1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Theses
  5. Item

學術產出-Theses

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

  • No doi shows Citation Infomation
題名 興櫃轉上市櫃公司股票抑價與財經新聞情緒分析之關聯性研究
THE ASSOCIATION BETWEEN IPO UNDERPRCING AND FINANCIAL NEWS – A SENTIMENT ANALYSIS APPROACH
作者 楊璧華
Yang, Pi Hua
貢獻者 諶家蘭
Seng, Jia Lang
楊璧華
Yang, Pi Hua
關鍵詞 折價幅度
媒體報導
情緒分析
IPO Underpricing
Media Coverage
Sentiment Analysis
日期 2015
上傳時間 27-Jul-2015 11:20:25 (UTC+8)
摘要 本研究以民國99年至103年間於台灣證券交易所以及櫃買中心掛牌之新上市公司為樣本，並扣除由上櫃轉上市公司的部份，共計241間公司。由於投資人在公司上市前較難以取得公司相關資訊、或是取得資訊成本極高，因此大部分資訊來自新聞媒體的報導。因此本研究目的在於媒體報導的正負面情緒與興櫃轉上市櫃公司的期初報酬率的關聯性，並以實證進行研究，以了解媒體報導密集度及情緒程度影響期初報酬率(初次公開發行折價幅度)之關係。
本文以客觀量化之方式計算新聞內正向字詞與負向字詞，並據以計算為正向媒體情緒程度分數。本研究實證結果顯示，媒體報導帶給投資人之情緒越正向，期初報酬率越高。在上市日前一個月的正向新聞報導數量，對期初報酬率也有正面的影響；並將樣本區分為電子業及非電子業，電子業在上市日前一個月的正(負)向新聞報導數量，對期初報酬率有正(反)面的顯著影響；非電子業則與正向媒體情緒、正(負)向新聞報導數量數較無顯著相關，反而受大盤報酬率之影響。
This study focuses on the relationship between the sentiment of the media coverage and IPO underpricing based on the IPOs firm listing on TWSE corporations or GTSM corporations.
This study investigates whether the media were responsible for the phenomenal rise and fall in the market value of IPO shares from 2010 to 2014. We do not focus on what drives the media coverage of IPO firms, but we focus on the effect of pre-IPO media coverage on the first day`s return.
Recently, sentiment approach have been a useful tool for extract the text information to the numeral data and would be easy to compare and calculate. To avoid the subjective judgment bias, we use sentiment dictionary-based approach to convert the qualitative news to quantitative measures. This study uses the positive and negative words to calculate positive sentiment score of the media, and use the positive and negative words to classify the news items into positive or negative news.
In summary, this positive sentiment of media is significantly related to initial return (IPO underpricing), and this study also indicates a significantly result that initial return is highly related to market return than sentiment of media in non-electronics industry. However, as our expected, the number of positive (negative) news reports has a positive (negative) influence on the initial return, in the electronics industry.
參考文獻 Allen, F., and G. R. Faulhaber. 1989. Signalling by underpricing in the IPO market. Journal of financial Economics 23 (2):303-323.
Arbel, A., and P. Strebel. 1983. Pay attention to neglected firms!*. The Journal of Portfolio Management 9 (2):37-42.
Azar, P. D. 2009. Sentiment analysis in financial news, Harvard University.
Baker, M., J. C. Stein, and J. Wurgler. 2002. When does the market matter? Stock prices and the investment of equity-dependent firms: National Bureau of Economic Research.
Barber, B. M., and T. Odean. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21 (2):785-818.
Baron, D. P. 1982. A model of the demand for investment banking advising and distribution services for new issues. Journal of Finance:955-976.
Bautin, M., L. Vijayarenu, and S. Skiena. 2008. International Sentiment Analysis for News and Blogs. Paper read at ICWSM.
Beatty, R. P., and J. R. Ritter. 1986. Investment banking, reputation, and the underpricing of initial public offerings. Journal of financial Economics 15 (1):213-232.
