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題名：美國存託憑證實證研究- 發行ADR公司併購活動和跨市場折價
作者：楊念慈 引用關係
作者(外文)：Nien-Tzu Yang
校院名稱：國立中興大學
系所名稱：財務金融學系所
指導教授：楊聲勇
學位類別：博士
出版日期：2014
主題關鍵詞：美國存託憑證；A股；H股；中國公司；折價；價格因子；國家政策；情緒；五年計劃；國有股；併購活動；監理制度；資訊不對稱；綜效。；American Depositary Receipts (ADRs)；A-shares；H-shares；Chinese public listed companies；discount；price factor；financial policies of the Chinese government；sentiment；5-year plan；state-owned enterprises (SOEs)；Merger Activities；supervision；information asymmetry；synergy.
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本論文涵蓋相關美國存託憑證的兩大研究主題。
第一篇研究主要是對中國公司在美國市場發行之美國存託憑證(海外股)、在中國市場發行之A股(原股)、在香港市場發行的H股(存託依據股)之間的價格discount進行討論，藉由隨時間變化的panel data模型觀察中國由計畫經濟逐步轉型為自由市場經濟對市場價格所造成的影響。經實證結果發現不同市場的價格隨經濟制度的轉變逐漸趨於一致。並發現在不同市場中的價格背離受長期規劃導引與金融政策影響甚深，而非像其他國家受流動性，股利稅..等因子影響。
第二篇研究橫跨各種不同國家建造的資料庫，透過大量的手動比對蒐集全球有發行ADR的公司前後五年間所有併購資料以及其對應公司資料。延伸過去研究，提出一個新的想法：公司發行ADR後，會因為發行ADR可以加強監理制度，降低併購中經理人自利動機，同時也可以降低市場區隔與資訊不對稱造成的成本，使併購活動的超額報酬會變高、併購活動亦同步增加。
This dissertation works on two issues related to American Depositary Receipts (ADRs): (1). Government policies or Investor sentiment? An reexamination of pricing dynamics of discounts between Chinese cross-listed stocks, and (2). American depositary receipts and merger activities.
The first issue mainly explores price discounts of Chinese public listed companies which have issued ADRs (overseas shares in the U.S. market), H-shares (shares traded in the Hong Kong market) and A-shares (shares traded in the China market). We use time-varied panel data models to investigate the effect of different market share prices are influenced by China''s gradual economic transformation from a planned economy to a free market economy. We also conclude the price discounts dwindle due to the gradual transformation of the economic systems. Furthermore, the share price deviations in different markets should be deeply affected by the long-term centrally planned economy and financial policies of the Chinese government, and not like other countries, share prices are much influenced by share liquidity, investors sentiment and other factors.
On the second issue, we finds that after ADRs were issued, the companies average abnormal return increased significantly, and the average abnormal returns generated through cross-border merger activities increased from 2.3% to 2.9% compared to before the issuance of ADRs. This is because the issuance of ADRs not only strengthens the level of supervision, and reduces the directors’ motives for their own self-interest during merger activities; it also reduces the costs caused by market segmentation and information asymmetry. The increase of abnormal return during merger activities will increase in sync with merger activities.
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