1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 初次上市股票的投資人基礎研究
Two essays on the investor base of IPO stocks
作者 陳虹伶
Chen, Hung Ling
貢獻者 周行一
Edward H. Chow
陳虹伶
Chen, Hung Ling
關鍵詞 投資人基礎
新上市公司
資金成本
investor base
IPO
cost of capital
日期 2008
上傳時間 9-May-2016 11:45:41 (UTC+8)
摘要 本論文利用證券交易所提供的日內成交資料可以追蹤投資人的交易記錄，並研究1995-2003年208家初次發行上市公司(IPO)的新舊投資人基礎以及其變動對於資金成本的影響。研究結果發現，大部分IPO確實能增加投資人基礎，而且投資人偏好報酬率與報酬率波動較大的股票；另外，投資人基礎的變動可以解釋Merton(1987) investor recognition hypothesis，即投資人基礎增加可以降低資金成本。
     由第二章的分析可知大部分IPO的確能吸引更多的投資人交易，平均而言，第二年新增14.2%的投資人交易，而且有43.8%的公司增加投資人交易；另外，61.5%的公司吸引更多的新投資人，只有39.4%的公司吸引更多的舊投資人。投資人增加的比率與持有期間超額報酬有關，這可以解釋為何上市公司以及交易所皆努力提升投資人基礎。另外，新投資人在市場較熱絡時增加較為顯著，而且較偏好報酬率波動較大的股票。
     除了研究第二年投資人基礎增加的情形，本論文亦研究第一年的投資人在第二年的股票持有變化情形，如果投資人在第一年曾經持有該公司的股票，並於期末前賣掉，則第二年股票的持有期間超額報酬率愈高時，將吸引愈多的投資人繼續交易該股票；但是如果投資人在第一年期末持有該IPO股票，當股票的第二年持有期間超額報酬率愈高時，投資人會傾向賣掉手中持股。
     第三章檢驗Merton (1987) ‘investor recognition hypothesis’，即公司增加愈多投資人基礎將降低因為資訊不完全所產生之資金成本，並增加公司的價值。相對於之前針對投資人基礎增加會降低資金成本的研究，本論文以交易該公司股票的投資人代表知道該股票的投資人基礎，此代理變數較先前研究更能代表“awareness of the firm”。利用市場模型，發現公司在第二年平均減少超額報酬率，若將樣本分成電子與非電子產業，仍然得到類似的結果。最後，本論文發現投資人變動的確能解釋異常報酬的變動，即符合Merton (1987) investor recognition hypothesis，此現象不論在產業分類或法人皆得到一致的結論。
A unique dataset is analyzed in this study comprising of data obtained from the TSE transactions record database on trading activity for the 208 IPO firms. The investor’s identity can trace investor’s trading records. Thus, we can define new and old investors. Additionally, the identification of the type of investor (as either an individual or institutional investor) facilitates the examination of investor behavior for either type.
     From the analysis in the chapter 2, we can see that there is an increase over time in the number of investors which IPOs are able to attract. An increase of 14.2 percent is found in the mean number of investors per firm, while 43.8 percent of firms are found to experience increases in the overall number of investors from the first year to the second year after their initial listing. On average, the mean rate of increase for new investors is larger than that for old investors, with 61.5 percent of IPO firms experiencing increases in the total number of new investors, as compared to the 39.4 percent of firms which experience increases in old investors.
     The results reveal that the rate of increase in investors has a positive correlation with holding period excess returns (HPERs), which helps to explain why both firms and stock exchanges have such similar strong desires to see improvements in the overall number of investors. A significant increase in new investors is discernible in a ‘hot’ market, and in those firms with higher return volatility levels. Furthermore, all investors naturally prefer firms with higher returns.
     The analysis of the changes in the investor base suggests that if investors do not hold the stock in first year, then the higher the HPERs, the greater the overall increase in the total number of investors; however, where investors had previously held the relevant stocks, we find that they will tend to sell their winning stocks.
     Chapter 3 undertakes an examination of the Merton (1987) ‘investor recognition hypothesis’, in which he argues that an increase in the total number of investors with prior knowledge of a firm will ultimately lower the expected returns of investors by reducing the ‘shadow cost’ arising from the lack of knowledge on a particular security; the end result of this will invariably be an increase in the market value of the firm’s shares. In contrast to the prior studies, we employ the total number of traders to represent the awareness of any given firm among investors.