Benveniste, L. M., and P. A. Spindt. 1989. How investment bankers determine the offer price and allocation of new issues. Journal of financial Economics 24 (2):343-361.
Benveniste, L. M., and W. J. Wilhelm. 1990. A comparative analysis of IPO proceeds under alternative regulatory environments. Journal of financial Economics 28 (1):173-207.
Cook, D. O., R. Kieschnick, and R. A. Van Ness. 2006. On the marketing of IPOs. Journal of financial Economics 82 (1):35-61.
Davis, A. K., J. M. Piger, and L. M. Sedor. 2006. Beyond the numbers: An analysis of optimistic and pessimistic language in earnings press releases. Federal Reserve Bank of St. Louis Working Paper Series (2006-005).
Degeorge, F., F. Derrien, and K. L. Womack. 2004. Quid pro quo in IPOs: Why book-building is dominating auctions. Available at SSRN 668387.
Derrien, F. 2005. IPO pricing in “hot” market conditions: Who leaves money on the table? The Journal of Finance 60 (1):487-521.
Frieder, L., and A. Subrahmanyam. 2005. Brand perceptions and the market for common stock. Journal of Financial and Quantitative Analysis 40 (01):57-85.
Godbole, N., M. Srinivasaiah, and S. Skiena. 2007. Large-Scale Sentiment Analysis for News and Blogs. ICWSM 7:21.
Grinblatt, M., and C. Y. Hwang. 1989. Signalling and the pricing of new issues. Journal of Finance:393-420.
Hanley, N., and C. L. Spash. 1993. Cost-benefit analysis and the environment. Vol. 499: Edward Elgar Cheltenham.
Henry, E. 2008. Are investors influenced by how earnings press releases are written? Journal of Business Communication 45 (4):363-407.
I.H. Lin, K.T. Chen. 2013. Creating and Verifying Sentiment Dictionary of Finance and Economics via Financial News, National Taiwan University.
Liu, L. X., A. E. Sherman, and Y. Zhang. 2009. Media coverage and IPO underpricing. Paper read at AFA 2009 San Francisco Meetings Paper.
Ljungqvist, A., V. Nanda, and R. Singh. 2006. Hot Markets, Investor Sentiment, and IPO Pricing*. The Journal of Business 79 (4):1667-1702.
Logue, D. E. 1973. On the pricing of unseasoned equity issues: 1965–1969. Journal of Financial and Quantitative Analysis 8 (01):91-103.
Lowry, M., and G. W. Schwert. 2004. Is the IPO pricing process efficient? Journal of financial Economics 71 (1):3-26.
Miller, G. A. 1990. WordNet: “An on-line lexical database”. International Journal of Lexicography (special issue), 3 (4), 235-312.
Morck, R., B. Yeung, and W. Yu. 2000. The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of financial Economics 58 (1):215-260.
Nasukawa, T., and J. Yi. 2003. Sentiment analysis: Capturing favorability using natural language processing. Paper read at Proceedings of the 2nd international conference on Knowledge capture.
Neal, R., and S. M. Wheatley. 1998. Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33 (04):523-547.
Prezas, A. P., M. Tarimcilar, and G. K. Vasudevan. 2000. The Pricing of Equity Carve‐Outs. Financial Review 35 (4):123-138.
Ratner, D., 1998. Securities Regulation in a Nutshell, 6th ed. West Group, St. Paul, MN.
Rock, K. 1986. Why new issues are underpriced. Journal of financial Economics 15 (1):187-212.
Sherman, A. E., and S. Titman. 2002. Building the IPO order book: underpricing and participation limits with costly information. Journal of financial Economics 65 (1):3-29.
Tetlock, P. C. 2007. Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance 62 (3):1139-1168.
Welch, I. 1989. Seasoned offerings, imitation costs, and the underpricing of initial public offerings. The Journal of Finance 44 (2):421-449.
