上市公司對大陸投資之資訊效果

Abstract

本研究藉由事件研究法，探討上市公司對大陸投資核准或宣告的事件是否具有資訊效果，並以「核准」與「宣告」兩大構面將樣本公司區分為「核准且宣告」、「未核准但有宣告」與「有核准但未宣告」三類，個別探討之。實證結果發現: 1. 就第一類「核准且宣告」樣本而言，「核准日」與「宣告日」都具有資訊效果，其中「核准日」異常報酬率為正，但「宣告日」異常報酬率為負。顯示公司獲得對大陸投資的「核准訊息」，具有資訊效果。2. 就第二類「未核准但有宣告」樣本而言，公司在尚未通過核准就進行宣告的訊息，對投資人雖有正面資訊效果，但其事件的效應較短暫，僅及於宣告日前後幾天。3. 就第三類「有核准但未宣告」樣本而言，十四類產業中只有食品類、電機類、電器電纜類以及化工類之累積異常報酬率達到顯著水準，顯示公司雖然沒有進行宣告，投資人仍然可以從公司通過核准的訊息，認為公司即將有登陸舉動，而產生資訊效果。綜上而論，我國上市公司赴大陸投資相關訊息揭露，包括核准通過與公開宣告，都具有資訊效果，但是影響投資人方向或正或負，另一方面，市場消化訊息的速度並不一致。

The purpose of this study is to examine the information effects when Taiwan listed companies invest in Mainland China using event study method. Instead of considering announcement as the only one proxy for investment in previous studies, “approval from the authorities, which is MOEAIC in Taiwan” is taken into account as well in this study. “Announcement” and “approval” are applied as two dimensions to separate the companies into three subsets for the discussion of the information effects respectively. Three conclusions drawn as follows: 1. For those companies announced and got approved, there were information effects on both events. The abnormal returns on both events are not significantly different from each other. This indicates that there is no significant differences between the information effects of “announcement” and “approval”. 2. For those companies announced but did not get approved, there was information effect on “announcement “ for shorter periods. 3. For those companies got approved but did not announce, there was information effect on “approval“ for four out of fourteen industries. This indicates that investors can still infer and make reaction to the intension of companies to invest in Mainland China even without direct and obvious announcement from them.