     We examine the reduction in the costs of equity capital associated with listing using the ‘market model’ to compute the abnormal returns, and find a decline in the average daily abnormal return in the second year. Similar patterns are discernible for firms in both the non-electronics and electronics industries. Finally, our test of the Merton (1987) investor recognition hypothesis is undertaken by regressing the firms’ average abnormal returns against the changes in the overall numbers of traders. The results confirm the association between investor recognition and the costs of capital.
參考文獻 Alexander, G. J., C. S. Eun, and S. Janakiramanan, 1988. International listings and stock returns: Some empirical evidence. Journal of Financial and Quantitative Analysis 23, 135-151.
     Amihud, Y., and H. Mendelson, 1988. Liquidity and assets prices: Financial management implications. Financial Management 17, 5-15.
     Amihud, Y., H. Mendelson, and J. Uno, 1999. Number of shareholders and stock prices: Evidence from Japan. Journal of Finance 54, No. 3, 1169-1184.
     Bailey, W., Y. P. Chung, and J. Kang, 1999. Foreign ownership restrictions and equity price premiums: What drives the demand for cross-border investments? Journal of Financial and Quantitative Analysis 34, 489-511.
     Baker, H. K., J. R. Nofsinger, and D. G. Weaver, 2002. International cross-listing and visibility. Journal of Financial and Quantitative Analysis 37, No. 3, 495-521.
     Baker, H. K., G.E. Powell, and D.G. Weaver, 1999. Does NYSE listing affect firm visibility? Financial Management 28, 46-54.
     Baker, M. P., and J. Wurgler, 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219-2257.
     Baker, M. P., and J. Wurgler, 2002. Market timing and capital structure. Journal of Finance 57, 1-32.
     Barber, B. M., and J. D. Lyon, 1997. Detecting long-run abnormal stock returns. Journal of Financial Economics 43, 341-372.
     Barclay, M., E. Kandel, and L.M Marx, 1998. The effects of transaction costs on stock prices and trading volume. Journal of Financial Intermediation 7, 130-150.
     Beck, T., A. Demirgüc-Kunt, and R. Levine, 2003. Law, endowments, and finance. Journal of Financial Economics 70, 137-181.
     Benartzi, S., and R. Thaler, 1995. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110, 75-92.
     Benninga, Simon, Mark Helmantelc, and Oded Sarig, 2005. The timing of initial public offerings. Journal of Financial Economics 75, No. 1, 115-132.
     Benveniste, L., and P. Spindt, 1989. How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics 24, 343-361.
     Black, B. S., 2001. The legal and institutional preconditions for strong securities markets. UCLA Law Review 48, 781-856.
     Bolton, P., and E.-L. Von Thadden, 1998. Blocks, liquidity and corporate control. Journal of Finance 53, 1-26.
     Boot, Arnoud W.A., Anjan V. Thakor, and Radhakrishnan Gopalan, 2007. Market liquidity, investor participation and managerial autonomy: Why do firms go private? ECGI Finance Working Paper No. 119/2006 Available at SSRN: http://ssrn.com/abstract=894445.
     Bradley, D.J., B.D. Jordan, and J.R. Ritter, 2008. Analyst behavior following IPOs: the “bubble period” evidence. Review of Financial Studies 21, No. 1, 101-133.
     Brau, James C., and Stanley E. Fawcett. 2006. Initial public offerings: An analysis of theory and practice. Journal of Finance 61, No. 1, 399-436.
     Christie, W.G., and R. Huang, 1994. Market structures and liquidity: A transactions data study of exchange listings. Journal of Financial Intermediation 3, 300-326.
     Clyde, P., P.H. Schultz, and M. Zaman, 1997. Trading costs and exchange delisting: The case of firms that voluntarily move from the American stock exchange to the Nasdaq. Journal of Finance 52, 2103-2112.
     Cowan, Arnold R., Richard B. Carter, Frederick H. Dark and Ajai K. Singh, 1992. Explaining the NYSE listing choices of Nasdaq firms. Financial Management 21, 73-86.
     Demirgüc-Kunt, A., and R. Levine, 1995. Stock market development and financial intermediaries–stylized facts. Policy Research Working Paper 1462. Washington, DC: The World Bank Finance and Private Sector Development Division.
     Derrien, Francois, and Ambrus Kecskés, 2007. The initial public offerings of listed firms. Journal of Finance 57, No. 1, 447-479.
