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題名 新上市公司異常報酬決定因素之實證研究
作者 林玲羽
LIN, LING-YU
貢獻者 周玲臺
ZHOU, LING-TAI
林玲羽
LIN, LING-YU
關鍵詞 異常報酬
資訊品質
會計
日期 1993
1992
上傳時間 2-May-2016 15:15:41 (UTC+8)
摘要 新上市公司擁有長度不一的「蜜月期」，這個現象經由洪日爛（民68），王瑞儀（民78），賈武健（民80），顏美英（民81）和本研究可證實新上市公司的報酬高於市場報酬。且本研究發現，七十九年至八十一年間七十家新上市公司其投資報酬率接近百分之五十。針對此問題，國外亦有類似的研究，結果發現初次公開發行股票公司之原始報酬在百分之十左右(Ibbotson & Jaffe, 1975; Ritter, 1984; Chalk & Peavy,1985; Jog & Riding, 1987)。持股比例，
參考文獻 參考文獻\n壹、中文部份\n卜慶銘，臺灣新上市股票承銷價制定超額報酬相關性之研究，中興大學企業管理研究所未出版碩士論文，七十九年六月\n王瑞儀，新上市股票異常報酬影響因素之檢驗，淡江大學管理研究所未出版碩士論文，七十九年六月\n施春成，臺灣新上市公司特有風險與會計師選擇之研究，臺灣大學會計研究所未出版碩士論文， 八十一年六月\n柯百鈴，臺灣新上市股票短期超額報酬之探討，政治大學企業管理研究所未出版碩士論文，七十八年六月\n林秀娟、張紹勳編著， SAS/PC統計分析與實務應用，松崗公司，八十年二月初版\n林純瓊，臺灣地區新上市股票超額報酬與其成因之剖析，行政院國家科學委員會專題研究計劃，八十年六月\n林清山，心理與教育統計學，東華書局，七十七年二月第十四版\n林博泰，股票新上市超額報酬持久性之研究，臺灣大學商學研究所未出版碩士論文， 八十年六月\n洪日爛，臺灣股票市場新上市股票投資報酬率與市場效率性之研究，政治大學企業管理研究所未出版碩士論文，六十八年六月\n教育部電子計算機編印， SAS/BASIC (1 7)套裝程式集中文手冊，七十五年三月\n倪安順， SAS 基礎與統計應用使用手冊，儒林公司，八十一年一月三版\n陳秀亮，新上市股票價格行為探討，中央大學產經研究所未出版碩士論文，七十六年六月\n許永聲，新上市股票異常價格績效之驗證與探討，東海大學企業管理研究所未出版碩士論文，七十八年六月。\n黃敏助，中長期大底漸形成，鑫典，財團法人中華民國證券市場發展基金會，八十一年五月，第七頁\n程佩瑜，我國會計師財務及融資簽證市場之研究，臺灣大學會計研究所未出版碩士論文，八十一年六月\n張絃炬，統計學--方法與應用，華泰書局，七十七年九月第一版\n賈武健，新上市公司股票價值之評價模式，臺灣大學商學研究所未出版碩士論文，八十年六月\n楊泓文，新上市股票報酬之研究，交通大學管理科學研究所未出版碩士論文，七十六年六月\n贓芝君，新上市公司會計師聲譽與盈餘管理關係之研究政治大學會計研究所未出版碩士論文，八十一年六月\n顏月珠，應用數理統計，三民書局出版第三版，七十九年一月。\n顏美英，承銷商聲望與新上市股票異常報酬關係之實證研究，臺彎會計研究所未出版論文，八十一年六月\n羅贊興，我國新上市股票短期報酬之研究，淡江大學金融 ,研究所未出版碩士論文，七十九年一月\n貳、英文部份\nAggarwal, K., and P. Rivoli. "Fads III the Initial Public\nOffering Market?" Financial Management (Winter1990):\n45-57 .\nAkerlof, G. A. "The Market for `Lemons`: Quality Uncertainty\nand the Market Mechanism." Quarterly Journal of Economics\n(August 1970): 488-500.\nAtiase, Rowland Kwame. "Market Implications of Predisclosure\nInformation: Size and Exchange Effects." Journal of\nAccounting Research 25 (Spring 1987): 168-76.\n"Predisc1osure Information, Firm Captialization, and\nSecurity Price Behavior around Earnings Announcements."\nJournal of Accounting Research 23 (Spring 1985): 21-36.\nBachar, Joseph. "Auditing Quality, Signaling, and Underwriting\nContracts." Contemporary Accounting Research 6 (Fall\n1989): 216-41.\nBalvers, Ronald J., Bill McDonald, and Robert E. Miller.\n"Underpricing of New Issues and the Choice of Auditor as\na Signal of Investment Banker Reputation." Accounting\nReview (October 1988): 605-22.\nBaron, D. P. "A Model of the Demand for Investment Banking\nAdvertising and Distributing Services for New Issues."\nJournal of Finance (September 1982): 955-76.