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Title:	首次公開發行公司股票之初始報酬率與新聞情緒分析之關聯性研究 THE ASSOCIATION BETWEEN IPO INITIAL RETURN AND NEWS SENTIMENT ANALYSIS
Authors:	洪湘綺 Hong, Siang Ci
Contributors:	諶家蘭 Seng, Jia Lang 洪湘綺 Hong, Siang Ci
Keywords:	首次公開發行異常報酬新聞情緒情緒分析 Initial public offerings Abnormal returns News sentiment Sentiment analysis
Date:	2016
Issue Date:	2016-07-20 16:40:31 (UTC+8)
Abstract:	本篇研究專注於首次公開發行公司上市櫃初始交易日之異常報酬與新聞情緒兩者間之關係。本研究建立情緒字典以判別新聞之正負情緒,並過濾出與首次公開發行有關之新聞,利用本研究建立之情緒字典以過濾出正負情緒之詞組。利用正負情緒詞組數量計算出三種新聞情緒變數,並採實證研究方法檢測三種新聞情緒變數與首次公開發行公司之初始交易日之異常報酬兩者間之關係。根據本研究之實證結果, 發現初始交易日之前的新聞能影響首次公開發行之異常報酬,而相關新聞之情緒語調亦和異常報酬有關。此外,本研究亦檢測三種情緒變數和三種傳統變數之交乘項對異常報酬之影響,發現公司規模大小與首日交易量與情緒變數之交乘項會對初始交易日之異常報酬有影響。總言論之,本研究對新聞會影響首次公開發行初始交易日之異常報酬提供了實證證據。 This study focuses on the relation between IPOs’ abnormal returns on initial trading days and news sentiment. To identify the tone of news, sentiment dictionary was established for this study, and news regarding IPO firms was picked out to count positive and negative words and phrases based on the sentiment dictionary. Using quantities of positive and negative words and phrases, three news variables were adopted and calculated. And linear regression was utilized to investigate the relation between IPOs’ abnormal returns on initial trading days and news sentiment. According to empirical results, I find that news prior to the IPO’s initial trading day can affect IPOs’ abnormal returns. The number of negative words and phrases is negatively related to the abnormal returns; the tone of news is positively related to the abnormal returns. Furthermore, I also investigated whether interaction terms of news variables and three control variables are related to abnormal returns on IPOs’ initial trading days. I find that interaction terms of the natural logarithm of firm size and two news variables and interaction terms of the natural logarithm of first-day trading volume and two news variables are related to abnormal returns. Overall, there is evidence that news can influence IPOs’ abnormal returns on initial trading days.
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Description:	碩士國立政治大學會計學系 103353020
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0103353020
Data Type:	thesis
Appears in Collections:	[Department of Accounting] Theses

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