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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/48956
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48956


    Title: 初次上市(櫃)股票日內流動性與其首日報酬及長期績效之研究
    Study of IPO stocks` intra-day liquidity, first day return and long term performance
    Authors: 林逸修
    Contributors: 姜堯民
    Chiang,Yao Min
    林逸修
    Keywords: 流動性
    初次公開發行
    Date: 2009
    Issue Date: 2010-12-08 01:54:16 (UTC+8)
    Abstract: 本研究之樣本期間自民國94年3月1號起取消首五日漲跌幅限制後至民國98年12月31日為止所有新股上市的樣本,總計164個樣本,對初次公開發行首日流動性對與長短期績效的相關性進行研究。實證結果顯示,台灣的新股公開發行,平均首日報酬為59.9%,且t檢定顯著異於0,表示初次公開發行有明顯的折價情形,而公開發行之後的三年之間的長期調整後報酬正負互現,長期報酬t檢定不顯著異於0,並沒有證據顯示公開發行的長期績效不佳的情形。
    流動性指標對與長短期績效皆有解釋能力,買賣價差和價差百分比越高表示流動性越差,則新股上市的首日報酬越高,顯示流動性溢酬確實存在。而交易週轉率越高,首日報酬越高,顯示交易週轉率並非為流動性的代理變數,其反應的是投資人間的意見分歧程度,週轉率越高表示意見分歧程度越高,則新股上市的折價幅度會越高。而越低的承銷價格及越大的市值會有顯著較高的首日報酬。
    另外就流動性指標和長期報酬的關係,本研究發現,首筆成交秒數越長、ILLIQ值越大表示流動性越差,流動性越差會有顯著的一年期超額報酬,表示有長期績效亦有流動性溢酬的存在,而有創投支持的公司同樣也有一年期的超額報酬。
    總體來說,流動性對於初次公開發行的長短期報酬皆有影響力,當流動性越差時,短期的確會造成新股上市的折價,長期則會有流動性溢酬。
    Reference: 【中文】
    1. 吳貞和(1989),台灣證券市場流動性之行量及其影響因素之研究,中山企管所碩士論文
    2. 胡星陽(1998),流動性對台灣股票報酬率的影響, 中國財務學刊 Vol.5 No.4,1-19
    3. 郭秋榮(1990),台灣地區股票上市公司流動性與股票報酬關係之研究,政大企管所碩士論文
    4. 陳隆勛(1998),台灣上市公司股票流動性與股票報酬關聯性之研究,交大管科所碩士論文
    5. 陳柏助(2001),台灣股票市場股票報酬之時間序列研究,政大國貿所碩士論文
    6. 陳國祥(2001),台灣上市公司股票交易活動與股票報酬率之相關性-以製造業類股為例,成大企管所碩士論文
    7. 張炳川(2002),橫斷面解釋因子、價量與股票報酬之關係,清大經研所碩士論文
    8. 詹場,胡星陽(2001),流動性衡量方法之綜合評論,國家科學委員會研究彙刊 Vol 11 No3,205-221
    9. 劉玉珍(1988),最後進出喊價價差與股票報酬的關係,中山企管所碩士論文
    10. 蕭清文(2002),股票報酬與流動性溢酬的關係-以台灣股市為例,文大會研所碩士論文

    【英文】
    1. Allen, F. and G.R. Faulhaber(1989), “Signaling and underpricing in the IPO market,” Journal of Financial Economics, 23, 303-323.
    2. Amihud, Y., Mendelson, H. (1986), “Asset pricing and the bid-ask spread,” Journal of Financial Economics 17, 223-249
    3. Amihud, Y., Mendelson, H. (1986), “Liquidity and Stock Return,” Financial Analysts Journal 42, 43-48
    4. Amihud, Y. (2002), Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31-56
    5. Baron, D. P.(1982), “A model of demand for investment banking advising and distribution,” Journal of Financial Economics, 37, 955-976.
    6. Carter, R. B. and S. Manaster (1990), “Initial public offerings and underwriter reputation,” Journal of Finance, 45(4), pp. 1045-1067.
    7. Carter, R., Dark, F. H. & Singh, A. K. 1998. Underwriter reputation, initial returns, and the long-run performance of IPO stocks. Journal of Finance, 53: 285-311.
    8. Chan H.W., Faff Robert W., 2003, An investigation into the role of liquidity in asset pricing: Australian evidence, Pacific-Basin Finance Journal 11, 555-572
    9. Eleswarapu Venkat R., Reinganum Marc R. (1993), The seasonal behavior of liquidity premium in asset pricing, Journal of Financial Economics 34, 373-386
    10. Ellul, A. and M. Pagano (2006), IPO underpricing and after-market liquidity, The Review of Financial Studies 19, 381-421.
    11. Fama, E.F. and J. MacBeth (1973), Risk, Return and Equilibrium: Empirical Test, Journal of Political Economy 81, 607-636
    12. Fama, E. F. and K. R. French(1995), “Size and book-to-market factors in earnings and returns,” Journal of Finance 50, 131-155
    13. Grinblatt, M. and C. Y. Hwang (1989), “Signaling and the pricing of new issues,” Journal of Finance, 44(2), 393-420.
    14. Hasbrouck, J. and R.A. Schwartz (1988),”Liquidity and Execution Costs in Equity Markets,” Journal of Portfolio Management, 14, 10-16.
    15. Houge, Todd, Tim Loughran, Gerry Suchanek, and Xuemin Yan(2001), Divergence of opinion, uncertainty, and the quality of initial public offerings, Financial Management 30, 5–23.
    16. Ibbotson, R. G. (1975), “Price performance of common stock new issues,” Journal of Financial Economics, 2 (3), 235-272.
    17. Ibbotson, R. G. and J.F. Jaffe(1975), “Hot issue market, ” Journal of Financial,30,235-275
    18. Kyle, A.,(1985),” Continuous auctions and insider trading,” Econometrica 53, 1315–1335
    19. Lippman, S. A., and McCall, J. J. (1986). An operational measure of liquidity. The American Economic Review, 76, 43-55.
    20. Logue, D. E. (1973), “On the pricing of unseasoned equity issues: 1965-1969,” Journal of Financial and Quantitative Analysis, 8(1), 91-103.
    21. Loughran, T. and J.R. Ritter (1995), “The new issues puzzle,” Journal of Finance, 50 (1), 23-51.
    22. Loughran, T. and J.R. Ritter (2002), “Why Don`t Issuers Get Upset About Leaving Money on the Table in IPOs?” Oxford Journals, 15, 413-444.
    23. Loughran, T. and J. R. Ritter (2004), “Why has IPO underpricing changed over time? “ Financial Management, 33(3), 5-37.
    24. O`Hara, M. (1995). Market microstructure theory. Cambridge: Blackwell Publisher Inc.
    25. Ritter, J. R. (1984), “The "Hot issue" Market of 1980”. Journal of Business, 57(2), 215-240.
    26. Ritter, J. R. (1991), “The Long-Run Performance of Initial Public Offerings”. Journal of Finance, 46(1), 3-27.
    27. Rock, K. (1986), “Why new issues are underpriced”. Journal of Financial Economics, 15(1-2), 187-212.
    28. Welch, I. (1989), “Seasoned offerings, imitation costs, and the underpricing of initial public offerings,” Journal of Finance, 44, 421-449.
    Description: 碩士
    國立政治大學
    財務管理研究所
    97357003
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357003
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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