Yi, J., T. Nasukawa, R. Bunescu, and W. Niblack. 2003. Sentiment analyzer: Extracting sentiments about a given topic using natural language processing techniques. Paper read at Data Mining, 2003. ICDM 2003. Third IEEE International Conference on.
描述 碩士
國立政治大學
會計研究所
102353106
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102353106
資料類型 thesis
dc.contributor.advisor 諶家蘭zh_TW
dc.contributor.advisor Seng, Jia Langen_US
dc.contributor.author (Authors) 楊璧華zh_TW
dc.contributor.author (Authors) Yang, Pi Huaen_US
dc.creator (作者) 楊璧華zh_TW
dc.creator (作者) Yang, Pi Huaen_US
dc.date (日期) 2015en_US
dc.date.accessioned 27-Jul-2015 11:20:25 (UTC+8)-
dc.date.available 27-Jul-2015 11:20:25 (UTC+8)-
dc.date.issued (上傳時間) 27-Jul-2015 11:20:25 (UTC+8)-
dc.identifier (Other Identifiers) G0102353106en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76852-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 102353106zh_TW
dc.description.abstract (摘要) 本研究以民國99年至103年間於台灣證券交易所以及櫃買中心掛牌之新上市公司為樣本，並扣除由上櫃轉上市公司的部份，共計241間公司。由於投資人在公司上市前較難以取得公司相關資訊、或是取得資訊成本極高，因此大部分資訊來自新聞媒體的報導。因此本研究目的在於媒體報導的正負面情緒與興櫃轉上市櫃公司的期初報酬率的關聯性，並以實證進行研究，以了解媒體報導密集度及情緒程度影響期初報酬率(初次公開發行折價幅度)之關係。
本文以客觀量化之方式計算新聞內正向字詞與負向字詞，並據以計算為正向媒體情緒程度分數。本研究實證結果顯示，媒體報導帶給投資人之情緒越正向，期初報酬率越高。在上市日前一個月的正向新聞報導數量，對期初報酬率也有正面的影響；並將樣本區分為電子業及非電子業，電子業在上市日前一個月的正(負)向新聞報導數量，對期初報酬率有正(反)面的顯著影響；非電子業則與正向媒體情緒、正(負)向新聞報導數量數較無顯著相關，反而受大盤報酬率之影響。		zh_TW
dc.description.abstract (摘要) This study focuses on the relationship between the sentiment of the media coverage and IPO underpricing based on the IPOs firm listing on TWSE corporations or GTSM corporations.
This study investigates whether the media were responsible for the phenomenal rise and fall in the market value of IPO shares from 2010 to 2014. We do not focus on what drives the media coverage of IPO firms, but we focus on the effect of pre-IPO media coverage on the first day`s return.
Recently, sentiment approach have been a useful tool for extract the text information to the numeral data and would be easy to compare and calculate. To avoid the subjective judgment bias, we use sentiment dictionary-based approach to convert the qualitative news to quantitative measures. This study uses the positive and negative words to calculate positive sentiment score of the media, and use the positive and negative words to classify the news items into positive or negative news.
