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題名 臺灣新上市股票短期報酬之探討
作者 柯百鈴
貢獻者 郭崑謨
柯百鈴
日期 1989
上傳時間 4-May-2016 14:20:03 (UTC+8)
參考文獻 參考文獻\n一、中文部分\n1.何文賢，台灣證券發行市場股票承銷之研究，台灣大學商學研究所未出版碩士論文，74年6月。\n2.林煜宗，現代投資學:制度、理論與實證，自印，74年8月。\n3.李廣進，台灣地區新上市股票短期投資報酬率之研究，台灣大學商學研究所未出版碩士論文，69年6月\n4.吳美慧，今年還有那些公司將上市?財訊雜誌，78年1月，第328-332頁。\n5.吳其鑫，股票上市價格怎麼訂?經濟月刊，77年7月，第16-19頁。\n6.洪日爛，台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，民國68年6月。\n7.胡星陽，公司重整與股東財富－台灣上市公司研究台大經濟研究所未出版碩士論文，民國七十五年。\n8.胡致仁，新上市股票外部資訊與短期股價行為關係之探討－以台灣證券市場為例，淡江大學管理科學研究所未出版碩士論文，77年6月。\n9.曾國雄，鄧振源著"多變量分析(一)…理論應用篇"，75年5月，松崗電腦圖書資料公司，第74-76頁\n10.黃俊英，多變量分析，中國經濟企業研究所出版，75年元月二版。\n11.陳秀亮，新上市股票價格行為探討，中央大學產業經濟研究所未出版碩士論文，民國76年6月。\n12.顏月珠著，商用統計學，三民書局印行，69年10月\n13.郭恆慶，證券承銷業務知多少?工商人雜誌，77年9月，第3--31頁。\n14.劉瑞恆，合理股票承銷價格，工商時報，77年8月19日，第十六版。\n15.楊泓文，新上市股票報酬之研究，交大管科所未出版碩士論文，民國七十六年六月。\n16.陳文燦，利率變動對股票價格影響之研究，政治大學企業管理研究所未出版碩士論文，76年6月。\n17.羅禎昌，現金增資公告對股票價格影響之研究，政治大學企業管理研究所未出版碩士論文，76年6月。\n18.梁永煌，新股上市承銷價訂定問題，財訊雜誌，77年12月，第316-319頁。\n19.證券統計要覽，財政部證券管理策員會編印。\n20.中華民國證券管理年報，財政部證券管理委員會編印。\n21.證券管理，財政部證券管理委員會編印。\n22.證交資料，台灣證券交易所發行。\n23.工商日報，經濟日報。\n\n二、英文部份\n1.Baron "A Model of Demand for Investment Banking Advising and Distribution Services for New Issue,"Journal of Finance, 1982 ,pp 995-976\n2.Bal1. R. and P. Brown, "An Empirical Evaluation of Accounting Income Numbers", Journal of Accounting Research, Autumn, 1968, pp.159-179\n3.Beaty R. P and J. R. Ritter, "Investment Banking, Reputation and the Underpricing of Initial Pub1ic Offerings ",Journa1 of Financia1 Economics, (1986) pp.212-232.\n4.Bear. R. M. and A. J. Curley (1975), `Unseasoned Equity Financing`. Journal of Financial and Quantitative Analysis (June 1975), pp.311-25.\n5.Block, S. & Stanley, M. "Finaicial Characteristics and Price Movement Pattens of Companies Approaching the Unseasoned Securities Market ,in the Late 1970s", Financial Management,Winter (1980), pp.30-36.\n6.Brown, J. Michael. "Post-offering Experience of Companies Going Public . " Journal of Business 43 (January 1970): 10-18.\n7.Bockland, R., P. J. Herbertand K.A. Yeomans(1981), `Price Discount on New Equity Issues in the UK and Their Relationship to Inverstor Subscription in the Period 1965-75`, Journal of Business Finance and Accounting (Spring 1981). pp.79-95.\n8.Chalk, Andrew J. Peavy, John W., "Initial Public Offerings: Daily Returns, Offerings\nTypes and the Price Effect", Financial Analysts Journal, Sep/Oct 1987, pp.65-69.\n9.Copeland, Thorns E. & Weston, J. Fred "Financial Theory And Coprorate Policy" 2nd Edition, 台北雙葉書局翻版。\n10.Davis, E. W. and K.A. Yeomans (1976), "Market Discount on New issues of Equity: The Influence of Firm Size, Method of Issue, and Market Volatility`, Journal of Business Finance and Accounting.\n11.Dawson, Steven M. "Secondary Stock Market Performance of Initial Public Ovvers. Hong Kong. Singapore and Malaysia," Journal of Business finance & Accounting, Spring 1987,pp.65-76.