數 77頁
口試委員 指導教授-簡金成
口試委員-林軒竹
口試委員-王明隆
中文關鍵字 臺灣存託憑證  第二上市  投資績效  營運績效  裁決性應計項目 
英文關鍵字 Taiwan Depositary Receipt  Secondary listing  Stock performance  Operating performance  Discretionary accruals 
學科別分類
中文摘要 本研究之目的為探討臺灣存託憑證之投資績效及營運績效,我們採用七個指標作為投資績效的衡量,分別為標準差、夏普比率、貝塔係數、信息比率、詹森指數、崔納指數及異常報酬,以衡量臺灣存託憑證上市後的股票表現;在營運績效方面,我們採用資產報酬率以及權益報酬率作為衡量指標,以衡量其在上市前後的營運績效表現;另外我們使用Kothari (2005) 裁決性應計項目模型檢測在上市前後臺灣存託憑證之管理階層進行盈餘管理的程度,並探討該裁決性項目的盈餘管理是否為績效變動的影響因素。
本研究結果有三項主要發現,第一,我們證實臺灣存託憑證之投資績效在上市後表現平均低於一般上市櫃股票,此結果支持政府於2013年11月11日所發佈停止推動臺灣存託憑證之政策;第二,其營運績效表現在上市前明顯優於一般上市櫃股票,然而上市後卻大幅衰退;第三,我們並未發現臺灣存託憑證的裁決性應計項目在上市前後存在顯著差異。
英文摘要 The objective of this research is to evaluate the stock and operating performances of Taiwan Depositary Receipts (TDRs) following their listing on the Taiwan Stock Exchange (TWSE). We use seven indicators in the analysis of TDRs’ stock performance, including standard deviation of stock returns, Sharpe ratio, market beta, information ratio, Jensen’s alpha, Treynor ratio, and abnormal returns. In the analysis of TDRs’ operating performance, we adopt return on assets and return on equity. We also examine the level of earnings management for TDRs before and after listing, using performance-matched modified Jones Model (Kothari, 2005).
There are three main findings, as follows. First, TDRs underperform the capital market following the listing, which is consistent with the Taiwanese government’s policy of ceasing to promote TDRs on November 11, 2013. Second, the operating performance of TDRs significantly higher than that of the industry before the TDR listing, but significantly lower following the listing. Third, we fail to find supporting evidence for accrual-based earnings management surrounding the year of listing.
論文目次 Abstract I
Chinese Abstract II
Acknowledgments III
Table of Contents IV
List of Tables V
List of Figures VI
Appendices VII
1. Introduction 1
2. Institutional Background and Literature Review 9
2-1 Introduction of Depositary Receipts 9
2-2 The Background of TDRs 15
2-3 The Literature on TDRs 24
3. Predictions 26
4. Research Methodology 28
4-1 Research Design 28
4-2 Measurement Indices 29
4-3 Sample Selection and Descriptive Statistics 36
5. Empirical Results 40
6. Conclusion 55
Appendix 58
References 75
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