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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31005


    Title: 台資企業香港上市折價現象與報酬研究
    IPO UNDERPRICING AND RETURN STUDY OF HONG KONG LISTED TAIWANESE COMPANIES
    Authors: 吳國鴻
    Wu, Kuo Hung
    Contributors: 姜堯民
    吳國鴻
    Wu, Kuo Hung
    Keywords: 台資企業香港上市
    上市折價現象
    股價報酬
    Date: 2007
    Issue Date: 2009-09-14 09:02:47 (UTC+8)
    Abstract: 台資企業赴港上市是否有折價發行現象？影響折價幅度的因素為何？赴港上市的台資企業三個月、六個月、九個月以及一年報酬又受到哪些因素影響？本研究以2001年至2007年為止赴香港上市的台資企業為研究對象，得出31家樣本公司初次公開發行之平均原始報酬率（raw return）為7.228%，經香港恆生指數調整後的平均折價幅度(adjusted return)為7.276%，顯示台資企業赴港上市的確存在著折價發行的現象。迴歸分析之研究結果與Ejara and Ghosh（2004）結論一致，有在台上市櫃母公司的台資企業，折價幅度顯著低於無在台上市櫃母公司之台資企業。此外，香港股市景氣以及前一檔台資企業的首日超額報酬皆為影響下一檔台資企業折價幅度的顯著因子。實證結果也指出選擇台灣承銷商之台資企業，折價幅度顯著大於選擇其他承銷商之公司。

    　　樣本經香港恆生指數調整後之三個月、六個月、九個月以及一年報酬率方面，全體樣本超額報酬之中位數於發行後三個月、六個月，一年以及發行後兩年與三年分別為-1.03%、-8.66%、4.88%、-2.28%以及-24.88%，顯示整體台資企業表現落後香港恆生指數。迴歸結果則顯示，發行規模較大的台資企業三個月、六個月、九個月以及一年報酬率顯著較高。
    Reference: 一、中文部份
    朱立倫，1995，「台灣股市新上市股票蜜月期現象之研究」，證券市場發展季刊第九卷第一期
    林象山，1995，「承銷商信譽對新上市股票之影響」，中國財務學刊第三卷第一期
    林幸宜，2006，「中國企業在香港IPO之報酬分析」，中興大學高階經理人碩士在職專班未出版碩士論文
    洪振虔、吳欽杉與陳安琳，2003，「新上市公司股票刻意偏低定價之影響因素－隨機前元模式的運用」，管理學報第二十卷第一期
    陳安琳，1997，「新上市公司股票相關之理論與實證文獻回顧」，管理學報第十四卷第三期
    陳軒基、葉秀娟與陳右超，2003，「承銷商與折價幅度：台灣初次上市（櫃）股票之實證分析（1980~2000）」，證券市場發展季刊第十四卷第四期
    康曉龍，2004，「台商回台或赴港上市面面觀」，貨幣觀測與信用評等2004年11月
    張國蓮，2006，「台資企業香港上市動機與T-Shares的績效」，政治大學經營管理碩士學程未出版碩士論文
    廖書緯，2006，「比較香港、台灣和新加坡證券市場環境對台商上市之影響」，淡江大學中國大陸研究所未出版碩士論文
    顧廣平，2003，「台灣新上市股票短期與長期績效之再探討」，証券市場發展季刊第一十五卷第一期
    嚴珮華，2006，「影響台商企業赴香港上市股價表現因素之研究」，台灣科技大學管理研究所未出版碩士論文
    二、英文部分
    Allen, F. and Faulhaber, G.R., 1989, “Signalling and underpricing in the IPO market,” Journal of Financial Economics 23, 303-323.
    Banz, R.W., 1981, “The relationship between return and market value of common stocks,” Journal of Financial Economics 9(1), 3-18.
    Baron, D. P., 1982, “A model of demand for investment banking advising and distribution,” Journal of Financial Economics 37: 955-976.
    Beatty, R.P. and Ritter, J.R., 1986, “Investment banking, reputation, and the underpricing of IPOs,” Journal of Financial Economics 15, 213-232.
    Block, S. and M. Stanley, 1980, “The financial characteristics and price movement patterns of companies approaching the unseasoned securities market in the late 1970s,” Financial Management 9: 30-60.
