外國企業來台第一上市櫃股價相對績效之研究

An Analysis on Market Performance of Foreign Corporation Listed in Taiwan Stock Market: A Comparison between F-stocks, Domestic Stocks and Industry Indices

林冠如(KUAN-JU LIN)

指導教授 ： 張仲岳

國立臺北大學/商學院/會計學系/碩士(2016年)

摘要

第一家外國企業於2010年5月在台上市掛牌交易，至今已將屆滿6個年頭。截至2016年第一季為止，F股掛牌家數總計85家，佔總上市櫃家數大約5.3%，然而市場投資人總是帶著有色的眼鏡看待這群外國企業在台掛牌F股族群，一點風吹草動，就一竿子打翻一條船。本研究以2010年至2015年間掛牌之F股為研究樣本，探討F股在台上市櫃掛牌交易後的表現，透過分組的方式，與本國企業及相同產業股價指數進行比較，分析F股與本國企業之股價表現是否有差異。
第一階段透過累積異常報酬(CAR, Cumulative Abnormal Return)以及財富相對性指標(WR, Wealth Relatives)兩種指標檢視F股之股價績效表現，探討F股公司股票上市櫃後的股價表現。第二階段則利用迴歸分析進行實證分析比較F股與本國企業之每月異常報酬與益本比(Earnings-Price Ratio，本益比的倒數)間之關係，用以檢視F股相較於本國企業，其股價績效表現之優劣。
研究結果顯示:
1.F股僅在上市櫃掛牌後12個月累積異常報酬顯著優於配對的本國企業，且在排除上市櫃掛牌後第一個月所計算之累積異常報酬，F股相較於配對本國企業表現均不理想。
2.F股之12、24以及36個月財富性相對指標均大於1，顯示F股績效表現優於相對應產業指數，但排除上市櫃掛牌後第一個月所計算之12、24以及36個月財富性相對指標均小於1，顯示F股較產業指數長期而言表現較不理想。
3.益本比(E/P)與異常報酬(AR)呈現顯著正向影響，益本比較高者，有較高之異常報酬，但迴歸分析亦顯示在控制益本比之後，其異常報酬表現不如相對應配對之本國企業，但結果並不顯著。
本研究結果顯示長時間看來F股之股價績效表現相較於本國企業表現略差，但期間縮短來看，F股之表現並不遜於本國企業

關鍵字

外國企業 ； F股 ； 第一上市 ； 第一上櫃 ； 異常報酬

並列摘要

It has been six years since the first initial public offering (IPO) of F-stock (foreign issuer stock) was first listed in Taiwan stock market in May 2010. As of the first quarter of 2016, the total number of F-stocks listed in Taiwan stock market was eighty-five, which was about 5.3% of total Taiwan listed companies. However, it seems that investors are prejudiced against F-stocks. Whenever there was negative news about any F-stock, the security prices of all F-stocks suffered. Accordingly, the purpose of this study is to investigate and analyze the relative performance of F-stocks listed in Taiwan stock market after their IPOs from 2010 to 2015. The market performance of F-stock was compared with matching domestic companies or corresponding industry indices to examine whether the performance of F-stock is different from domestic companies or industry indices.
This paper first examines the stock performance by using cumulative abnormal return (CAR) and wealth relatives (WR) to compare F-stocks with matching domestic companies or with industry indices. Secondly, this paper investigates the market performance of F-stock by using regression analysis for the relationships between E/P (earnings-to-price) ratio and abnormal returns (AR).
The empirical results include the followings:
1.The 12-month CAR of F-stock is significantly higher than that of matching domestic companies. However, if the returns for the first month after F-stock are excluded, the 12-month CAR of F-stock is not as good as that of matching domestic companies.
2.The WR ratios of F-stock for 12-month, 24-month and 36 month are greater than one, suggesting that F-stock performs better than corresponding industry index. However, if the returns for the first month after F-stock are excluded, all the WR ratios are less than one, indicating that F-stock does not perform as well as corresponding index.
3.Abnormal returns (AR) are significantly positively related to E/P ratio. The higher E/P ratio has the higher AR. However, regression result shows that after the effects of E/P ratio are controlled, the abnormal returns (AR) of F-stocks are insignificantly less than matching domestic companies.
The empirical results indicate that the long-term performance of F-stock is worse than matching domestic companies or industry indices. However, in the short run, the performance of F-stock is not worse than domestic companies.

並列關鍵字

Foreign Issuers ； F-stocks ； IPO ； abnormal returns (AR)

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