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| Title: | 承銷方式.投資者意見差異與上市績效
IPO method,divergence of opinions and the performance |
| Authors: | 吳筱婷 |
| Contributors: | 姜堯民
吳筱婷 |
| Keywords: | 承銷方式
投資者意見差異
初次公開發行
公開申購
競價拍賣 |
| Date: | 2006 |
| Issue Date: | 2009-09-17 19:21:06 (UTC+8) |
| Abstract: | 本篇論文係以台灣新上市股票作為研究對象，欲檢驗「投資者意見差異變數」
對於股票長短期績效之解釋能力，使用相似之「投資者意見差異變數」，是否同樣可以合理解釋台灣新上市股票市場的現況，台灣的實證是否同樣支持Miller所提出的假設。並進而探討在不同承銷制度下，是否會影響「投資者意見差異變數」對於上市績效之解釋能力與影響方向。
研究使用「蜜月期天數」、「買賣價差百分比」與「新股蜜月期間周轉率」三者作為「投資者意見差異程度」之代理變數，研究結果發現：此三變數在排除公司特性、發行市場現況等控制變數的影響部分之後，其餘無法被控制變數所解釋的部分，確實對於新上市股票之長短期報酬具有解釋能力，且各意見差異變數與新股短期報酬率之間存有正向關係，而與一年至三年之長期持有報酬率間存有反向關係，此研究結論相當支持Miller假設，除此之外，研究並發現：不同新股承銷制度不會顯著地影響投資者意見差異程度，且若使用公開申購與競價拍賣兩種不同的新股配售方式，僅會影響「投資者意見差異變數」與「新股長期報酬」的影響程度與方向。
This paper focus on the Taiwan’s IPOs and tries to test the direct relationship between “ divergence of opinions ” and “ the short- run and long- run performance of the initial public offerings (IPOs). ” We use several similar variables to explain the situation of Taiwan’s stock market and find out if data can support the Miller’s hypothesis. Besides, we want to discuss the relationship between “ IPO method ” and “ divergence of opinions ”. We check that different IPO method will have influence on the explanatory power of the “ divergence of opinions”.
We use three different variables：“ the number of the honey moon date”, “ the percentage of bid-ask spread ” and “ the turnover rate during the honey moon” as the proxies of the divergence of opinions. The research result finds out that three proxies can truly provide significant explanatory power of the short-run and long-run performance of the IPOs after controlling for issue quality. The results support Miller ( 1977 ), who suggests that greater divergence of opinions or uncertainty about an IPO can generate short-run overvaluation and long-run underperformance. In other words, the divergence of opinions have positive relationship with the initial return and negative relationship with the long run holding period return of IPOs. Besides, the two IPO method ( fixed-price offerings and discriminatory auction ) will only change the long run relationship. |
| Reference: | Ann E. Sherman, 2003, Global trends in IPO methods: Book building versus auctions, Working paper, University of Notre Dame.
Edward Miller, 1977, Risk, uncertainty, and divergence of opinion, Journal of Finance, 32, 1151-1168. 67
Francois Derrien and Kent L. Womack, 2003, Auction vs. bookbuilding and the control of underpricing in hot IPO markets, Review of Financial Studies, 16, 31-61.
Jay R. Ritter and Ivo Welch, 2002, A review of IPO activity, pricing and allocation, Journal of Finance, 57, 1795-1828.
Ji-Chai Lin, Yi-Tsung Lee, and Yu-Jane Liu, 2003 ,“Why Have Auctions Been Losing Market Shares to Bookbuilding in IPO Markets?,” working paper, 1-53.
Laurie Krigman, Wayne H. Shaw and Kent L. Womack, 1999, The persistence of IPO mispricing and the predictive power of flipping, Journal of Finance, 54, 1015-1044.
Omer Pamukcu, 2003, Accruals and divergence of investors’ opinions, Journal of Finance.
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Thomas J. Chemmanur and Mark H. Liu, 2002, How should a firm go public? A dynamic model of the choice between fixed-price offerings and auctions in IPOs and privatizations, Working paper, Boston College.
Yu-Jane Liu and Gwohorng Liaw, 2003, On the demand elasticity of initial public offerings: An analysis of discriminatory auctions. International Review of Finance, 2, 151-178.
林象山、許清華（民86），新上市股承銷方式的選擇，中國財務學刊，第五卷第一期，19-41。
洪崇文 （民93），承銷機制的選擇－理論與實證，政治大學財務管理研究所博士論文。
夏侯欣榮（民82），台灣地區IPO 承銷價格之研究，政治大學企管研究所未出版之博士論文。
馬黛、胡德中 （民92），承銷配售機制之決定及其對IPO折價之影響：競價拍賣、詢價圈購與公開申購，財務金融學刊，第十一卷第一期，1-40。
陳軒基、葉秀娟與陳右超 （民92），承銷商與折價程度：台灣初次上市櫃股票之實證分析，證券市場發展季刊，第十四卷第四期，175-198。
劉郁純（民81），我國新上市股票承銷價格決定因素之實證研究，政治大學會計學研究所碩士論文。
顏吉利、林純瓊與陳秀亮 （民78），股票上市、中籤率與超額報酬，證券市場發展季刊，第一卷第一期，92-101。
魏恒祥（民86），台灣地區新上市股票承銷價格低估及其影響因素之實證研究，淡江大學管理科學研究所碩士班碩士論文。 |
| Description: | 碩士
國立政治大學
財務管理研究所
94357024
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094357024 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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