推動大陸台商回台上市資訊內涵之研究

The Study on the Information Content of Promoting Taiwanese Companies Base in China to List in Taiwan

余韋安(WEI-AN YU)

指導教授 ： 楊清溪博士

國立臺北大學/商學院/會計學系/碩士(2009年)

摘要

中華民國行政院針對外商來台上市政策的推行，計有下列三次重要的計劃/方案通過，(一)2008年3月5日通過金管會「大陸台商回台補辦許可推動方案」及「推動海外企業來台掛牌一二三計畫」；(二)2008年7月17日通過經濟部「大陸投資金額上限鬆綁及審查便捷化方案」；(三)2008年7月31日通過金管會「海外企業來臺上市鬆綁及適度開放陸資投資國內股市方案」。
上述的重大決策，其目的是正面的，希藉由相關法令的增訂或修正，使台灣的資本市場能吸引外商(外商係指依其他國家法律設立登記之公司，尤其是無根台商)的加入，使台灣的資本市場能活絡化、國際化，進而促進台灣的經濟發展與繁榮。
本文係以事件研究法，探討外國企業來台上市政策之宣告事件，是否引起上市公司股價的異常變動，產生異常報酬，並藉由統計上的檢定方法，確立海外企業來台上市的宣告，對上市公司股價的影響，亦即當此種重要政策的宣告，是否具有資訊內涵，是本文所要研究的目的。
經實證分析後得到下列結論：
一、由事件日2008年3月6日顯示，市場投資者認為此宣告是好消息，所以有正的異常報酬，顯示此訊息具有資訊內涵。
二、事件日2008年7月18日未有正的異常報酬，但卻顯示為負的異常報酬，其原因推論為欲來台上市的外商(台商)，其投資中國的金額及比率均大，此次政策宣告，僅是將投資大陸金額占淨值的上限由40%增加為60%，以好消息而言，應屬有限，所以在市場上未有正的異常報酬。
三、事件日2008年8月1日，在事件日(-5至-3)顯示正的異常報酬，事件日(-2至3)顯示負的異常報酬，事件日(4,5)又為正的異常報酬。推論係下列原因所致：政府在2008年5月更換行政團隊後，新施政團隊的政策之一係積極鼓勵外商(台商)來台上市，學者專業意見及政府施政策略均廣見於報章雜誌中，可能提早於市場曝光，而股價早已反應，使得事件日之前係正的異常報酬，反應完後即反轉回一適當的均衡價值。
四、經由樣本的迴歸模型分析，結論如下：
(一)標準化累積平均異常報酬率(SCAR)與未預期盈餘(UE)成正相關，與預期相同，說明未預期盈餘(UE)愈大，則標準化累積平均異常報酬率(SCAR)愈大，但並不顯著；
(二)標準化累積平均異常報酬率(SCAR)與公司規模大小(SIZE)成負相關，與預期相同，說明公司規模(SIZE)愈大，則標準化累積平均異常報酬率(SCAR)愈小，達1%顯著；
(三)標準化累積平均異常報酬率(SCAR)與公司研究發展強度(R&D)成正相關，與預期相同，說明公司研究發展強度(R&D)愈大，則標準化累積平均異常報酬率(SCAR)愈大，達1%顯著。

關鍵字

資訊內涵

並列摘要

The Executive Yuan passed the proposals to ease the restrictions on requirement for foreign companies to be listed in Taiwan on the Taiwan Stock Exchange (TSEC) or GreTai Securities Market(OTC). There are three main proposals passed which included: (1) On March 5, 2008, the Financial Securities Committee (“FSC”) passed the “Impetus Program for Mainland China Taiwanese firms Replacement Approval” and the "1-2-3 Project for Exchange Listings by Offshore Firms"; (2) On Jul. 17th, the Executive Yuan passed the proposal to ease the restrictions for domestic companies to use their capital raised in Taiwan and overseas to invest in mainland China; (3) On Jul. 31st , the Executive Yuan passed the proposal made by the FSC to ease the restrictions on requirement for foreign companies to be listed in Taiwan as well as the requirement on raising of capital to invest in mainland China.

The above major policies have positive expectations. The aim of related new regulations approval or amendment is to attract more foreign companies to invest in the capital market in Taiwan. As a result, the activate and internationalization of the capital market will encourage the economy development of Taiwan. “Foreign companies” not only means those companies established under other countries, but also included those Mainland China Taiwanese firms which were not been approved to invest in Mainland China.

The following research is based on Event Study. Will the announcement of passing the proposals to ease the restrictions on requirement for foreign companies to be listed in Taiwan on the Taiwan Stock Exchange (TSEC) or GreTai Securities Market(OTC) result in any abnormal return? By using the assessment method of statistics, we will have the result for the impact of such announcement on the stock price. The aim of this research is to find out does the announcement of passing the proposal have information content.
According to the verify analysis, the results are as follows:

1. Based on event on March 6, 2008, the announcement was a good news to the investors. The positive abnormal return indicated the information had information content.

2. The event on July 18, 2008 resulted in a negative abnormal return. The inference can be drawn as follows: The “foreign company” was highly invest in Mainland China, both in amount and proportion. As a good news, the loosening of the limitation of investment in Mainland China raised from 40% of net assets to 60%, was not so attractive to investors. As a result, there was no positive abnormal return.

3. The event on August 1, 2008, the evnet of -5~-3 resulted in a positive abnormal return, the evnet of -2~3 resulted in negative abnormal return, the event of 4 and 5 resulted in positive abnormal return again. The inference can be drawn as follows: New Government was changed in May, 2008. To encourage “foreign companies” to list in Taiwan is one of the policies of the new Government. The policy had been widely announcement before so the impact of the policy on the stock market had already been reacted. After that, the stock price maintained at an appropriate equilibrium.

4. Based on the the regression model analysis, conclusion as follows:

(1) The SCAR and UE are in positive proportion, as expected. The higher UE, the higher SCAR, but it is not significant.

(2) The SCAR and SIZE are in negative proportion, as expected. The larger SIZE, the lower SCAR, which is significant, 1%.

(3) The SCAR and R&D are in positive proportion, as expected. The stronger R&D, the higher SCAR, which is significant, 1%.

並列關鍵字

Information Content

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