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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30980
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30980


    Title: 新上市股票與原股票之互補替代研究-以聯電、台積電、精英與大陸工程為例
    A Case Study on Substitutability and Complementarity of IPOs
    Authors: 蔣璧雲
    Contributors: 周行一
    蔣璧雲
    Keywords: 互補效果
    替代效果
    多角化
    熟悉度
    規模
    流動性
    Date: 2006
    Issue Date: 2009-09-14
    Abstract: 本研究想探討新上市股票到底吸引哪些投資人,是依據財務理論為達到分散風險而多角化,還是純粹因為投資人對於某些產業類別的資訊比較熟悉,因此只偏好集中投資某些產業股票,導致產生同時交易的”互補效果”。

    隨著市場發展到某個階段投資人必然要尋找替代品,即價格更低的類似股票,這種“替代效果”使市場更趨於理性。台灣股市是否有新股對舊股的替代效果,導致投資人產生明顯的“喜新厭舊”情結。由於常發生新股上市後漲幅較大,是否因此增強投資人對新上市股票的興趣,使投資人資金配置跟著往新上市股票傾斜。

    本文資料期間為1990年到2004年,由於聯電上市日期較早,又聯電與台積電同屬晶圓代工最常被比較,另外選了上市日期與台積電接近的公司作為對照,分別為電子股的精英與營建股的大陸工程為樣本。

    以拓展整體市場的投資人數為目的,台積電吸引比較多新股上市前已經存在市場交易過的投資人;另外在這三家新上市公司的總投資人數中,台積電的新加入市場投資人比重最大。以三家新上市股票與聯電關係之比較,對本文所定義之互補性與替代性有顯著一致皆為正向影響之變數為Size與Turnover;當納入產業作為熟悉度的代理變數時也同為顯著正向影響。若再先以是否持續交易聯電投資人是否交易三家新上市股票投資人,兩群追蹤比對發現,仍然是台積電有較高的互補性與替代性。
    Reference: 1. Atiase, R. K. 1985.Predisclosure information, Firm capitalization, and security price behavior around earnings announcements. Journal of Accounting Research 23 : 21-36.
    2. Barberis, N., A. Shleifer, and R. Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307–343.
    3. Bloomfield, R., and J. Hales, 2001, Predicting the next step of a random walk: Experimental evidence of regime-shifting biases, Johnson School, Cornell University.
    4. Fama, E. F., and K. R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427–465.
    5. Hausman, J. A., 1978 , “Specification Tests in Econometrics,” Econometrica, 46, , 1251-1271.
    6. Heath, C., and A. Tversky, 1991, “Preferences and Beliefs: Ambiguity and Competence in Choice Under Uncertainty,” Journal of Risk and Uncertainty, 4, 5–28.
    7. Huberman, Gur, 2001, “Familiarity breeds investment,” Review of Financial Studies, 14, 659-680.
    8. Lakonishok, J., A. Shleifer, and R. W. Vishny, 1994, Contrarian investment, extrapolation and risk, Journal of Finance 49, 1541–1578.
    9. Merton, R.C., 1987, “A Simple Model of Capital Market Equilibrium with Incomplete Information”, The Journal of Finance, 42, 483-510.
    10. Ritter, Jay R. and Ivo Welch, 2002, A Review of IPO Activity, Pricing, and Allocations. Journal of Finance 57, No. 4, 1795-1828.
    11. Shefrin, H., and M. Statman, 1995, Making sense of beta, size, and book-to-market, Journal of Portfolio Management 21, No. 2, 323–349.
    12. Subrahmanyam, A., Titman, S., 1999, The going public decision and the development of financial markets. Journal of Finance 54, 1045-1082.
    Description: 碩士
    國立政治大學
    財務管理研究所
    93357018
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093357018
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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