\nBarry, Christopher B. "Initial Public Offreing Underpricing:\nThe Issuer`s View--A Comment." Journal Of Finance (\nSeptember 1989): 1099-103.\nand S. J. Brown. "Differential Information and Security\nMarket Equilibrium. " Journal of Financial and Quantitative\nAnalysis 20 (December 1985): 407-22.\nand Robert H. Jennings. "Information and Diversity of\nAnalyst Opinion." Journal of Financial and Quantitative\nAnalysis 27 (June 1992): 169-83.\nBeatty, Randolph P., and Jay R. Ritter. "Investment Banking,\nReputation, and the Underpricing of Initial Public\nOfferings." Journal of Financial Economics (January /\nFebruary 1986): 213-32.\n"Auditor Reputation and the Pricing of Initial Public\nOfferings." Accounting Review (October 1989): 693-709.\nBeaver, W. H., Roger Clarke, and W. F . Wright. "The\nAssociation Between Unsystematic Security Returns and\nthe Magnitude of Earnings Forecast Errors." Journal of\nAccounting Research 17 (Fall 1979): 316-45.\nBoyle, Phelim P . "Discossion of the Valuation of Initial Pubilc\nOfferings." Contemporary Accounting Research (Spring\n1989): 516-18.\nCarpenter, Charles G., and Robert H. Strawser. "Displacement\nof Auditors When Clients Go Public." Journal of\nAccountancy (June 1971): 55-58 .\nCarter, Richard, and Steven Manaster . "Initial Public\nOfferings and Underwriter Reputation." Journal of Finance\n(September 1990): 1045-67.\nChalk, Andrew J., and John W. Peavy III. "Initial Public\nOfferings: Daily Returns, Offering Types and the Price\nEffect." Financial Analyst Journal (September /Octorber\n1987): 65-69.\nClarkson, Peter M., and Rex Thompson. "Empirical Estimations\nof Beta When Investors Face Eatimation Risk." Journal of\nFinance (June 1990): 431-53.\nAlex Dontoh, Gordon Richardson, and Stephan E. Sefcik.\n"Retained Ownership and the Valuation of Initial Public\nOfferings: Canadian Evidence." Contemporary Accounting\nResearch (Fall 1991): 115-32.\n--- , ---, and ---. "The Voluntary Inclusion of Earnings\nForecasts in IPO Prospectuses." Contemporary Accounting\nResearch (Spring 1992): 601 -2 6.\nDatar, Srikant M., Gerald A. Feltham, and John S. Hughes.\n"The Role of Audits and Audit Quality In Valuating New\nIssues." Journal of Accounting and Economics (1991):\n3-49.\nDawson, Steven M. "Initial Public Offer Underpricing: The\nIssuer`s View--A Note." Journal Of Finance (March 1987):\n159-62.\nDownes, D. H., and R. Heinkel. "Signalling and the Valuation\nof Unseasoned." Journal of Finance (March 1982): 1-10.\nFeltham, Gerald A., John S. Hughes, and Dan A. Simunic.