海外企業來台上市之市場反應：市場區隔假說與投資人認知假說

Abstract

外國公司來台第二上市發行TDRs，不僅涉及證券市場之區隔性，尚且考量投資人認知性。本文探討海外企業來台發行台灣存託憑證，是否能夠消除超額報酬及市場風險貼水，即本研究回答投資人是否能藉由公司發行台灣存託憑證而有利可圖，以驗證市場區隔假說及投資人認知假說的有效性。以在台灣第二上市的海外公司為研究樣本，本文證實前述兩個假說成立。海外企業來台上市前後的超額報酬及風險明顯不同。另外，投資人因為海外資訊不足而造成的成本也因第二上市而減少。故本文證實來台第二上市有助於外國企業投資人之股市投資，市場投資人給予正面評價。

Listing on the Taiwan security markets for foreign corporations may not only involve the market segmentation, but also correlate to investor's recognition. This article explores whether or not the investors can gain if the corporations issuing Taiwan Depositary Receipts (TDRs) for diminishing risk premium and market risks. Using Taiwan TDRs, the study proves that both market segmentation hypothesis and investor recognition hypothesis. Excess returns and volatility risks of pre-listing differ to those of post-listing at Taiwan markets. Shadow costs caused from the incomplete information also reduce. Thus the article has proved that the TDRs issuing benefits the foreign corporations' investors.