Please use this identifier to cite or link to this item:
標題: 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
Two essays on American depositary receipts: an analysis of the impact of cross-listing on price discounts and merge & acquisition activities
作者: Nien-Tzu Yang
關鍵字: 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.
引用: References Alexander, G. J., Cheol, S. E., Janakiramanan, S., 1988. International listings and stock returns: some empirical evidence. Journal of Financial and Quantitative Analysis 23, 135–151. Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time series e?ects. Journal of Financial Markets 5, 31–56. Arquette, C., Brown, W., Burdekin, R., 2008. US ADR and Hong Kong H-share discounts of Shanghai-listed firms. Journal of Banking and Finance 32, 1916–1927. Auguste, S., Dominguez, K.M.E., Kamil, H., Tesar, L.L., 2006. Cross-border trading as a mechanism for implicit capital ?ight: ADRs and the Argentine crisis. Journal of Monetary Economics 53, 1259–1295. Bacidore J., Sofianos G., 2002. Liquidity provision and specialist trading in NYSE-listed non-US stocks. Journal of Financial Economics 63, 133–158. Bailey, W., Chung, P., Kang, J. -K., 1999. Foreign ownership restrictions and equity price premiums: What drives the demand for cross-border investments? Journal of Financial and Quantitative Analysis 34, 489-511. Baker, M., Wurgler, J., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645–1680. Bekaert, G., Harvey C. R., Lundblad, C., 2007. Liquidity and Expected Returns: Lessons from Emerging Markets. Review of Financial Studies 20, 1783-1831. Bekaert, G., Harvey, C. R., 2000. Foreign speculators and emerging equity markets. Journal of Finance 55, 565-614. Bhattacharya, U., Daouk, H., 2002. The World Price of Insider Trading. Journal of Finance 57, 75-108. Bliss, R. T., Rosen, R. J., 2001. CEO compensation and bank mergers. Journal of Financial Economics 61, 107-138. Bodurtha, J., Kim, D., Lee, C., 1995. Closed-end country funds and US market sentiment. Review of Financial Studies 8, 879–918. Brewer, T. L., 1993. Government policies, market imperfections, and foreign direct investment. Journal of international business studies 24, 101-120. Bris, A., Cabolis, C., 2008. The value of investor protection: firm evidence from cross-border mergers. Review of Financial Studies 21, 605-648. Brockman, P., Chung, D., 1999. An analysis of depth behavior in an electronic, order driven environment, Journal of Banking and Finance 23, 1861–188. Burns, N., Francis B. B., Hasan, I, 2007. Cross-listing and legal bonding: Evidence from mergers and acquisitions. Journal of Banking and Finance 31, 1003–1031. Byrd, J. W., Hickman, K. A., 1992. Do outside directors monitor managers? Journal of Financial Economics 32, 195-22. Cai, C. X., McGuinness, P. B., Zhang, Q., 2011. The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares. Journal of Banking & Finance 35, 2123–2136. Chan, J., Hong, D., Subrahmanyam, M.G., 2008. A tale of two prices: liquidity and asset prices in multiple markets. Journal of Banking and Finance 21, 947–960. Chan, K., Hameed, A., Lau, S., 2003. What if trading location is different from business location? Evidence from the Jardine group. Journal of Finance 58, 1221–1246. Chan, K., Menkveld, A. J., Yang, Z., 2008. Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount. Journal of Finance 63, 159-196. Chen, G., Firth, M., Xu, L., 2009. Does the type of ownership control matter? Evidence from China's listed companies. Journal of Banking & Finance, 33, 171-181. Chiang, T. C., Nelling, E., Tan, L., 2008. The speed of adjustment to information: Evidence from the Chinese stock market. International Review of Economics and Finance 17, 216-229. Chiang, T. C., Tan, L., Li, H., 2008. Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets. Quantitative Finance 7, 651-667 Chinn, M. D., 2006. The (partial) rehabilitation of interest rate parity in the floating rate era: longer horizons, alternative expectations, and emerging markets. Journal of International Money and Finance 25, 7-21. Chung, T. K., Hui, C. H., Li, K. F., 2013. Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares. Journal of Banking & Finance 37, 1073–1083. Journal of Finance 52, 1659-1679. Croci, E., Petmezas, D., 2010. Minority shareholders' wealth effects and stock market development: Evidence from increase-in-ownership M&As. Journal of Banking and Finance 34, 681-694 Dahlquist, M., Pinkowitz, L. F., Stulz, R. M., Williamson, R., 2003. Corporate governance and the home bias. Journal of Financial and Quantitative Analysis 38, 87-110. Dewenter, K. L., Malatesta, P. H., 1997. Public Offerings of State-Owned And Privately-Owned Enterprises: An International Comparison. Dittmar, A., Mahrt-Smith, J., 2007. Corporate governance and the value of cash. Journal of Financial Economics 83, 599-634. Djankov, S., La-Porta, R., F. Lopez-de-Silanes, Shleifer, A., 2008. The Law and Economics of Self-Dealing. Journal of Financial Economics 88, 430-65. Doidge, C., Karolyi, A., Stulz, R., 2004. Why are foreign firms listed in the U.S. worth more? Journal of Financial Economics 71, 205-238. Doidge, C., Karolyi, G. A., Stulz, R., 2004. Why are foreign ?rms that list in the US worth more? Journal of Financial Economics 71, 205–238. Domowitz, Ian, Glen, I., Madhavan, A., 1997. Market segmentation and stock prices: Evidence from an emerging market, Journal of Finance 52, 1059–1085. Doukas, J., 1995. Overinvestment, Tobin's q and gains from foreign acquisitions. Journal of Banking and Finance 19, 1285-1303. Edison, H. J., Warnock, F. E., 2003. A simple measure of the intensity of capital controls. Journal of Empirical Finance 10, 81–103. Eichler, S., 2011. Exchange rate expectations and the pricing of Chinese cross-listed stocks. Journal of Banking & Finance 35, 443-455. Eichler, S., Karmann, A., and Maltritz, D., 2009. The ADR shadow exchange rate as an early warning indicator for currency crises. Journal of Banking & Finance, 33, 1983-1995. Erel, S., Liao, R. C., Weisbach, M. S., 2012. Determinants of cross-border mergers and acquisitions. Journal of Finance 67, 1045–1082. Eun, C. S., Sabhereal, C., 2003. Cross-border listings and price discovery: evidence from U.S.-listed Canadian stocks. Journal of Finance 58, 549-575. Fauver, L., Houston, J., Naranjo, A., 2003. Capital market development, international integration, legal systems, and the value of corporate diversification: A cross-country analysis. Journal of Financial and Quantitative Analysis 38, 135–157. Fernandes, N., Ferreira, M. A., 2008. Does international cross-listing improve the information environment?. Journal of Financial Economics 88, 216–244. Ferreira, M. A., Massa, M., Matos, P., 2010. Shareholders at the gate? Institutional investors and cross-border mergers and acquisitions. Review of Financial Studies 23, 601–644. Foerster, S. R., Karolyi, G. A., 1999. The e?ects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States. Journal of Finance 54, 981–1013. Foerster, S., and Karolyi, A., 1999. The effects of market segmentation and investor recognition on asset prices: evidence from Foreign Stocks Listing in the United States. Journal of Finance 54, 981–1013. Foucault, T., Gehrig, T., 2008. Stock price informativeness, cross-listings, and investment decisions. Journal of Financial Economics 88, 146–168. Francis, B. B., Hasan, I., Sun X., 2008, Financial market integration and the value of global diversification: Evidence for US acquirers in cross-border mergers and acquisitions. Journal of Banking and Finance 32, 1522–1540. Fresard, L., Silva, C., 2010. The value of excess cash and corporate governance: Evidence from US cross-listings. Journal of Financial Economics 98, 359-384. Froot, K. A., Dabora, E., 1999. How are stock prices a?ected by the location of trade? Journal of Financial Economics 53, 189–217. Gagnon L., and Karolyi, G.A., 2010. Multi-market trading and arbitrage, Journal of Financial Economics 97, 53–80. Garbade, K.D., Silber, W.L., 1979. Dominant and satellite markets: A study of dually-traded securities. Review of Economics and Statistics 61, 455–460. Garfinkel, J. A., Hankins, K. W., 2011, The role of risk management in mergers and merger waves, Journal of Financial Economics 101, 515–532. Globerman, S., Shapiro, D. M., 1999. The Impact of Government Policies on Foreign Direct Investment: The Canadian Experience. Journal of international business studies 30, 513-532. Gul, A. F., Kim, J. B., Qiu, A. A., 2010. Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China. Journal of Financial Economics 95, 425–442. Harford, J., 1999. Corporate cash reserves and acquisitions. Journal of Finance 54, 1969–1997. Harford, J., Li, K., 2007. Decoupling CEO wealth and ?rm performance: The case of acquiring CEOs. Journal of Finance 62, 917-949. He, H., Yang, J., 2012. Day and night returns of Chinese ADRs. Journal of Banking and Finance 35, 204–214 Kadiyala, P., Subrahmanyam, A., 2004. Divergence of US and local returns in the after-market for equity issuing ADRs. European Financial Management 10, 389-412. Kehrle, K., Peter, F. J., 2013. Who moves first? An intensity-based measure for information flows across stock exchanges. Journal of Banking & Finance 37, 1629–1642. Kim, M., Szakmary, A. C., Mathur, I., 2000. Price transmission dynamics between ADRs and their underlying foreign securities. Journal of Banking and Finance 24, 