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題名 全球投資人情緒是否影響公司海外融資決策
Global Sentiment And Cross-Listing Decision
作者 吳姿儀
貢獻者 周冠男
吳姿儀
關鍵詞 跨國上市
全球投資人情緒
Cross-Listing
Global Sentiment
日期 2015
上傳時間 3-二月-2016 11:17:21 (UTC+8)
摘要 隨著金融市場的全球化，自一九〇〇年代起各國進行跨國上市的企業逐年增長，而該現象也引起學者對於可能造成跨國上市之因與其中之利弊進行進一步的思考與研究，從而發展出許多假說與相關實證結果。過去的傳統假說以市場分割假說、流動性假說以及投資人認知假說等對跨國上市進行解釋，且多以各國至美國跨國上市作為實證，由於上述假說經實證仍留有無法解釋的部分，進而發展出綁定假說，但無論是傳統或是新興的理論，都留有空間讓我們透過全新的角度去賦予見解，因此本論文期以透過行為財務學的觀點，以投資人情緒來解讀公司進行跨國上市的決策制定。
     不同於以往，我們以美國作為實證，檢視全球投資人情緒對於美國公司至全球進行跨國上市決策是否有所影響，樣本期間取自二〇〇三年至二〇一四年，完整樣本數共4,955家企業進行跨國上市，而透過參考文獻我們在考量了公司、交易所與國家三個層級的控制變數後進行相關實證。
     實證結果顯示全球投資人情緒確實影響公司進行跨國上市的決策，當全球投資人情緒越高漲，公司進行跨國上市的可能性則提高，而反之亦然。本論文提供已經過長時間假說與實證的跨國上市領域一個新的思考方向，全球投資人情緒的波動將會是一個影響企業至海外進行權益融資的指標之一。
With the globalization of financial markets, boundaries between countries are getting vague. Since the 〖20〗^(th) century, the amount of firms having their stocks cross-listed oversea is increasing each year, hypotheses and empirical test have long been formed and conducted to figure out the cause and effect of such phenomenon. As for the conventional wisdom, market segmentation, liquidity and investor recognition hypotheses are constructed but still left puzzle unexplained. Bonding theory then been brought up after. But no matter how the conventional wisdom or new research initiatives are trying to interpret, behavioral finance can always bring up a brand new aspect and a whole new explanation. Our paper use global sentiment as a determinant to demonstrate the cross-listing decision-making of a firm.
     Firms in the United States are using as our samples to test our hypothesis, which is expressed that the higher the global sentiment is, the more possible that a firm would have its stock cross-listed. Our sample period is from 2003 to 2014 and the amount of firms cross-listed in the sample period is 4,955. Familiar with the previous studies we have our control variables divided into three levels, firm, exchange and country. The empirical result indicates that while the sentiment of the globe is high, firms in the United States have the intention to have their stock cross-listed oversea, and vice versa. Our main contribution of this study is that though research in cross-listing has long been studied, we provide a new viewpoint that we confirm the connection between global sentiment and cross-listing decision of financing.
參考文獻 Ayyagari, Meghana and Craig Doidge. "Does Cross-Listing Facilitate Changes in Corporate Ownership and Control?" Journal of Banking & Finance 34, no. 1 (2010): 208-223.
     Baele, Lieven, Geert Bekaert and Koen Inghelbrecht. "The Determinants of Stock and Bond Return Comovements." Review of Financial Studies, (2010): hhq014.
     Baker, H Kent, John R Nofsinger and Daniel G Weaver. "International Cross-Listing and Visibility." Journal of Financial and Quantitative Analysis 37, no. 03 (2002): 495-521.
     Baker, Malcolm and Jeffrey Wurgler. "Investor Sentiment and the Cross‐Section of Stock Returns." The Journal of Finance 61, no. 4 (2006): 1645-1680.
     Baker, Malcolm and Jeffrey Wurgler. "Investor Sentiment in the Stock Market." National Bureau of Economic Research Cambridge, Mass., USA, 2007.
     Baker, Malcolm, Jeffrey Wurgler and Yu Yuan. "Global, Local, and Contagious Investor Sentiment." Journal of Financial Economics 104, no. 2 (2012): 272-287.
     Bekaert, Geert, Campbell R Harvey, Christian T Lundblad and Stephan Siegel. "What Segments Equity Markets?" Review of Financial Studies 24, no. 12 (2011): 3841-3890.
     Bris, Arturo, Salvatore Cantale, Emir Hrnjić and George P Nishiotis. "The Value of Information in Cross-Listing." Journal of Corporate Finance 18, no. 2 (2012): 207-220.
     Bris, Arturo, Salvatore Cantale and George P Nishiotis. "A Breakdown of the Valuation Effects of International Cross‐Listing*." European Financial Management 13, no. 3 (2007): 498-530.