In summary, this positive sentiment of media is significantly related to initial return (IPO underpricing), and this study also indicates a significantly result that initial return is highly related to market return than sentiment of media in non-electronics industry. However, as our expected, the number of positive (negative) news reports has a positive (negative) influence on the initial return, in the electronics industry.		en_US
dc.description.tableofcontents Table of Contents
1. INTRODUCTION 1
1.1 RESEARCH PURPOSE AND MOTIVATION 1
1.2 RESEARCH ISSUE 4
1.3 RESEARCH PROCESS 5
2. LITERATURE REVIEW 7
2.1 IPO UNDERPRICING AND ASYMMETRIC INFORMATION 7
2.2 IPO UNDERPRICING AND SIGNALING THEORIES 9
2.3 BOOK-BUILDING METHOD AND INFORMATION PRODUCTION THEORY 10
2.4 IPO UNDERPRICING AND OPTIMISTIC INVESTORS 12
2.5 LITERATURE REVIEW SUMMARY FOR THE THEORIES OF IPO UNDERPRICING 15
2.6 EMPIRICAL RESEARCHES ABOUT MEDIA COVERAGE AND IPO UNDERPRICING 20
2.7 SENTIMENT ANALYSIS 25
3. SENTIMENT ANALYSIS MODEL 27
3.1HYPOTHESES DEVELOPMENT 27
3.1.1 THE RELATIONSHIP BETWEEN IPO UNDERPRICING AND THE SENTIMENT OF MEDIA COVERAGE 27
3.1.2 THE RELATIONSHIP BETWEEN IPO UNDERPRICING AND THE NUMBER OF POSITIVE (NEGATIVE) NEWS REPORTS 28
3.2 DATA COLLECTION 30
3.2.1 SAMPLE SELECTION 30
3.2.2 SAMPLE DESCRIPTION 31
3.3 REASERCH METHOD 35
3.3.1 APPROACHES TO MEASURE THE SENTIMENT POLARITY IN NEWS ITEM 35
3.3.2 LYDIA SENTIMENT ANALYSIS 37
3.4 REGRESSION MODEL 38
3.4.1 DEPENDENT VARIABLE 41
3.4.2 INDEPENDENT VARIABLES 42
3.4.3 CONTROL VARIABLES 43
4. RESEARCH RESULTS AND ANALYSIS 44
4.1 DESCRIPTIVE STATISTICS 44
4.2 EMPIRICAL RESULTS 53
4.2.1 REGRESSION RESULTS FOR H1-MODEL (1) TO (4) 53
4.2.2 REGRESSION RESULTS FOR H2-MODEL (5) 58
5. CONCLUSION AND DISCUSSION 61
5.1 RESEARCH CONTRIBUTION AND CONCLUSION 61
5.2 LIMITATION AND FUTURE RESEARCH WORK 62
REFERENCES 64		zh_TW
dc.format.extent 1615940 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102353106en_US
dc.subject (關鍵詞) 折價幅度zh_TW
dc.subject (關鍵詞) 媒體報導zh_TW
dc.subject (關鍵詞) 情緒分析zh_TW
dc.subject (關鍵詞) IPO Underpricingen_US
dc.subject (關鍵詞) Media Coverageen_US
dc.subject (關鍵詞) Sentiment Analysisen_US
dc.title (題名) 興櫃轉上市櫃公司股票抑價與財經新聞情緒分析之關聯性研究zh_TW
dc.title (題名) THE ASSOCIATION BETWEEN IPO UNDERPRCING AND FINANCIAL NEWS – A SENTIMENT ANALYSIS APPROACHen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allen, F., and G. R. Faulhaber. 1989. Signalling by underpricing in the IPO market. Journal of financial Economics 23 (2):303-323.
Arbel, A., and P. Strebel. 1983. Pay attention to neglected firms!*. The Journal of Portfolio Management 9 (2):37-42.
Azar, P. D. 2009. Sentiment analysis in financial news, Harvard University.
Baker, M., J. C. Stein, and J. Wurgler. 2002. When does the market matter? Stock prices and the investment of equity-dependent firms: National Bureau of Economic Research.
Barber, B. M., and T. Odean. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21 (2):785-818.
Baron, D. P. 1982. A model of the demand for investment banking advising and distribution services for new issues. Journal of Finance:955-976.
Bautin, M., L. Vijayarenu, and S. Skiena. 2008. International Sentiment Analysis for News and Blogs. Paper read at ICWSM.
Beatty, R. P., and J. R. Ritter. 1986. Investment banking, reputation, and the underpricing of initial public offerings. Journal of financial Economics 15 (1):213-232.
Benveniste, L. M., and P. A. Spindt. 1989. How investment bankers determine the offer price and allocation of new issues. Journal of financial Economics 24 (2):343-361.