1359-1382. Kyle, A., 1985. Continuous auctions and insider trading. Econometrica 53, 1315- 1335. Lang, L. H. P., Stulz, R. M., Walking, R. A., 1989, Managerial performance, Tobin's Q, and the gains from successful tender offers, Journal of Financial Economics 24, 137-154 Lang, L., Stulz, R., Walkling, R., 1991. A test of the free cash flow hypothesis: The case of bidder returns. Journal of Financial Economics 29, 315-336. La-Porta, R., Lopez-de-Silanes, F., Shleifer, A., Vishny R. W., 1998. Law and Finance. Journal of Political Economy 106, 1113–1155. Lee, C.M.C., Shleifer, A., Thaler, R.H., 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75–109. Lins, K., Strickland, D., Zenner, M., 2005. Do non-U.S. firms issue equity on U.S. exchanges to relax capital constraints? Journal of Financial and Quantitative Analysis 40, 109-133. Ma, X., 1996. Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market. Paci?c-Basin FinanceJournal 4, 219–239. Malkiel, B. G.,, Taylor, P. A., Mei. J., Yang, R. 2008. From Wall Street to the Great Wall:How Investors Can Profit from China's Booming Economy: W. W. Norton & Company Ltd. Melvin, M., 2003. A stock market boom during a ?nancial crisis? ADRs and capital out?ows in Argentina. Economics Letters 81, 129–136 Miller, D., 1999. The market reaction to international cross-listings: evidence from Depositary Receipts. Journal of Financial Economics 51, 103–123 Mitton, T., 2002. A Cross-Firm Analysis of the Impact of Corporate Governance on the East Asian Financial Crisis. Journal of Financial Economics 64, 215–41. Moeller, S. B., Schlingemann, F. P., 2005. Global diversification and bidder gains: a comparison between cross-border and domestic acquisitions. Journal of Banking and Finance 29, 533–564. Moeller, S.B., Schlingemann, F. P., Stulz, R., 2004. Firm size and the gains from acquisitions. Journal of Financial Economics 73, 201–228. Moulton, P. C., Wei, L., 2009. A tale of two time zones: The impact of substitutes on cross-listed stock liquidity. Journal of Financial Markets 12, 570-591. Neal, Robe, Wheatley, S. M., 1998. Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33, 523–547. Reese, W. A. J., and Weisbach, M. S., 2002. Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings. Journal of Financial Economics 66, 65–104. Rosenthal, L., Young, L. C., 1990. The seemingly anomalous price behavior of royal dutch/ shell and unilever N.V./ PLC. Journal of Financial Economics 26, 123–142. Sarno, L., Valente, G., 2006. Deviations from purchasing power parity under different exchange rate regimes: do they revert and, if so, how? Journal of Banking & Finance 30, 3147–3169. Seigel, J., 2005. Can foreign firms bond themselves effectively by submitting to US Law? Journal of Financial Economics 75, 319–359. Servaes, H., 1991, Tobin's Q and the Gains from Takeovers. Journal of Finance 46, 409-419. Silber, W. L., 1975. Thinness in capital markets: the case of the Tel Aviv Stock Exchange. Journal of Financial and Quantitative Analysis 10, 129-142. Silva, A. C., Chavez, G. A., 2008. Cross-listing and liquidity in emerging market stocks. Journal of Banking and Finance 32, 420–433. Spamann, H., 2010. The anti-director rights index revisited. Review of Financial Studies 23, 467–486. Stulz, R., 1999. Globalization, corporate finance, and the cost of capital. Journal of Applied Corporate Finance 12, 8–25. Su, Q., Chong, T. T., 2007. Determining the contributions to price discovery for Chinese cross-listed stocks. Pacific-Basin Finance Journal 15 , 140–153. Suh, J., 2003. ADRs and US market sentiment. Journal of Investing 12, 87–95. Sun, Q., Tong, W. H. S., 2000. The effect of market segmentation on stock prices: The China syndrome. Journal of Banking & Finance 24, 1875–1902. Swaminathan, B, 1996. Time-varying expected small ?rm returns and closed-end fund discounts. Review of Financial Studies 9, 845–887. Wang, J., Burton, B.M., Power, D.M., 2004. Analysis of the overreaction effect in the Chinese stock market. Applied Economics Letters 11, 437–442. Wang, S.S., Jiang, L., 2004. Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-share. Journal of Banking & Finance 28, 1273–1297. Wheatley, S., 1988. Some Tests of International Equity Integration. Journal of Financial Economics 21, 117-212.
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。

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.
其他識別: U0005-2811201416175779
Rights: 同意授權瀏覽/列印電子全文服務,2017-08-31起公開。
Appears in Collections:財務金融學系所

Files in This Item:
File SizeFormat Existing users please Login
nchu-103-7095021221-1.pdf2.58 MBAdobe PDFThis file is only available in the university internal network    Request a copy
Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.