\n"Empirical Assessment of the Impact of Auditor Quality on\nthe Valuation of New Issues." Journal of Accounting and\nEconomics (1991): 375-99.\nFirth, Michael, and A. Smith. "The Accuracy of Profits\nForecasts in Initial Public Offerings Prospectuses."\nAccounting and Business Research 22 (1992): 239-247.\nGrinblatt, Mark, and Chuan Yang Hwang. "Signalling and the\nPricing of New Issues." Journal of Finance (June 1989):\n393-420.\nHughes, P. J. "Signalling by Direct Disclosure under\nAsymmetric Information." Journal of Accounting and\nEconomics (June 1986): 119-42.\nIbbotson, Roger G., and Jeffrey F. Jaffe. "Hot Issue Market."\nJournal of Finance (September 1975): 1027-42.\nJog, Vijay M., and Allan L. Riding. "Underpricing In Canadian\nIPQ `s." Financial Analysts Journal (November/December\n1987): 49-55.\nJohnson, James M., and Robert E. Miller, "Investment Banker\nPrestige and the Underpricing of Initial Public Offerings."\nFinancial Management (Summer 1988): 19-29.\nKeasey, Kevin, and Paul Mcguinness. "An Empirical\nInvestigation of the Role of Signalling in the Valuation\nof Unseasoned Equity Issues." Accounting and Business\nResearch 22 (Spring 1992): 133-42.\nand Helen Short. "The Winner`s Curse Model of\nUnderpricing: A Critical Assessment." Accounting and\nBusiness Research 23 (Winter 1992): 74-78.\nKlein, R. W., and V. S. Bawa. "The Effect of Limited\nInformation and Estimation Risk on Optimal Portfolio\nDiversification." Journal of Financial Economics (1977):\n89-111.\nKrinsky, I., and W. Rotenberg. "Signalling and Valuation of\nUnsaesoned New Issues Revisited." Journal of Financial\nand Quantative Analysis (June 1989): 257-66.\nand -- - . "The Valuation of Initial Public Offerings."\nContemporary Accounting Research (Spring 1989): 500-15.\nLam, Swee Sum. "Information Risk and Initial Public Offerings:\nan Empirical Investigation." Applied Financial Economics\n(1992): 93-98.\nLeland, Hayne E., and David H. Pyle. "Informational\nAsymmetries, Financial Structure and Financial\nIntermediation.`" Journal of Finance (May 1977): 371-87.\nLogue, D. E. "On the Pricing of Unseasoned New Issues: 1965-\n1969." Journal of Financial and Quantitative Analysis\n(January 1973): 91 - 103.\nMcDonald, J. G., and A. K. Fisher. "New-Issue Stock Price\nBehavior." Journal of Finance (March 1972): 97-102.\nMcGuinness, P. "An Examinzation of the Undrepricing of Initial\nPublic Offerings In Hong Kong: 1980-90." Journal of\nBusiness Finance & Accounting (January 1992): 165-86.\nMcNichols, Maureen. "Evidence of Informational Asymmetries\nfrom Management Earnings Forecasts and Stock Returns."