Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/63164
|
| Title: | 更換主辦輔導推薦證券商對興櫃掛牌公司 及上市櫃後期初報酬率之影響
How does the replacement-of-leading-securities effect the IPO initial return |
| Authors: | 鄭聖儒 |
| Contributors: | 姜堯民
鄭聖儒 |
| Keywords: | 興櫃市場
主辦輔導推薦證券商
事件研究法
期初報酬率
Emerging market
leading counseling securities
event study
initial return |
| Date: | 2012 |
| Issue Date: | 2014-01-02 13:27:40 (UTC+8) |
| Abstract: | 鑒於興櫃市場股票交易逐漸熱絡，投資人愈趨關注該市場的相關事件，本研究以興櫃市場中受輔導之公司為樣本、更換主辦輔導推薦證券商為研究事件，探討有更換券商之情事的樣本公司，在事件發生前後是否存有異常報酬，並接續研究這些公司成功上市櫃後，期初報酬率是否顯著異於未有更換之情事發生的新上市櫃公司，進而判斷「更換主辦輔導推薦證券商」事件是否為影響期初報酬率的其中一項因子。
本研究以事件研究法分析事件發生日前後是否存在顯著異常報酬，雖然不論是平均異常報酬率或累積平均異常報酬率都呈下降趨勢，但統計檢定結果顯示並未顯著異於零，因此可判定投資人對於更換主辦券商之情事有負面的反應，但反應程度並不顯著，沒有賺取超額報酬的機會。本研究另外設計多元迴歸模型觀察各項自變數，包含是否更換過主辦輔導推薦證券商、上市或上櫃公司、公司規模、發行總金額、內部人持股比例、平均中籤率、產業別、發行公司年齡等，對期初報酬率的解釋能力，實證結果顯示，平均中籤率愈低、內部人持股率愈高、有更換過主辦輔導推薦券商的公司會有較高的期初報酬率，投資人可依上述三項公司性質作為選取股票的參考。
In view of the stock trading in “Emerging Market” is becoming more and more popular, Investors are concerned with related event or information about the market. I selected several companies traded in Emerging Market as samples, leading counseling securities replacement as the research event, investigating the sample companies with replacement and whether the abnormal return exists before or after the event happened. I also tracked these sample companies until IPOs, testing the statistical significance of initial return to judge if the “replacement-of-leading-securities” event is one of the factors explaining the existence of initial return.
I used event study to test the significance of abnormal return. Both the average abnormal return and the cumulative average abnormal return display a downturn trend during event window, not statistical significant though. Based on the result, I presume the investors have adversely impact on the replacement event, but the impact is not remarkable. There’s no chance to gain the abnormal return. Besides, I set a multiple regression to test the coefficient of each control variable. The empirical result implied that the average success rate, the shareholding ratio of insiders and the companies with replacement event influence the initial return significantly. Investors could follow those three company characters as reference of choosing stocks. |
| Reference: | 1. 沈中華、李建然，2000，"事件研究法"，台北：華泰出版社
2. 林象山、薛富井、陳長利，1999，"新股訂價偏誤對承銷商公司價值的影響"，管理評論，18(1)，99-111。
3. 洪榮華、劉永欽、王天益，2005，"重大事件對股價行為影響之研究：台灣股票市場之實證"，企銀季刊，28(1)，17-36。
4. 馬黛、胡德中，2003，"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。
5. Allen, F.and G.Faulhaber, 1989, " Signaling by Underpricing in the IPO Market," Journal of Financial Economics, Vol. 23, pg. 303-323.
6. Baron, D.P., 1982, "A Model of Demand for Investment Banking Advising and Distribution Services for New Issue," The Journal of Finance, Vol. 37, pg.955-976.
7. Baruch, Y., 1997, "High technology organization - What it is, what it isn`t," Internal Journal of Technology Management, Vol.13, NO.2, pg. 179-195.
8. Beatty, R. and J. Ritter, 1986, "Investment Banking, Reputation, and theUnderpricing of Initial Public Offerings," Journal of Financial Economics, 15, pg. 213-232.
9. Benvenisite, L.M. and P.A. Spindt, 1989, "How investment bankers determine the offer price and allocation of new issues," Journal of Financial Economics, vol. 24, no. 2, pg. 343-361.
10. Booth, James R. and Richard Smith, 1986, "Capital raising, underwriting and the certification hypothesis," Journal of Financial Economics, 15, pg.261-281.
11. Carter, R. and M. Steven, 1990, "Initial Public Offerings and Underwriter Reputation", The Journal of Finance, Vol. 45, No. 4, pg. 1045-1067
12. Carter, R. B., Dark, F. H. and Singh, A. K., 1998, "Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks," Journal of Finance, 53, pg.285-311.
13. Howton, S. D., S. W. Howton and G. T. Olson, 2001, "Board Ownership and IPOs Returns," Journal of Economics and Finance, Vol. 25, pg.100-114.
14. Ibbotson, R. and J. Jaffe, 1975,"Hot Issue Markets," Journal of Finance, Vol. 30, pg.1027-1042.
15. Ibbotson, R., 1975, "Price Performance of Common Stock New Issues," Journal of Financial Economics, Vol. 2, pg. 235-272
16. Krigman, L., Shaw, W.H., Womack, K.L., 1999, "The persistence of IPO mispricing and the predictive power of flipping", Journal of Finance, Vol.54, No. 3, pg. 1015-1044.
17. Kutsuna, K. and R. Smith, 2000, "How IPO pricing method affects underpricing and issue cost: evidence on japan`s change from auction method pricing to book-building," unpublished manuscript.
18. Ma, T. and C. Y. Hong, 1998, "The issuer`s decision of IPO mechanism: fixed price versus auction," Unpublished manuscript.
19. Mackinlay, A.C., 1997, "Event Studies in Economics and Finance," Journal of Economic Literature, Vol.35, pg.13-39.
20. McDonald, J.G. and A.K. Fisher, 1972, "New-Issue Stock Price Behavior," The Journal of Finance, Vol. 27, No. 1 , pg. 97-102.
21. Reilly, F. K. and K. Hatfield, 1969, "Investor experience with new stock issues," Financial Analysts, pg.73-80.
22. Ritter, J., 1984, "The Hot Issue Market of 1980," Journal of Business, Vol. 57, pg.215-240.
23. Ritter, J.R., 1991, "The Long-run Performance of Initial Public Offerings," Journal of Finance, Vol. 46, pg. 3-27.
24. Rock, K., 1986, "Why New Issues Are Underpriced," Journal of Financial Economics, Vol.15, pg.187-212.
25. Sherman, A. E., 2000, "IPOs and Long-Term Relationships: An Advantage of Book Building," Review of Financial Studies, 13, pg.697-714.
26. Su, C. and Bangassa, K., 2011, "Underpricing and Long-Run Performance of Chinese 23 IPOs: The Role of Underwriter Reputation," Financial Markets and Portfolio Management, 25, pg. 53-74.
27. Titman, S., and B. Trueman, 1986, "Information quality and the valuation of newissues," Journal of Accounting and Economics, 8, pg. 159-172.
28. Welch, I., 1989, " Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offering," Journal of Finance, Vol. 44, pg. 421-449 |
| Description: | 碩士
國立政治大學
財務管理研究所
100357036
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0100357036 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
There are no files associated with this item.
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
