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標題: | 證券公司海外路演活動對台灣上市櫃公司股價的資訊效果 The Impact of Taiwan Listed Companies’ Oversea Road Shows hosted by Securities Broker to Share Price Movement |
作者: | Ming-Yuh Lee 李明育 |
指導教授: | 廖咸興 |
關鍵字: | 路演,異常報酬,事件研究法,外國機構投資人,資訊洩露,盡職治理義務, Road Shows,Abnormal Returns,Event Study,Foreign Institutional Investors,Information Leakage,Duty of Stewardship, |
出版年 : | 2017 |
學位: | 碩士 |
摘要: | 本篇論文是探討台灣上市櫃公司受邀參加證券公司舉辦之海外路演活動。由路演前通知日(T-10),經過路演活動開始之上傳公告日(T),至路演後二個月(T+60)為樣本期間,分別觀察路演標的族群,在不同的命題情境下,是否會產生異常報酬。
累計異常報酬的計算,係採用事件研究法的公式導出,其結論係以圖表呈現相關資訊效果。運用相關文獻為基礎,判斷其異常報酬是否會發生,並進一步探討其發生的原因,歸納出某些標的族群產生異常報酬。而異常報酬的發生主因,根據教科書及參考文獻記載,均是資訊洩露所造成,因此我們也討論路演標的族群的基本面、外資平均持股累計變動率與累計平均異常報酬間,彼此互動的比對分析。 在結論中,我們發現於某些特殊命題的情境下會明顯產生異常報酬,並分別就參與路演的三個主體:上市櫃公司、外國機構投資人、證券公司之間,探討結論為何產生及其對資本市場的影響。最後提出上市櫃公司的財務預警制度、外國機構投資人的盡職治理義務及證券公司路演服務平台的責任等三大建議。 This thesis identifies the correlation between share price movement and Taiwan listed companies’ oversea road shows hosted by securities brokers. The study will monitor how abnormal returns of listed companies’ share price may be generated under different circumstances, ranging from announcement date of the road shows (T-10), the event day (T day), to two months after the event day (T+60). The cumulative abnormal returns are conducted by event study and its formula, and its result is backed by related graphic information. Based on related references and documentation, this thesis will conclude whether or not abnormal returns of share price may be generated based on different circumstances and scenarios, and will further elaborate to identify specific group of listed companies that would have higher probability to generate abnormal returns. Based on related reference and documentation, information leakage can be the main reason behind possible abnormal returns of share price. Thus, this study will also explore and analyze the correlation between fundamentals, change of foreign investors’ holdings, and cumulative average abnormal returns of target stocks. In conclusion, the study will discover how abnormal return of share price can be generated in specific scenarios, and further analyze why this conclusion can be drawn by discussing the relationship and interactions of three key roles of road shows, including Taiwan listed companies, foreign institutional investors, and securities brokers, as well as the market impact these key roles can bring. At the end, this study will conduct three advices, including the establishment of risk-warning system for listed companies’ financial health, institutional investors’ duty of stewardship, and securities brokers’ responsibility for hosting road shows. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/78017 |
DOI: | 10.6342/NTU201700258 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融組 |
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ntu-106-P03745019-1.pdf 目前未授權公開取用 | 1.64 MB | Adobe PDF |
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