\nAccounting Review (January 1989): 1-27.\nMenon, Krishnagopal, and David D. Williams. "Auditor\nCredibility and Initial Public Offerings." Accounting\nReview 66 (April 1991): 313-32.\nMiller, Robert E ., and Frank K. Reilly. "An Examination of\nMispricing,Return,and Uncertainty for Initial Public\nOfferings." Financial Management (Summer 1987): 33-38.\nPenman, S. H . "An Empirical Investigation of the Voluntary\nDisclosure of Corporate Earnings Forecasts." Journal of\nAccounting Research 18 (Spring 1980): 132-60.\nPope, Peter, and Charles G. Inyangete. "Differential\nInformation, the Variabilty of UK Stock Returns, and\nEarnings Announcements." Journal of Business Finance &\nAccounting (June 1992): 603-23.\nRitter, Jay R. "The `Hot Issue`Market of 1980." Journal of\nBusiness 57 (April 1984): 215-40.\n"Signaling and the Valuation of Unseasoned New Issues:\nA Comment." Journal of Finance (September 1984):\n1231-37.\n"The Costs of Going Public." Journal of Financial\nEconomics (December 1987): 269-281.\nRock, Kevin. "Why New Issues Are Underpriced." Journal of\nFinancial Economics (January/February 1986): 187-212 .\nSimunic, D. A ., and Stein M. T. Product Differentiation in\nAuditing Auditor Choice ill the Market For Unseasoned New\nIssues. Vancouver: The Canadian Certified General\nAccountants` Research Foundation, 1987.\nSpence, Michale. "Informational Aspects of Market Structure:\nan Introduction ." Quarterly Journal of Economics (1976):\n591-97.\nTinic, Seah M. "Anatomy of Initial Public Offerings of Common\nStock. " Journal of Finance (September 1988): 789-822.\nTitman, Sheridan, and Brett Trueman. "Informatin Quality and\nthe Valuation of new Issues." Journal of Accounting and\nEconomics (June 1986): 159-72.\nWaymire, Gregory. "Additional Evidence on the Information on\nthe Information Content of Management Earnings\nForecasts ." Journal of Accounting Research 22 (Fall\n1984): 703-18.
描述 碩士
國立政治大學
會計學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004335
資料類型 thesis
dc.contributor.advisor 周玲臺zh_TW
dc.contributor.advisor ZHOU, LING-TAIen_US
dc.contributor.author (Authors) 林玲羽zh_TW
dc.contributor.author (Authors) LIN, LING-YUen_US
dc.creator (作者) 林玲羽zh_TW
dc.creator (作者) LIN, LING-YUen_US
dc.date (日期) 1993en_US
dc.date (日期) 1992en_US
dc.date.accessioned 2-May-2016 15:15:41 (UTC+8)-
dc.date.available 2-May-2016 15:15:41 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:15:41 (UTC+8)-
