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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54589


    Title: IPO期初報酬影響因素探討： 以2005-2011年台灣上市企業為例
    The determinants of IPO initial return in Taiwan stock market (2005-2011)
    Authors: 林鼎堯
    Contributors: 李桐豪
    林鼎堯
    Keywords: IPO
    期初報酬
    分量迴歸
    贏者詛咒
    Initial Public Offering
    Quantile Regression
    Date: 2011
    Issue Date: 2012-10-30 11:24:20 (UTC+8)
    Abstract: 企業初次公開發行(IPO，Initial Public Offering)向來是股票市場炙手可熱的話題之一，在財務經濟領域中，探討股票初次上市發行的相關議題更是多如過江之鯽，而關於IPO期初報酬率影響因素之探討更可溯及至1970年代。本研究主要係探討台灣初次上市企業期初報酬率的影響因素及影響情形，並以2005年承銷新制上路以後、直至2011年的初次上市企業為研究對象，除利用傳統的最小平方法觀察影響期初報酬的因素外，有鑑於期初報酬率普遍具有右偏分配的現象，本研究亦輔以分量迴歸分析法觀察影響期初報酬的因素，經由分量值的變動，可將解釋變數影響被解釋變數的各種情形加以估計出。再來，本研究在探討期初報酬率影響因素之基礎上，以分量迴歸分析法尋找出交易準則，並進一步檢驗當投資人遵循交易準則下，是否得以獲取顯著異於同期間大盤指數之報酬績效。在上市首日買入並持有至第五日收盤賣出之案例中，以分量迴歸結果所設定之交易準則並無法為投資人帶來顯著優於大盤指數之報酬水準；然而，在上市首日買入並持有至第二十日收盤賣出之案例，以分量迴歸結果所設定之交易準則卻可為投資人帶來顯著優於大盤指數之報酬水準。總體而言，本研究試圖將近年影響台灣企業IPO期初報酬率之因素加以剖析，進而從中尋找一些潛在規則，讓投資人得以一窺初級市場的變化及其所可能帶來之潛在獲利良機。
    Reference: 一、中文參考文獻
    1.林象山(1995)，「承銷商信譽對新上市股票之影響」，中國財務學刊，3卷1期，119-143。
    2.李榮鎮、蔡佩靜、林純夷(2010)，「台灣初次上市上櫃公司股價長短期表現之研究」，台灣銀行季刊，62卷1期，193-222。
    3.陳軒基、葉秀娟、陳右超(2003)，「承銷制度與折價幅度：台灣初次上市櫃股票股票之實證分析(1980~2000)」，證券市場發展季刊，14卷4期，175-198。
    4.陳安琳、李文智、林宗源(1999)，「新上市公司股票之發行折價─代理成本與公司控制之研究」，中國財務學刊，6卷3期，1-23。
    5.高蘭芬、盧正壽(2010)，「發行市場投資風險之探討─IPOs初始報酬變異觀，中山管理評論，18卷1期，211-249。
    6.李建興(2008)，「台灣IPO折價影響因素之探討：分量迴歸分析法」，證券市場發展季刊，20卷1期，47-100。
    7.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，14卷3期，403-436。

    二、英文參考文獻
    1.Aggarwal, R. and R. Kunz (1994), “Why initial public offerings are underpriced: evidence from Switzerland,” Journal of Banking and Finance, Vol. 18, 705-723.
    2.Allen, F., and Faulhaber, G. R. (1989), “Signalling by underpricing in the IPO market,” Journal of Financial Economics, Vol. 23, 303-323.
    3.Balvers, R. J., McDonald, B., and Miller, R. E. (1988), ”Underpricing of new issues and the choice of auditor as a signal of investment banker reputation,” The Accounting Review, Vol. 63, 605-622.
    4.Beatty, R. P. (1989), “Auditor reputation and the pricing of initial public offerings,” The Accounting Review, Vol. 64, 693-709.
    5.Baron, D. P. (1982), “A model of the demand for investment banking advising and distribution,” Journal of Finance, Vol. 37, 955-976.
    6.Beatty R. P. and J.R. Ritter (1986), “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings,” Journal of Financial Economics, vol. 15, 213-232.
    7.Benveniste, L. M. and Spindt, P. A. (1989), “How investment bankers determine the offer price and allocation of new issues,” Journal of Financial Economics, Vol. 24, 343-361.
    8.Carter, R., F. Dark and A. Singh (1998), “Underwriter reputation, initial returns, and the long-run performance of IPO stocks,” Journal of Finance, Vol. 53, 285-311.
    9.Carter, R. and S. Manaster (1990), “Initial public offerings and underwriter reputation,” Journal of Finance, Vol. 45, 1045-1067.
    10.Derrien, F. and K. L. Womack (2003), “Auction v.s. Bookbuilding and the Control of Underpricing in Hot IPO Market,” Review of Financial Studies, Vol. 16, 31-61.
    11.Huang, Y. S. (1999), “The Price Behavior of Initial Public Offerings on the Taiwan Stock Exchange,” Applied Financial Economics, Vol. 9, No.2, 201-208.
    12.Ibbotson, R. G., and Jaffe, J. J. (1975), “’Hot issue’ market,” Journal of Finance, Vol. 30, 1027-1042.
    13.Johnson, J. M., and Miller, R. E. (1988), “Investment banker prestige and the underpricing of initial public offerings,” Financial Management, Vol. 17, 19-29.
    14.Lee, P. J., Taylor, S. L., and Walter, T. S. (1996), “Expected and Realized Returns for Singaporean IPOs: Initial and Long-run Analysis,” Pacific-Basin Finance Journal, Vol. 4, No.2-3, 153-180.
    15.Lowry, M. and Schwert, G. W. (2002), “IPO Market Cycles: Bubbles or Sequential Learning,” Journal of Finance, Vol.57, No.3, 1171-1200.
    16.Megginson, W. and K. Weiss (1991), “Venture capitalist certification in initial public offerings,” Journal of Finance, Vol. 46, 879-903.
    17.Mohammed, O. (2005), “Underpricing and Long-run Performance of Share Issue Privatizations in the Egyptian Stock Market,” Journal of Financial Research, Vol. 28, No. 2, 215-234.
    18.Ritter, J. R. (1984), “The ‘Hot Issue’ Market of 1980,” Journal of Business, Vol. 57, 215-240.
    19.Rock, K. (1986), “Why new issues are underpriced,” Journal of Financial Economics, Vol. 15, 187-212.
    20.Titman, S., and Trueman, B. (1986), “Information quality and the valuation of new issues,” Journal of Accounting and Economics, Vol. 8, 159-172.
    21.Vong, P. I. and Trigueiros D. (2010), “The short-run price performance of initial public offerings in Hong Kong: New evidence,” Global Finance Journal, Vol. 21, 253-261.
    22.Welch, I. (1989), “Seasoned offerings, imitation costs and the underpricing of initial public offerings,” Vol. 44, 421-449.
    23.Yu, T. and Y. K. Tse (2006), “An Empirical Examination of IPO Underpricing in the Chinese A-Share Market,” China Economic Review, Vol. 17, 363-382.
    Description: 碩士
    國立政治大學
    金融研究所
    99352006
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0993520061
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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