\n12.Fama E. F. and L. Fisher. M. C. Jensen and R. Roll, "The Adjustment of Stock Prices to New Information, International Economic Review 10, No.1 (Feb. 1969), pp.1-21.\n13. Ibbotson, Roger G. "Price Performance of Common Stock New Issue", Journal of Financial Economics,2 1975, pp.235-272\n14. Ibbotson, Roger G. and Jaffe, Jeffrey F. "Hot Issue Markets", Journal of Finance, 4\n,1975,pp 1027-1042\n15.Jecquillat, B. C., J. G. McDonald and J. Rolfo(1978), `French Auctions of Common Stock:New Issues, 1966-1974`, Journal of Banking and Finance (1978), pp.305-22.\n16.Johnson, James M.; Miller, Robert E. "Investment Banker Prestige and the Underpricing of Initial Public Offerings", Financial Management,Summer 1988, pp.19-29.\n17.Jog, Vijay M. & Riding, Allan L. "Underpricing in Canadian IPOs, Financial Analysts Journal pp.48-55.\n18.Logue, Dennis E. "On the Pridcing of Unseasoned Equity Issues", Journal of Financial & Quantitative Analysis, 7(1973), pp.91-104.\n19.---------------- `Premia on Unseasoned Equity Issues Journal of of Economics and Business (Spring-Summer 1973), pp.133-41.\n20.Mc Donald, J. G. Fisher, A. K. "New Issue Stock Price Behavior", Journa1 of Finance, 27 (1972),pp.97-102\n21.--------------and B. C. Jacquillat (1974),`Pricing pf Omotoa; Eqiotu Ossies: The French\nSealed-Bid Auction`, Journal of Business (1974),pp.37-47.\n22.Miller. E. (1977), `Risk, Uncertainty, and Divergence of Opinion`, Journal of Finance\n(September 1977), pp.1151-68.\n23. Newgerger, B. M. and C. T. Hammond (1974), `A Study of Underwriters` Experience with Unseasoned NEw Issues`, Journal of Financial and Quantitative Analysis (March 1974), pp.165-77.\n24.Reilly,F. K. "Futher Evidence on Short-Run Results for New Issue Investor ", Journal of Financial and Quantitative Analysis ,January 1973.pp 77-80\n25.Reilly,F. K. `"New Issues Revisited`", Financial Management. Winter 1977.pp. 28-42\n26.Reilly,F.K. and K. Hatfield ,`"Investor Experience with New Stock Issues".Financial Analyst Journal .September-October 1969, pp.73-80.\n27.Ritter,J. R. "The "Hot Issue "Market of 1980",Journa of Business, April 1984, pp.215-240.\n28.Rock, Kevin "Why New Issues Are Underpriced",Journal of Financial Economics, 15 (1986) pp.187-212.\n29.Shaw,D. C. "The Performance of Primary Common Stock Offering:A Canadian Commparison", Journal of Finance, Sept. 1979, pp. 1101-1113.\n30.Stigler, George J. "Public Repulation of The Securities Markets", Journal of Business, 37(1964), pp.117-142.\n31.-------, "Comment" Journal of Business 37(October 1964): 414-422.\n32 Stoll,H. R. and A. J .Cruley ,"Small Business and the New Issues Market for Equities", Journal of Financial and Quantitative Analysis 5 (Sept .1970 )p.313 TABLE1 .\n33.Tinic. Seha M. "Anatomy of Initial Public Offerings of Common Stock", The Journal of\nFinance, Vol. XLIII No.4, September 1988,pp.789-822.