     Brown, Gregory W and Michael T Cliff. "Investor Sentiment and the near-Term Stock Market." Journal of Empirical Finance 11, no. 1 (2004): 1-27.
     Chang, Candie, Robert W Faff and Chuan-Yang Hwang. "Sentiment Contagion, Corporate Governance, Information and Legal Environments." Corporate Governance, Information and Legal Environments (March 13, 2009), (2009).
     Chang, Yuk Ying, Robert Faff and Chuan-Yang Hwang. "Does Investor Sentiment Impact Global Equity Markets." In Milan EFMA meetings, 2009.
     Coffee Jr, John C. "Privatization and Corporate Governance: The Lessons from Securities Market Failure." J. Corp. L. 25, (1999): 1.
     Doidge, Craig. "What Is the Effect of Cross-Listing on Corporate Ownership and Control?" Available at SSRN 775985, (2005).
     Doidge, Craig, G Andrew Karolyi, Karl V Lins, Darius P Miller and René M Stulz. "Private Benefits of Control, Ownership, and the Cross‐Listing Decision." The Journal of Finance 64, no. 1 (2009): 425-466.
     Doidge, Craig, G Andrew Karolyi and René M Stulz. "Why Are Foreign Firms Listed in the Us Worth More?" Journal of financial economics 71, no. 2 (2004): 205-238.
     Domowitz, Ian, Jack Glen and Ananth Madhavan. "Liquidity, Volatility and Equity Trading Costs across Countries and over Time." International Finance 4, no. 2 (2001): 221-255.
     Foerster, Stephen R and G Andrew Karolyi. "The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States." The Journal of Finance 54, no. 3 (1999): 981-1013.
     Jansen, W Jos and Niek J Nahuis. "The Stock Market and Consumer Confidence: European Evidence." Economics Letters 79, no. 1 (2003): 89-98.
     JIANG, Yu-mei and Ming-zhao WANG. "Investor Sentiment and the Cross-Section of Stock Returns." Economic Management Journal 10, (2009).
     Karolyi, G Andrew. "The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom." Review of Finance 10, no. 1 (2006): 99-152.
     Karolyi, G Andrew. "Corporate Governance, Agency Problems and International Cross-Listings: A Defense of the Bonding Hypothesis." Emerging Markets Review 13, no. 4 (2012): 516-547.
     King, Michael R and Dan Segal. "The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation." Review of Financial Studies 22, no. 6 (2009): 2393-2421.
     Kumar, Alok and Charles Lee. "Retail Investor Sentiment and Return Comovements." The Journal of Finance 61, no. 5 (2006): 2451-2486.
     La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer and Robert W Vishny. "Legal Determinants of External Finance." Journal of finance, (1997): 1131-1150.
     Lemmon, Michael and Evgenia Portniaguina. "Consumer Confidence and Asset Prices: Some Empirical Evidence." Review of Financial Studies 19, no. 4 (2006): 1499-1529.
     Merton, Robert C. "A Simple Model of Capital Market Equilibrium with Incomplete Information." The journal of finance 42, no. 3 (1987): 483-510.
     Otoo, Maria Ward. "Consumer Sentiment and the Stock Market." (1999).
     Pagano, Marco, Ailsa A Röell and Josef Zechner. "The Geography of Equity Listing: Why Do Companies List Abroad?" Journal of finance, (2002): 2651-2694.
     Qiu, Lily and Ivo Welch. Investor Sentiment Measures. National Bureau of Economic Research, 2004.
     Ritter, Jay R. "Investment Banking and Securities Issuance." Handbook of the Economics of Finance 1, (2003): 255-306.
     Sarkissian, Sergei and Michael J Schill. "The Overseas Listing Decision: New Evidence of Proximity Preference." Review of Financial Studies 17, no. 3 (2004): 769-809.
     Stulz, René M. "Golbalization, Corporate Finance, and the Cost of Capital." Journal of applied corporate finance 12, no. 3 (1999): 8-25.
     Yu, Jianfeng and Yu Yuan. "Investor Sentiment and the Mean–Variance Relation." Journal of Financial Economics 100, no. 2 (2011): 367-381.
