海外企業來台第一上市(櫃)之績效表現探討

本文目的在探討海外企業來台第一上市和上櫃股票(F股)的績效表現是否優於台灣市場指數、台灣中型100指數及台灣本地企業股票，文中分別採用夏普(Sharpe)、崔納(Treynor)指標，來衡量F股是否能對投資人提供更高的報酬。此外，使用每股盈餘、週轉率、資產報酬率、股東權益報酬率、營收成長率、淨值成長率與淨值週轉率等財務績效指標，來探討F股與相對應的本地企業的表現差異，以做為投資人選擇標的之參考。本研究結果主要發現有：上市櫃F股的風險溢酬均為正，且能得到高於市場表現的風險調整後報酬，表示F股表現優於期間的市場水準。此外，上市F股的Sharpe值和Treynor值均大於市場指數，且貝它值( β )亦大於一，波動性也高於市場水準，顯示上市F股具高報酬與高風險之特性。若比較F股和相對應的本地企業，上市櫃F股的股價表現並不如相對應的台灣上市櫃企業，表示F股未必是良好的投資標的；然而就財務指標而言，F股優於相對應台灣上市櫃股票，因此，F股財務資訊的透明度對投資人是相當大的考驗，故F股對投資人而言，股價表現與財務績效並未相對應。

關鍵字

F股；財務績效；市場績效

並列摘要

The purpose of this study is to investigate the performance of F foreign stocks which are primary listed (F stocks) in Taiwan sotck market. We examine whether the performance of F stocks is higher than Taiwan market index, Taiwan medium-100 index and the domestic stocks. We examine the stock performance by using the Sharp ratio, Treynor ratio and risk factors. In addition, we use the financial indicators, including EPS, turnover ratio, ROA, ROE, revenue growth rate, net growth rate and net turnover ratio, to compare the financial performance of F stock with the corresponding domestic stocks. The results are useful for investors to decide their security selescton. There are some findings, as follow. The F stocks have positive risk premium and higher risk adjusted returns than Taiwan stock markets. The Sharpe and Treynor valuses are higher than Tawian stock market and the average of β values is greater than 1. The result shows that F stocks have a high market risk, and high returns than the Tawian stock market. The stock performance of F stocks are worse than the corresponding domestic stocks, but the performance of financial indicators for F stocks are better than domestic stocks. The result indicates informantion transmission of F stocks is important for Tawian’s investors, and F stocks are underpriced in Taiwan market.