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研究生： 林幸穎
Lin, Hsing-Ying
論文名稱： F股上市績效之研究
The Study of F-shares in Taiwan
指導教授： 簡金成
Chien, Chin-Chen
學位類別： 碩士
Master
系所名稱： 管理學院 - 會計學系
Department of Accountancy
論文出版年： 2014
畢業學年度： 102
語文別： 英文
論文頁數： 48
中文關鍵詞： F股 、股價表現 、財務表現 、資訊不對稱 、盈餘管理
外文關鍵詞： F-share, Stock Performance, Accounting Performance, Information Asymmetry, Earnings Management
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    • 本研究探討F股的股價和財務表現，並以2005至2013的外國企業來台第一上市公司為樣本。我們用八個指標來衡量股價表現和三個指標來衡量財務表現。研究結果顯示，F股在上市當年波動程度較大。上市後，F股使用淨資產及資產產生利潤的能力很顯著，同時，其系統性風險略低於市場。在上市當年及一年後，F股調整過風險後的超額報酬雖比市場稍低，然而排除掉非系統風險後，F股從上市開始，其調整過系統性風險後的超額報酬就略比市場高。在上市當年 F股調整過主動風險後的超額報酬和預期超額報酬也比市場略高。F股的超額報酬也在上市一年後高於市場。此外，F股沒有明顯的盈餘管理。

    This paper investigates the stock and accounting performance of F-shares. We use eight indices to measure stock performance and three indices to measure accounting performance. The findings show that F-shares are more volatile in the listing year. After listing, F-shares are significant in regard to the capacity to use both net assets and assets to generate profits. Meanwhile, the systematic risk for F-shares is slightly lower than the market. F-shares’ risk-adjusted excess returns are slightly lower than the market in the listing year and the year following listing. However, the systematic risk-adjusted excess returns of F-shares are slightly higher from the listing after excluding nonsystematic risk. The active risk-adjusted excess returns and expected excess returns of F-shares are also higher than the market in the listing year. The abnormal returns for the F-shares are slightly higher than the market one year after listing. In addition, there is no obvious earnings management for F-shares.

    Contents 1. Introduction 1 2. Institutional Background and Literature Review 9 2.1 Institutional background of F-shares 9 2.2 Literature review 14 3. Predictions 17 4. Methodology 19 4.1 Research design 19 4.2 Variables definitions 19 4.3 Sample selection and descriptive statistics 25 5. Empirical Results 27 6. Conclusions and Suggestions 40 References 46 Tables Table 1 Comparison of filing for general affairs between F-shares and publicly held company 11 Table 2 Comparison of filing for material information released between F-shares and publicly held company 12 Table 3 Sample Selection 25 Table 4 Industry and Time Sample Distribution 26 Table 5 Descriptive Statistics 29 Table 6 Performance of the Eight Indices for the Matched Firms Following the Listing 34 Table 7 Accounting Performance of the Matched Samples Surrounding the F-shares’ Listing 39 Figures Figure 1 The number of foreign companies listed in May, 2007 3 Figure 2 Ratio of total foreign companies listed 3 Figure 3 Flow Chart of this Study 8 Appendix Appendix A Table of Variables Definition 42 Appendix B The List of Matched Samples 43

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