本文之研究期間為1999年1月至2009年12月為止，以129家於這段期間首次納入MSCI成分股的台灣上市(櫃)公司為研究對象，主要是探討其首次納入MSCI成分股後之長期投資績效與長期營運績效。 長期投資績效分析結果顯示無論採用何種方法衡量，所獲取之長期平均異常績效均為負值，且投資者若於公司首次納入MSCI成分股時購買股票且長期持有，其平均報酬劣於基準之平均報酬。 長期營運績效之分析結果顯示台灣上市(櫃)公司於首次納入MSCI成分股後，其平均獲利能力是呈現逐年衰退之現象，但顯著優於同產業，即其獲利能力相對較佳。惟首次納入MSCI成分股公司之總資產週轉率卻呈現下降趨勢，即無法提高資產之使用效率。最後，結果顯示台灣上市(櫃)公司於首次納入MSCI成分股後，其平均資本結構並未出現顯著之變化。 This research covers 129 companies which are listed Taiwan Stock Exchange Corporation and the Over-the-Counter Market (TSEC&OTC) between January,1999 and December,2009.This thesis aims to discuss the these companies which first time included in the MSCI constituents of Taiwan long-term investment performance and long-term operating performance. Long-term investment performance analysis showed that no matter what method to measure the long-term average abnormal performance are often obtained in the negative, and if investors buy holds in the company for the first time included in the MSCI constituent time and long-term holding, the average return is inferior to the reference the average compensation. The empirical results showed that the long-term operating performance of Taiwan’s listed (TSEC&OTC) companies included in the MSCI after the first constituent, the average profitability is a phenomenon by year of recession, but significantly better than the industry, that is, its profitability is relatively better. But for the first time included in the MSCI constituent companies had total assets turnover ratio has shown a downward trend that can not raise the utilization rate of the asset. In the end, the results show that Taiwan’s listed (TSEC&OTC) companies included in the MSCI after the first constituent, the average capital structure has no significantly changes in Taiwan.