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005572
資料類型 thesis
dc.contributor.advisor 郭崑謨zh_TW
dc.contributor.author (Authors) 柯百鈴zh_TW
dc.creator (作者) 柯百鈴zh_TW
dc.date (日期) 1989en_US
dc.date.accessioned 4-May-2016 14:20:03 (UTC+8)-
dc.date.available 4-May-2016 14:20:03 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 14:20:03 (UTC+8)-
dc.identifier (Other Identifiers) B2002005572en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=102308-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.tableofcontents 目錄\n第一章 導論………1\n第一節 研究動機及目的………1\n第二節 研究程序………2\n第三節 變數定義………4\n第四節 研究範圍及資料來源………9\n第五節 研究限制……10\n第二章 新上市股票界定與相關文獻………15\n第一節 新上市股票界定………15\n第二節 相關文獻………15\n第三章 研究方法………39\n第一節 超額報酬之定義………39\n第二節 研究假設………40\n第三節 統計檢定方法………41\n第四節 多變量分析方法………41\n第四章 實證結果與分析………47\n第一節 超額報酬………47\n第二節 影響超額報酬之因素………51\n第五章 研究結論與建議………65\n第一節 結論………65\n第二節 建議………65\n參考文獻………68\n附錄一\n附錄二\n附錄三\n\n表次\n表2-1 Stigler研究結果-相對績效………16\n表2-2 Stoll與Curly研究結果-相對報酬率………17\n表2-3 Dawson研究結果-超額報酬………21\n表2-4新上市股票價格變化趨勢………28\n表4-1每日平均超額報酬(ARt)、每日累積平均超額報酬(CER_T)與統計檢定結果………48\n表4-2複迴歸分析結果(一) ………51\n表4-3複迴歸分析結果(二) ………52\n表4-4複迴歸分析結果(三) ………53\n表4-5 ANOVA結果(一) ………54\n表4-6 ANOVA結果(二) ………55\n表4-7 ANOVA結果(三) ………56\n表4-8 ANOVN結果(四) ………57\n表4-9 ANOVA結果(五之一) ………58\n表4-10 ANOVA結果(五之二) ………59\n表4-11 ANOVN結果(六) ………60\n\n圖次\n圖1-1研究程序………3\n圖2-1楊泓文研究結果………35\n圖2-2陳秀亮研究結果(一) ………36\n圖2-3陳秀亮研究結果(二) ………36\n圖4-1每日平均超額報酬(ARt) ………49\n圖4-2每日累積平均超額報酬(CER_T) ………49zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005572en_US
dc.title (題名) 臺灣新上市股票短期報酬之探討zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻\n一、中文部分\n1.何文賢，台灣證券發行市場股票承銷之研究，台灣大學商學研究所未出版碩士論文，74年6月。\n2.林煜宗，現代投資學:制度、理論與實證，自印，74年8月。\n3.李廣進，台灣地區新上市股票短期投資報酬率之研究，台灣大學商學研究所未出版碩士論文，69年6月\n4.吳美慧，今年還有那些公司將上市?財訊雜誌，78年1月，第328-332頁。\n5.吳其鑫，股票上市價格怎麼訂?經濟月刊，77年7月，第16-19頁。\n6.洪日爛，台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，民國68年6月。\n7.胡星陽，公司重整與股東財富－台灣上市公司研究台大經濟研究所未出版碩士論文，民國七十五年。\n8.胡致仁，新上市股票外部資訊與短期股價行為關係之探討－以台灣證券市場為例，淡江大學管理科學研究所未出版碩士論文，77年6月。\n9.曾國雄，鄧振源著"多變量分析(一)…理論應用篇"，75年5月，松崗電腦圖書資料公司，第74-76頁\n10.黃俊英，多變量分析，中國經濟企業研究所出版，75年元月二版。\n11.陳秀亮，新上市股票價格行為探討，中央大學產業經濟研究所未出版碩士論文，民國76年6月。\n12.顏月珠著，商用統計學，三民書局印行，69年10月\n13.郭恆慶，證券承銷業務知多少?工商人雜誌，77年9月，第3--31頁。\n14.劉瑞恆，合理股票承銷價格，工商時報，77年8月19日，第十六版。\n15.楊泓文，新上市股票報酬之研究，交大管科所未出版碩士論文，民國七十六年六月。\n16.陳文燦，利率變動對股票價格影響之研究，政治大學企業管理研究所未出版碩士論文，76年6月。\n17.羅禎昌，現金增資公告對股票價格影響之研究，政治大學企業管理研究所未出版碩士論文，76年6月。\n18.梁永煌，新股上市承銷價訂定問題，財訊雜誌，77年12月，第316-319頁。\n19.證券統計要覽，財政部證券管理策員會編印。\n20.中華民國證券管理年報，財政部證券管理委員會編印。\n21.證券管理，財政部證券管理委員會編印。\n22.證交資料，台灣證券交易所發行。\n23.工商日報，經濟日報。\n\n二、英文部份\n1.Baron "A Model of Demand for Investment Banking Advising and Distribution Services for New Issue,"Journal of Finance, 1982 ,pp 995-976\n2.Bal1. R. and P. Brown, "An Empirical Evaluation of Accounting Income Numbers", Journal of Accounting Research, Autumn, 1968, pp.159-179\n3.Beaty R. P and J. R. Ritter, "Investment Banking, Reputation and the Underpricing of Initial Pub1ic Offerings ",Journa1 of Financia1 Economics, (1986) pp.212-232.\n4.Bear. R. M. and A. J. Curley (1975), `Unseasoned Equity Financing`. Journal of Financial and Quantitative Analysis (June 1975), pp.311-25.\n5.Block, S. & Stanley, M. "Finaicial Characteristics and Price Movement Pattens of Companies Approaching the Unseasoned Securities Market ,in the Late 1970s", Financial Management,Winter (1980), pp.30-36.\n6.Brown, J. Michael. "Post-offering Experience of Companies Going Public . " Journal of Business 43 (January 1970): 10-18.\n7.Bockland, R., P. J. Herbertand K.A. Yeomans(1981), `Price Discount on New Equity Issues in the UK and Their Relationship to Inverstor Subscription in the Period 1965-75`, Journal of Business Finance and Accounting (Spring 1981). pp.79-95.