ADR折溢價因素探討-以大中華地區為例

本研究主要探討大中華地區至美上市發行ADR的價差因素，利用2003-2010年大中華地區發行的ADR市場資料做實證，分別探討市場活動、財務資訊和公司治理變數，是否會對雙重上市之ADR折溢價產生顯著影響，本文利用Panel data-fixed effect模型檢定變數是否造成ADR折溢價，其結果顯示：第一、市場活動顯著影響ADR日溢價率的變數因地區不同而有所不同，但影響ADR年溢價率的因素主要為ADR的流動性，流動性越高者，ADR溢價較大。第二、公司盈餘資訊和公司規模對ADR價差無顯著影響，唯有股利殖利率和財務槓桿會顯著影響大中華地區折溢價比率。第三、一般認為獨立董事佔比較高者，有助於ADR之資訊透明度，此研究結果並不支持這項說法，但控制股東和董事會直接持股比例較高者會有較高的ADR溢價，此外，針對中國地區，控制股權的比例越高者對ADR溢價率為負面影響。

關鍵字

ADR折溢價；雙重上市；流動性假說；區隔市場假說；風險假說

並列摘要

This study focuses on the factors affected the price differentials between the Greater China region and the United States. I examine whether the market activities, financial information and corporate governance variables to have significant impacts on ADR price premium. To generate the empirical results, I used the Panel data-fixed effect model for empirical test and the results are as follow: First of all, the market activities significantly affect ADR daily premium rate and the variables vary due to different regions, ADR liquidity is major factor that significantly and consistently affects ADR annual premium rate among different regions. The higher the liquidity, the larger the spread. Second, earnings information and company size does not significantly affect the ADR price difference, only the dividend yield and financial leverage significantly affect the premium rate. Third, it is generally believed that the higher percentage of independent directors contributes to the ADR information transparency, but the results of this study do not support this claim. Higher direct shareholding of the controlling shareholder and the Board will result in higher ADR premium. In addition, higher shareholding of government or other institutions, direct or indirect, have a negative impact on the ADR premium.

並列關鍵字

ADR premium ratio ； Dual listing ； liquidity hypothesis ； Asymmetric information

參考文獻

1.王玉婷(2002)，「中國大陸普通股與美國存託憑證間之報酬波動性與外溢效果研究」，中原大學企業管理研究所碩士論文。

3.方俊儒，龍春伶與李秀英（2008)，「獨立董監事對公司績效與盈餘品質之影響－控制股東之調節效果」，會計與公司治理，第5卷，第1期，頁55-80

The Impact of Internalization on Stock Market Liquidity“,NBER Working Paper 15, F36 F20

5.Aggarwal,R., S. Dahiya and L. Klapper (2007),” ADR holdings of US-based emerging market funds”, Journal of Banking & Finance 31,1649–1667

6.Alexander, G., C. Eun, and S. Janakiramanan (1987) ,”Asset Pricing and Dual Listing on Foreign Capital Markets: A Note”, Journal of Finance 42, 151-158.

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ADR折溢價因素探討-以大中華地區為例

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