美國存託憑證發行與公司特有資訊訂價

ADR Issuance and the Capitalization of Firm-Specific Information

盧美惠(Mei-Hui Lu)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2007年)

摘要

本研究在藉由檢測新興市場當地國家的公司特有風險值的變化來做為美國存託憑證發行後該公司股價的資訊意涵。我們發現在1999年前有發行美國存託憑證的公司，其公司特有風險占總風險比例顯著上升，此結果符合了發行美國存託憑證後，其公司特有資訊是有獲得改善的假說。然而在1999年後發行美國存託憑證的當地公司風險值，即無法觀測到此種現象，此或許是因為在網路泡沫化的時期，有較多雜訊交易者出現在市場上交易所導致的。

關鍵字

美國存託憑證 ； 公司特有風險 ； 充分資訊交易者

並列摘要

This study examines whether the issuance of ADR improves the information content of stock prices by testing the changes in idiosyncratic risk of local stocks in emerging markets. Firms with earlier ADR issuance (before 1999) are found to exhibit significant increases in idiosyncratic risk as a percentage of total risk. This result is consistent with the hypothesis of improved disclosure of firm-specific information. However, similar finding is not observed for those stocks with ADRs issued after 1999. This might be attributable to increased noise traders after the internet bubble.

並列關鍵字

ADR ； Idiosyncratic Risk ； Informed Trade

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