    Carey, P. and Steen, A., 2006, “Changing condition in the Hong Kong new issues market,” Pacific-Basin Finance Journal, 14, 484-500.
    Carter, R. and Manaster, S., 1990, “ IPOs and underwriter reputation,” The Journal of Finance 45, 1045-1067.
    Carter, R., Dark, F. and Singh, A., 1998, “Underwriter reputation initial returns, and the long run performance of IPO stocks,” Journal of Finance 53 (1), 285-311.
    Cheng, T.Y., 1998, “The underpricing of IPOs in Hong Kong,” The Tenth Annual Conference of Accounting Academics, Hong Kong.
    Chong, T.T-L, S. Yuan and I.K-M. Yan. 2006, “An examination of the underpricing of H-share IPOs in Hong Kong,” working paper.
    Derrien, F. and Womack, K.L., 2003, “Auctions vs. bookbuilding and the control of underpricing in hot IPO markets,” Review of Financial Studies 16 (1), 31-61.
    Ejara, D. D., Ghosh, C., 2004, “Underpricing and aftermarket performance of American depositary receipts (ADR) IPOs,” Journal of Banking & Finance 28 3151-3186.
    Fama, E. F. and K. R. French, 1995, “Size and book-to-market factors in earnings and returns,” Journal of Finance 131-115.
    Grinblatt, M. and C. Hwang, 1989, “Signaling and the pricing of new issues,” Journal of Finance 44, 393-420.
    Helwege, J. and Liang, N., 2004, “Initial public offerings in hot and cold markets,” Journal of Financial and QuantitativeAnalysis 39, 541-569.
    How, J., Izan, H.Y. and Monroe, G.S., 1995, “Differential information and the underpricing of initial public offerings: Australia evidence,” Accounting and Finance 5 (1), 87-105.
    Ibbotson, R.G., Sindelar, J.L. and Ritter, J.R., 1994, “Initial public offerings,” Journal of Applied Corporate Finance 1, 37-45.
    Jaggi, B., 1997, “Accuracy of forecast information disclosed in the IPO prospectuses of Hong Kong firms,” International Journal of Accounting 32 (3), 301-319.
    Lerner, J., 1994, “Venture capitalists and the decision to go public,” Journal of Financial Economics 35, 293-316.
    Logue, D., 1973, “On the pricing of unseasoned equity issues,” Journal of financial and quantitative analysis 8: 91-103
    Loughran, T. and Ritter, J.R., 1995, “The new issues puzzle,” Journal of Finance 50 (1), 23-51.
    Loughran, T., Ritter, J.R. and Rydqvisy, K., 1994, “Initial public offerings: international insights,” Pacific basin Finance Journal 2, 165-199.
    McGuinness, P., 1992, “An examination of the underpricing of IPOs in Hong Kong 1980-90,” Journal of Business Finance and Accounting 19, 165-186.
    Meurer, C. and Ho, W.Y., 2006, “IPO underpricing in Hong Kong: A sectoral perspective,” working paper.
    Ritter, J.R., 1984, “The “Hot Issue” market of 1980,” Journal of Business 57, 215-240.
    Ritter, J.R., 1991, “The Long-Run Performance of Initial Public Offerings,” Journal of Finance 42, 365-394
    Ritter, J.R., 1998, “Initial public offerings,” Contemporary Finance Digest 2, 5-30.
    Ritter, J.R., and Welch, I., 2002, “A review of IPO activity, pricing, and allocation,” Journal of Finance 57, 1795-1828.
    Rock, K.R., 1986, “Why issues are underpriced,” Journal of Financial Economics 15, 187-212.
    Schiak, R. and Ruiter, H., 1996, “Underpricing on the stock exchange of Hong Kong: a cross sectional analysis,” Free university Amsterdam, Serie Research Memoranda 0043.
    Titman, S. and B. Trueman, 1986, “Information quality and the valuation of new issues,” Journal of aqccounting and economics 8: 159-172
    Welch, I., 1989, “Seasoned offerings, imitation costs, and the underpricing of initial public offerings,” Journal of Finance 44, 421-449.
    Wilhelm, W., Benveniste, L. and Busaba, W., 2002, “Information externalities and the role of underwriters in primary equity,” Journal of Financial Intermediation 11 (1), 61-86.
    Description: 碩士
    國立政治大學
    財務管理研究所
    95357015
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357015
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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