描述 碩士
國立政治大學
財務管理研究所
102357020
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357020
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (作者) 吳姿儀zh_TW
dc.creator (作者) 吳姿儀zh_TW
dc.date (日期) 2015en_US
dc.date.accessioned 3-二月-2016 11:17:21 (UTC+8)-
dc.date.available 3-二月-2016 11:17:21 (UTC+8)-
dc.date.issued (上傳時間) 3-二月-2016 11:17:21 (UTC+8)-
dc.identifier (其他 識別碼) G0102357020en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81112-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 102357020zh_TW
dc.description.abstract (摘要) 隨著金融市場的全球化，自一九〇〇年代起各國進行跨國上市的企業逐年增長，而該現象也引起學者對於可能造成跨國上市之因與其中之利弊進行進一步的思考與研究，從而發展出許多假說與相關實證結果。過去的傳統假說以市場分割假說、流動性假說以及投資人認知假說等對跨國上市進行解釋，且多以各國至美國跨國上市作為實證，由於上述假說經實證仍留有無法解釋的部分，進而發展出綁定假說，但無論是傳統或是新興的理論，都留有空間讓我們透過全新的角度去賦予見解，因此本論文期以透過行為財務學的觀點，以投資人情緒來解讀公司進行跨國上市的決策制定。
     不同於以往，我們以美國作為實證，檢視全球投資人情緒對於美國公司至全球進行跨國上市決策是否有所影響，樣本期間取自二〇〇三年至二〇一四年，完整樣本數共4,955家企業進行跨國上市，而透過參考文獻我們在考量了公司、交易所與國家三個層級的控制變數後進行相關實證。
     實證結果顯示全球投資人情緒確實影響公司進行跨國上市的決策，當全球投資人情緒越高漲，公司進行跨國上市的可能性則提高，而反之亦然。本論文提供已經過長時間假說與實證的跨國上市領域一個新的思考方向，全球投資人情緒的波動將會是一個影響企業至海外進行權益融資的指標之一。		zh_TW
dc.description.abstract (摘要) With the globalization of financial markets, boundaries between countries are getting vague. Since the 〖20〗^(th) century, the amount of firms having their stocks cross-listed oversea is increasing each year, hypotheses and empirical test have long been formed and conducted to figure out the cause and effect of such phenomenon. As for the conventional wisdom, market segmentation, liquidity and investor recognition hypotheses are constructed but still left puzzle unexplained. Bonding theory then been brought up after. But no matter how the conventional wisdom or new research initiatives are trying to interpret, behavioral finance can always bring up a brand new aspect and a whole new explanation. Our paper use global sentiment as a determinant to demonstrate the cross-listing decision-making of a firm.
     Firms in the United States are using as our samples to test our hypothesis, which is expressed that the higher the global sentiment is, the more possible that a firm would have its stock cross-listed. Our sample period is from 2003 to 2014 and the amount of firms cross-listed in the sample period is 4,955. Familiar with the previous studies we have our control variables divided into three levels, firm, exchange and country. The empirical result indicates that while the sentiment of the globe is high, firms in the United States have the intention to have their stock cross-listed oversea, and vice versa. Our main contribution of this study is that though research in cross-listing has long been studied, we provide a new viewpoint that we confirm the connection between global sentiment and cross-listing decision of financing.		en_US
dc.description.tableofcontents 1. Introduction 1
     2. Literature Review 3
      2.1. Cross-listing 3
      2.2. Global Sentiment 5
      2.3. Hypothesis 6
     3. Data and Descriptive Statistics 8
      3.1. Data 8
      3.1.1.Dependent and Independent Variables 9
      3.1.2.Control Variables 9
      3.2. Descriptive Statistics 11
     4. Methodology 20
      4.1. Global Sentiment Index 20
      4.2. Empirical Model 21
     5. Empirical Results and Analysis 23
     6. Conclusion 26
     7. Reference 28		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357020en_US
dc.subject (關鍵詞) 跨國上市zh_TW
dc.subject (關鍵詞) 全球投資人情緒zh_TW
dc.subject (關鍵詞) Cross-Listingen_US
dc.subject (關鍵詞) Global Sentimenten_US
dc.title (題名) 全球投資人情緒是否影響公司海外融資決策zh_TW
dc.title (題名) Global Sentiment And Cross-Listing Decisionen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ayyagari, Meghana and Craig Doidge. "Does Cross-Listing Facilitate Changes in Corporate Ownership and Control?" Journal of Banking & Finance 34, no. 1 (2010): 208-223.
     Baele, Lieven, Geert Bekaert and Koen Inghelbrecht. "The Determinants of Stock and Bond Return Comovements." Review of Financial Studies, (2010): hhq014.
     Baker, H Kent, John R Nofsinger and Daniel G Weaver. "International Cross-Listing and Visibility." Journal of Financial and Quantitative Analysis 37, no. 03 (2002): 495-521.
     Baker, Malcolm and Jeffrey Wurgler. "Investor Sentiment and the Cross‐Section of Stock Returns." The Journal of Finance 61, no. 4 (2006): 1645-1680.
     Baker, Malcolm and Jeffrey Wurgler. "Investor Sentiment in the Stock Market." National Bureau of Economic Research Cambridge, Mass., USA, 2007.
     Baker, Malcolm, Jeffrey Wurgler and Yu Yuan. "Global, Local, and Contagious Investor Sentiment." Journal of Financial Economics 104, no. 2 (2012): 272-287.
