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| Title: | 美國首次公開發行股票市場長期報酬實證研究
Empirical Research on the Long-Run Performance of the US IPO Market |
| Authors: | 鄭羽涵
Cheng, Yu-Han |
| Contributors: | 徐政義
Shiu, Cheng-Yi
鄭羽涵
Cheng, Yu-Han |
| Keywords: | 異常報酬
橫斷面異常報酬
美國
Fama and French
United States
IPO
Abnormal return
Cross-sectional stock returns |
| Date: | 2023 |
| Issue Date: | 2023-08-02 13:13:57 (UTC+8) |
| Abstract: | 「新股之謎」是一個長期以來存在於學界的難題，對於首次公開發行(IPO) 公司的長期績效，存在著眾說紛紜的觀點。過去的研究文獻主要集中在 2000 年 前後，發現美國 IPO 市場長期報酬表現不佳。因此，本研究旨在探究近 20 年來 美國 IPO 市場的長期績效情況，以驗證是否仍存在長期績效不佳的情況。
傳統上，研究常採用事件研究法來檢定是否存在異常報酬;近年來，曆時 法的應用興起，IPO 市場可分為熱市和冷市兩種情況，研究發現熱市下的 IPO 長期報酬普遍不佳，若大量的 IPO 集中於某一時點上市，這些 IPO 公司中容易 藏匿著品質較差的公司，而採用曆時法可以解決 IPO 集中上市的問題。
本研究將利用事件研究法，檢視 2002 年至 2019 年 1,622 家美國 IPO 公司 之長期績效，以驗證是否仍存在異常報酬，再利用 CAPM 單因子模型以及 Fama-French 多因子模型進行歸因。
本研究結果顯示，2002 年至 2019 年美國 IPO 新股投資組合 36 個月報酬率 並無顯著異常報酬跡象，且因子模型可以有效地解釋 2002 年至 2019 年美國 IPO 新股投資組合平均月報酬。
"The Puzzle of Initial Public Offerings (IPOs)" has been a longstanding challenge in academia, with conflicting views on the long-term performance of IPO companies. Previous research primarily focused on the period around 2000 and found poor long-term returns in the US IPO market. Therefore, this study aims to explore the long-term performance of the US IPO market in the past 20 years to verify whether poor long-term performance still exists.
Traditionally, event study methodology has been used to examine the presence of abnormal returns. In recent years, the application of calendar-time portfolio methodology has emerged. The IPO market can be categorized into hot and cold markets, and it has been found that IPOs in hot markets generally exhibit poor long- term returns. When a large number of IPOs concentrate in a particular period, it tends to include lower-quality firms. The calendar-time portfolio methodology can address the issue of clustered IPOs.
In this study, we will employ event study methodology to examine the long-term performance of 1,622 US IPO firms from 2002 to 2019, in order to verify the presence of abnormal returns. Additionally, we will use the CAPM single-factor model and the Fama-French multi-factor model for attribution analysis.
The results of this study indicate that there is no significant evidence of abnormal returns in the 36-month returns of the US IPO portfolio from 2002 to 2019. Furthermore, the factor models can effectively explain the average monthly returns of the US IPO portfolio from 2002 to 2019. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
110351036 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110351036 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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