Benveniste, L. M., and W. J. Wilhelm. 1990. A comparative analysis of IPO proceeds under alternative regulatory environments. Journal of financial Economics 28 (1):173-207.
Cook, D. O., R. Kieschnick, and R. A. Van Ness. 2006. On the marketing of IPOs. Journal of financial Economics 82 (1):35-61.
Davis, A. K., J. M. Piger, and L. M. Sedor. 2006. Beyond the numbers: An analysis of optimistic and pessimistic language in earnings press releases. Federal Reserve Bank of St. Louis Working Paper Series (2006-005).
Degeorge, F., F. Derrien, and K. L. Womack. 2004. Quid pro quo in IPOs: Why book-building is dominating auctions. Available at SSRN 668387.
Derrien, F. 2005. IPO pricing in “hot” market conditions: Who leaves money on the table? The Journal of Finance 60 (1):487-521.
Frieder, L., and A. Subrahmanyam. 2005. Brand perceptions and the market for common stock. Journal of Financial and Quantitative Analysis 40 (01):57-85.
Godbole, N., M. Srinivasaiah, and S. Skiena. 2007. Large-Scale Sentiment Analysis for News and Blogs. ICWSM 7:21.
Grinblatt, M., and C. Y. Hwang. 1989. Signalling and the pricing of new issues. Journal of Finance:393-420.
Hanley, N., and C. L. Spash. 1993. Cost-benefit analysis and the environment. Vol. 499: Edward Elgar Cheltenham.
Henry, E. 2008. Are investors influenced by how earnings press releases are written? Journal of Business Communication 45 (4):363-407.
I.H. Lin, K.T. Chen. 2013. Creating and Verifying Sentiment Dictionary of Finance and Economics via Financial News, National Taiwan University.
Liu, L. X., A. E. Sherman, and Y. Zhang. 2009. Media coverage and IPO underpricing. Paper read at AFA 2009 San Francisco Meetings Paper.
Ljungqvist, A., V. Nanda, and R. Singh. 2006. Hot Markets, Investor Sentiment, and IPO Pricing*. The Journal of Business 79 (4):1667-1702.
Logue, D. E. 1973. On the pricing of unseasoned equity issues: 1965–1969. Journal of Financial and Quantitative Analysis 8 (01):91-103.
Lowry, M., and G. W. Schwert. 2004. Is the IPO pricing process efficient? Journal of financial Economics 71 (1):3-26.
Miller, G. A. 1990. WordNet: “An on-line lexical database”. International Journal of Lexicography (special issue), 3 (4), 235-312.
Morck, R., B. Yeung, and W. Yu. 2000. The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of financial Economics 58 (1):215-260.
Nasukawa, T., and J. Yi. 2003. Sentiment analysis: Capturing favorability using natural language processing. Paper read at Proceedings of the 2nd international conference on Knowledge capture.
Neal, R., and S. M. Wheatley. 1998. Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33 (04):523-547.
Prezas, A. P., M. Tarimcilar, and G. K. Vasudevan. 2000. The Pricing of Equity Carve‐Outs. Financial Review 35 (4):123-138.
Ratner, D., 1998. Securities Regulation in a Nutshell, 6th ed. West Group, St. Paul, MN.
Rock, K. 1986. Why new issues are underpriced. Journal of financial Economics 15 (1):187-212.
Sherman, A. E., and S. Titman. 2002. Building the IPO order book: underpricing and participation limits with costly information. Journal of financial Economics 65 (1):3-29.
Tetlock, P. C. 2007. Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance 62 (3):1139-1168.
Welch, I. 1989. Seasoned offerings, imitation costs, and the underpricing of initial public offerings. The Journal of Finance 44 (2):421-449.
Yi, J., T. Nasukawa, R. Bunescu, and W. Niblack. 2003. Sentiment analyzer: Extracting sentiments about a given topic using natural language processing techniques. Paper read at Data Mining, 2003. ICDM 2003. Third IEEE International Conference on.		zh_TW