dc.identifier (Other Identifiers) B2002004335en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=101112-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計學系zh_TW
dc.description.abstract (摘要) 新上市公司擁有長度不一的「蜜月期」，這個現象經由洪日爛（民68），王瑞儀（民78），賈武健（民80），顏美英（民81）和本研究可證實新上市公司的報酬高於市場報酬。且本研究發現，七十九年至八十一年間七十家新上市公司其投資報酬率接近百分之五十。針對此問題，國外亦有類似的研究，結果發現初次公開發行股票公司之原始報酬在百分之十左右(Ibbotson & Jaffe, 1975; Ritter, 1984; Chalk & Peavy,1985; Jog & Riding, 1987)。持股比例，zh_TW
dc.description.tableofcontents 第一章緒論．．．．．．．．．．1\n第一節研究動機．．．．．．．．．．1\n第二節研究問題．．．．．．．．．．3\n第三節研究目的和貢獻．．．．．．．．．．7\n第四節論文架構．．．．．．．．．．8\n本章註釋．．．．．．．．．．10\n第二章文獻探討．．．．．．．．．．11\n第一節各國新上市公司原始報酬的情況．．．．．．．．．．11\n第二節原始報酬存在之理論．．．．．．．．．．15\n第三節新上市公司間原始報酬差異之因素．．．．．．．．．．20\n本章註釋．．．．．．．．．．28\n第三章研究的延伸及假說．．．．．．．．．．29\n第一節資訊不對稱和訊息傳遞．．．．．．．．．．29\n第二節企業主持股比例．．．．．．．．．．32\n第三節資訊數量之差異．．．．．．．．．．33\n第四節資訊品質之差異．．．．．．．．．．35\n第四章研究方法．．．．．．．．．．37\n第一節研究期間和樣本．．．．．．．．．．37\n第二節原始報酬之衡量和檢定．．．．．．．．．．39\n第三節相關變數之衡量．．．．．．．．．．42\n第四節統計方法．．．．．．．．．．45\n第五節資料來源．．．．．．．．．．51\n本章註釋．．．．．．．．．．52\n第五章實證結果和分析．．．．．．．．．．53\n第一節樣本變數之敘述性統計．．．．．．．．．．53\n第二節原始報酬之檢定．．．．．．．．．．57\n第三節單變量分析．．．．．．．．．．58\n第四節多元迴歸結果和分析．．．．．．．．．．64\n本章註釋．．．．．．．．．．71\n附錄一．．．．．．．．．．72\n附錄二．．．．．．．．．．76\n附錄三．．．．．．．．．．83\n第六章結論和建議．．．．．．．．．．85\n第一節結論．．．．．．．．．．85\n第二節未來研究建議．．．．．．．．．．86\n第三節研究限制．．．．．．．．．．88\n參考文獻．．．．．．．．．．91zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004335en_US
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) 資訊品質zh_TW
dc.subject (關鍵詞) 會計zh_TW
dc.title (題名) 新上市公司異常報酬決定因素之實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻\n壹、中文部份\n卜慶銘，臺灣新上市股票承銷價制定超額報酬相關性之研究，中興大學企業管理研究所未出版碩士論文，七十九年六月\n王瑞儀，新上市股票異常報酬影響因素之檢驗，淡江大學管理研究所未出版碩士論文，七十九年六月\n施春成，臺灣新上市公司特有風險與會計師選擇之研究，臺灣大學會計研究所未出版碩士論文， 八十一年六月\n柯百鈴，臺灣新上市股票短期超額報酬之探討，政治大學企業管理研究所未出版碩士論文，七十八年六月\n林秀娟、張紹勳編著， SAS/PC統計分析與實務應用，松崗公司，八十年二月初版\n林純瓊，臺灣地區新上市股票超額報酬與其成因之剖析，行政院國家科學委員會專題研究計劃，八十年六月\n林清山，心理與教育統計學，東華書局，七十七年二月第十四版\n林博泰，股票新上市超額報酬持久性之研究，臺灣大學商學研究所未出版碩士論文， 八十年六月\n洪日爛，臺灣股票市場新上市股票投資報酬率與市場效率性之研究，政治大學企業管理研究所未出版碩士論文，六十八年六月\n教育部電子計算機編印， SAS/BASIC (1 7)套裝程式集中文手冊，七十五年三月\n倪安順， SAS 基礎與統計應用使用手冊，儒林公司，八十一年一月三版\n陳秀亮，新上市股票價格行為探討，中央大學產經研究所未出版碩士論文，七十六年六月\n許永聲，新上市股票異常價格績效之驗證與探討，東海大學企業管理研究所未出版碩士論文，七十八年六月。\n黃敏助，中長期大底漸形成，鑫典，財團法人中華民國證券市場發展基金會，八十一年五月，第七頁\n程佩瑜，我國會計師財務及融資簽證市場之研究，臺灣大學會計研究所未出版碩士論文，八十一年六月\n張絃炬，統計學--方法與應用，華泰書局，七十七年九月第一版\n賈武健，新上市公司股票價值之評價模式，臺灣大學商學研究所未出版碩士論文，八十年六月\n楊泓文，新上市股票報酬之研究，交通大學管理科學研究所未出版碩士論文，七十六年六月\n贓芝君，新上市公司會計師聲譽與盈餘管理關係之研究政治大學會計研究所未出版碩士論文，八十一年六月\n顏月珠，應用數理統計，三民書局出版第三版，七十九年一月。\n顏美英，承銷商聲望與新上市股票異常報酬關係之實證研究，臺彎會計研究所未出版論文，八十一年六月\n羅贊興，我國新上市股票短期報酬之研究，淡江大學金融 ,研究所未出版碩士論文，七十九年一月\n貳、英文部份\nAggarwal, K., and P. 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