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| Title: | 台灣上櫃公司轉上市前後風險差異及股價行為
Risk and Price Behavior of Stocks around Exchange Listings in Taiwan |
| Authors: | 呂毓庭
Lu, Yu-Ting |
| Contributors: | 盧敬植
Lu, Ching-Chih
呂毓庭
Lu, Yu-Ting |
| Keywords: | 上櫃轉上市
股票超額報酬預測誤差及其變異數分解模型
預期報酬訊息
現金流量訊息
未預期股票超額報酬
Exchange listings
(Variance) Decomposition of Forecast Error of the Excess Stock Return Model
Expected-return news
Cash-flow news
Unexpected excess stock return |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:59:26 (UTC+8) |
| Abstract: | 台灣上櫃公司選擇申請轉換上市的公司家數日益增加，因此分析上櫃轉上市對台灣而言為關鍵的財經議題，筆者因此提出本研究，預期透過此研究瞭解台灣上櫃公司轉上市前後風險差異及股價行為。由於股票超額報酬預測誤差及其變異數分解模型，描繪預期報酬訊息與現金流量訊息對於未預期股票超額報酬的影響，亦針對樣本資料變異進行分析，切合本研究，因此本研究預期以此模型為基礎進行探究。對此，本研究結論如下。首先，上市公司在未預期股票超額報酬變異、預期報酬訊息變異、現金流量訊息變異及異常折讓變異上皆低於上櫃公司，證實上櫃公司申請轉換上市背後考量為降低公司風險程度。次之，公司上櫃轉上市後一年平均總資產報酬率顯著下降及公司上櫃轉上市前一年平均異常折讓顯著為負，證實上櫃公司傾向於總資產報酬率下滑前及股價高估時申請轉換上市。接著，公司上櫃轉上市後一年未預期股票超額報酬顯著下降，淨值市價比顯著上升，證實公司上櫃轉上市後一年未預期股票超額報酬顯著下降的主因為，公司上櫃轉上市後對公司未來淨現金流量的預期下降所致。最後，則透過研究分析結果給予公司經理人與市場投資人建議與貢獻。
Because the number of companies registered in Over-the-counter (OTC) market that choose to transfer to stock exchange market is increasing, analyzing exchange listings is a key financial issue in Taiwan. Therefore, the research is proposed to understand the risk and price behavior of stocks around exchange listings in Taiwan. Since (Variance) Decomposition of Forecast Error of the Excess Stock Return Model describes the impact of expected-return news and cash-flow news on unexpected excess stock return, and also analyzes the sample data variance, it is suitable for this research. The conclusions of this study are as follows. First of all, unexpected-return variance, expected-return-news variance, cash-flow-news variance and atypical discount variance of listed company are all lower than those of OTC company, which proves that the consideration of companies registered in OTC market transfer to stock exchange market is to reduce the company`s risk. Secondly, the company’s return on total asset (ROA) one year after exchange listings drops significantly and the average atypical discount before exchange listings is significantly negative, which prove that OTC stock tends to exchange listings before ROA declines and when the stock price is overvalued. Then OTC company’s unexpected excess stock return drops significantly and book-to-market increases significantly one year after exchange listings, which confirm that price behavior of OTC stock transfer to listed stock due to the expectation of net cash flow declines. Finally, suggestions and contributions are given to company managers and market investors through the research and analysis results. |
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| Description: | 碩士
國立政治大學
財務管理學系
110357005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110357005 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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