\n8.Chalk, Andrew J. Peavy, John W., "Initial Public Offerings: Daily Returns, Offerings\nTypes and the Price Effect", Financial Analysts Journal, Sep/Oct 1987, pp.65-69.\n9.Copeland, Thorns E. & Weston, J. Fred "Financial Theory And Coprorate Policy" 2nd Edition, 台北雙葉書局翻版。\n10.Davis, E. W. and K.A. Yeomans (1976), "Market Discount on New issues of Equity: The Influence of Firm Size, Method of Issue, and Market Volatility`, Journal of Business Finance and Accounting.\n11.Dawson, Steven M. "Secondary Stock Market Performance of Initial Public Ovvers. Hong Kong. Singapore and Malaysia," Journal of Business finance & Accounting, Spring 1987,pp.65-76.\n12.Fama E. F. and L. Fisher. M. C. Jensen and R. Roll, "The Adjustment of Stock Prices to New Information, International Economic Review 10, No.1 (Feb. 1969), pp.1-21.\n13. Ibbotson, Roger G. "Price Performance of Common Stock New Issue", Journal of Financial Economics,2 1975, pp.235-272\n14. Ibbotson, Roger G. and Jaffe, Jeffrey F. "Hot Issue Markets", Journal of Finance, 4\n,1975,pp 1027-1042\n15.Jecquillat, B. C., J. G. McDonald and J. Rolfo(1978), `French Auctions of Common Stock:New Issues, 1966-1974`, Journal of Banking and Finance (1978), pp.305-22.\n16.Johnson, James M.; Miller, Robert E. "Investment Banker Prestige and the Underpricing of Initial Public Offerings", Financial Management,Summer 1988, pp.19-29.\n17.Jog, Vijay M. & Riding, Allan L. "Underpricing in Canadian IPOs, Financial Analysts Journal pp.48-55.\n18.Logue, Dennis E. "On the Pridcing of Unseasoned Equity Issues", Journal of Financial & Quantitative Analysis, 7(1973), pp.91-104.\n19.---------------- `Premia on Unseasoned Equity Issues Journal of of Economics and Business (Spring-Summer 1973), pp.133-41.\n20.Mc Donald, J. G. Fisher, A. K. "New Issue Stock Price Behavior", Journa1 of Finance, 27 (1972),pp.97-102\n21.--------------and B. C. Jacquillat (1974),`Pricing pf Omotoa; Eqiotu Ossies: The French\nSealed-Bid Auction`, Journal of Business (1974),pp.37-47.\n22.Miller. E. (1977), `Risk, Uncertainty, and Divergence of Opinion`, Journal of Finance\n(September 1977), pp.1151-68.\n23. Newgerger, B. M. and C. T. Hammond (1974), `A Study of Underwriters` Experience with Unseasoned NEw Issues`, Journal of Financial and Quantitative Analysis (March 1974), pp.165-77.\n24.Reilly,F. K. "Futher Evidence on Short-Run Results for New Issue Investor ", Journal of Financial and Quantitative Analysis ,January 1973.pp 77-80\n25.Reilly,F. K. `"New Issues Revisited`", Financial Management. Winter 1977.pp. 28-42\n26.Reilly,F.K. and K. Hatfield ,`"Investor Experience with New Stock Issues".Financial Analyst Journal .September-October 1969, pp.73-80.\n27.Ritter,J. R. "The "Hot Issue "Market of 1980",Journa of Business, April 1984, pp.215-240.\n28.Rock, Kevin "Why New Issues Are Underpriced",Journal of Financial Economics, 15 (1986) pp.187-212.\n29.Shaw,D. C. "The Performance of Primary Common Stock Offering:A Canadian Commparison", Journal of Finance, Sept. 1979, pp. 1101-1113.\n30.Stigler, George J. "Public Repulation of The Securities Markets", Journal of Business, 37(1964), pp.117-142.\n31.-------, "Comment" Journal of Business 37(October 1964): 414-422.\n32 Stoll,H. R. and A. J .Cruley ,"Small Business and the New Issues Market for Equities", Journal of Financial and Quantitative Analysis 5 (Sept .1970 )p.313 TABLE1 .\n33.Tinic. Seha M. "Anatomy of Initial Public Offerings of Common Stock", The Journal of\nFinance, Vol. XLIII No.4, September 1988,pp.789-822.zh_TW