     Bekaert, Geert, Campbell R Harvey, Christian T Lundblad and Stephan Siegel. "What Segments Equity Markets?" Review of Financial Studies 24, no. 12 (2011): 3841-3890.
     Bris, Arturo, Salvatore Cantale, Emir Hrnjić and George P Nishiotis. "The Value of Information in Cross-Listing." Journal of Corporate Finance 18, no. 2 (2012): 207-220.
     Bris, Arturo, Salvatore Cantale and George P Nishiotis. "A Breakdown of the Valuation Effects of International Cross‐Listing*." European Financial Management 13, no. 3 (2007): 498-530.
     Brown, Gregory W and Michael T Cliff. "Investor Sentiment and the near-Term Stock Market." Journal of Empirical Finance 11, no. 1 (2004): 1-27.
     Chang, Candie, Robert W Faff and Chuan-Yang Hwang. "Sentiment Contagion, Corporate Governance, Information and Legal Environments." Corporate Governance, Information and Legal Environments (March 13, 2009), (2009).
     Chang, Yuk Ying, Robert Faff and Chuan-Yang Hwang. "Does Investor Sentiment Impact Global Equity Markets." In Milan EFMA meetings, 2009.
     Coffee Jr, John C. "Privatization and Corporate Governance: The Lessons from Securities Market Failure." J. Corp. L. 25, (1999): 1.
     Doidge, Craig. "What Is the Effect of Cross-Listing on Corporate Ownership and Control?" Available at SSRN 775985, (2005).
     Doidge, Craig, G Andrew Karolyi, Karl V Lins, Darius P Miller and René M Stulz. "Private Benefits of Control, Ownership, and the Cross‐Listing Decision." The Journal of Finance 64, no. 1 (2009): 425-466.
     Doidge, Craig, G Andrew Karolyi and René M Stulz. "Why Are Foreign Firms Listed in the Us Worth More?" Journal of financial economics 71, no. 2 (2004): 205-238.
     Domowitz, Ian, Jack Glen and Ananth Madhavan. "Liquidity, Volatility and Equity Trading Costs across Countries and over Time." International Finance 4, no. 2 (2001): 221-255.
     Foerster, Stephen R and G Andrew Karolyi. "The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States." The Journal of Finance 54, no. 3 (1999): 981-1013.
     Jansen, W Jos and Niek J Nahuis. "The Stock Market and Consumer Confidence: European Evidence." Economics Letters 79, no. 1 (2003): 89-98.
     JIANG, Yu-mei and Ming-zhao WANG. "Investor Sentiment and the Cross-Section of Stock Returns." Economic Management Journal 10, (2009).
     Karolyi, G Andrew. "The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom." Review of Finance 10, no. 1 (2006): 99-152.
     Karolyi, G Andrew. "Corporate Governance, Agency Problems and International Cross-Listings: A Defense of the Bonding Hypothesis." Emerging Markets Review 13, no. 4 (2012): 516-547.
     King, Michael R and Dan Segal. "The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation." Review of Financial Studies 22, no. 6 (2009): 2393-2421.
     Kumar, Alok and Charles Lee. "Retail Investor Sentiment and Return Comovements." The Journal of Finance 61, no. 5 (2006): 2451-2486.
     La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer and Robert W Vishny. "Legal Determinants of External Finance." Journal of finance, (1997): 1131-1150.
     Lemmon, Michael and Evgenia Portniaguina. "Consumer Confidence and Asset Prices: Some Empirical Evidence." Review of Financial Studies 19, no. 4 (2006): 1499-1529.
     Merton, Robert C. "A Simple Model of Capital Market Equilibrium with Incomplete Information." The journal of finance 42, no. 3 (1987): 483-510.
     Otoo, Maria Ward. "Consumer Sentiment and the Stock Market." (1999).
     Pagano, Marco, Ailsa A Röell and Josef Zechner. "The Geography of Equity Listing: Why Do Companies List Abroad?" Journal of finance, (2002): 2651-2694.
     Qiu, Lily and Ivo Welch. Investor Sentiment Measures. National Bureau of Economic Research, 2004.
     Ritter, Jay R. "Investment Banking and Securities Issuance." Handbook of the Economics of Finance 1, (2003): 255-306.
     Sarkissian, Sergei and Michael J Schill. "The Overseas Listing Decision: New Evidence of Proximity Preference." Review of Financial Studies 17, no. 3 (2004): 769-809.
     Stulz, René M. "Golbalization, Corporate Finance, and the Cost of Capital." Journal of applied corporate finance 12, no. 3 (1999): 8-25.
     Yu, Jianfeng and Yu Yuan. "Investor Sentiment and the Mean–Variance Relation." Journal of Financial Economics 100, no. 2 (2011): 367-381.		zh_TW