本研究之目的為探討臺灣存託憑證之投資績效及營運績效，我們採用七個指標作為投資績效的衡量，分別為標準差、夏普比率、貝塔係數、信息比率、詹森指數、崔納指數及異常報酬，以衡量臺灣存託憑證上市後的股票表現；在營運績效方面，我們採用資產報酬率以及權益報酬率作為衡量指標，以衡量其在上市前後的營運績效表現；另外我們使用Kothari (2005) 裁決性應計項目模型檢測在上市前後臺灣存託憑證之管理階層進行盈餘管理的程度，並探討該裁決性項目的盈餘管理是否為績效變動的影響因素。
本研究結果有三項主要發現，第一，我們證實臺灣存託憑證之投資績效在上市後表現平均低於一般上市櫃股票，此結果支持政府於2013年11月11日所發佈停止推動臺灣存託憑證之政策；第二，其營運績效表現在上市前明顯優於一般上市櫃股票，然而上市後卻大幅衰退；第三，我們並未發現臺灣存託憑證的裁決性應計項目在上市前後存在顯著差異。

The objective of this research is to evaluate the stock and operating performances of Taiwan Depositary Receipts (TDRs) following their listing on the Taiwan Stock Exchange (TWSE). We use seven indicators in the analysis of TDRs’ stock performance, including standard deviation of stock returns, Sharpe ratio, market beta, information ratio, Jensen’s alpha, Treynor ratio, and abnormal returns. In the analysis of TDRs’ operating performance, we adopt return on assets and return on equity. We also examine the level of earnings management for TDRs before and after listing, using performance-matched modified Jones Model (Kothari, 2005).
There are three main findings, as follows. First, TDRs underperform the capital market following the listing, which is consistent with the Taiwanese government’s policy of ceasing to promote TDRs on November 11, 2013. Second, the operating performance of TDRs significantly higher than that of the industry before the TDR listing, but significantly lower following the listing. Third, we fail to find supporting evidence for accrual-based earnings management surrounding the year of listing.

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