     Diamond, D. W., and R. E. Verrecchia, 1991. Disclosure, liquidity, and the cost of capital. Journal of Finance 46, No. 4, 1325-1359.
     Dow, J., and G. Gorton, 1997. Stock market efficiency and economic efficiency: Is there a connection? Journal of Finance 52, 1087-1129.
     Eckbo, B. Espen, and Oyvind Norli, 2004. Liquidity risk, leverage and long-run ipo returns. Tuck School of Business at Dartmouth Administration, Research Paper Series, SSRN: http://ssrn.com/abstract=217108.
     Fanto, J. A., and R. S. Karmel, 1997. A report on the attitudes of foreign companies regarding a US listing. Stanford Journal of Law, Business & Finance 3, No. 1, 51-83.
     Foerster, Stephen, and G. Andrew Karolyi, 1993. International listings of stocks: The case of Canada and the U.S. Journal of International Business Studies 24, 763-784.
     Foerster, S. R., and G. A. Karolyi, 1999. The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. Journal of Finance 54, 981-1013.
     Frost, Carol Ann, Elizabeth A. Gordon, and Andrew F. Hayes, 2006. Stock exchange disclosure and market development: An analysis of 50 international exchanges, Journal of Accounting Research 44, No. 3, 437-483.
     Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001. The high-volume return premium. Journal of Finance 56, 877-919.
     Greenwood, Jeremy, and Bruce D. Smith, 1997. Financial markets in development, and the development of financial markets. Journal of Economic Dynamics and Control 21, No. 1, 145-181.
     Habib, Michel A., and Alexander P. Ljungqvist, 2001. Underpricing and entrepreneurial wealth losses in IPOs: Theory and evidence. Review of Financial Studies 14, 433-458.
     Helwege, J., and N. Liang, 1996. Is there a pecking order? Evidence from a panel of IPO firms. Journal of Financial Economics 40, 429-458.
     Holmström, B., and J. Tirole, 1993. Market liquidity and performance monitoring. Journal of Political Economy 101, 678-709.
     Hong Kong Stock Exchange, 2006. The Hong Kong Exchange continues being devoted to popularizing and introducing the company and is listed on Hong Kong. Exchange 19, 34-35.
     Howe, John, and Katherine Kelm, 1987. The stock price impact of overseas listings. Financial Management 16, 51-56.
     Ibbotson, R. G., J. L. Sindelar, and J. R. Ritter, 1994. The market’s problems with the pricing of initial public offerings. Journal of Applied Corporate Finance 7, 66-74.
     Kadlec, G., and J. McConnell, 1994. The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. Journal of Finance 49, 611-636.
     Kim, O., and R. Verrecchia, 1991. Market reaction to anticipated announcements. Journal of Financial Economics 30, 273-310.
     Kim, O., and R.Verrecchia, 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17, 41-67.
     Kothari, S. P., and J. B. Warner, 1997. Measuring long-horizon security price performance. Journal of Financial Economics 43, 301-339.
     La Porta, R., F. Lopez-de-silanes, and A. Shleifer, 2006. What works in securities laws? Journal of Finance 61, No. 1, 1-32.
     Lau. S., D. Diltz, and V. Apilado, 1994. Valuation effects of international stock exchange listings. Journal of Banking and Finance 18, 743-755.
     Lee, C., A. Shleifer, and R. Thaler, 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75-109.
     Leland, H., and D. Pyle, 1977. Information asymmetries, financial structure, and financial intermediation. Journal of Finance 31, 371-387.
     Levine, R., and S. Zervos, 1998. Stock markets, banks, and economic growth. American Economic Review 88, 537-558.
     Lins, Karl V., Deon Strickland, and Marc Zenner, 2005. Non-U.S. firms issue equity on U.S. stock exchanges to relax capital constraints? Journal of Financial and Quantitative Analysis 40, No. 1, 109-133.
     Loughran, T., and J. R. Ritter, 1995. The new issues puzzle. Journal of Finance 50, 23-52.
     Loughran, T., J. R. Ritter, and K. Rydqvist, 1994. Initial public offerings: International insights. Pacific-Basic Journal of Finance 2, 165-199.
     Lowry, M., 2000. Determinants of IPO volume. Working paper. University Park: Pennsylvania State University.
     Lowry, M., 2003. Why does IPO volume fluctuate so much? Journal of Financial Economics 67, 3-40.
     Lowry, M., and G. W. Schwert, 2002. IPO market cycles: Bubbles or sequential learning? Journal of Finance 57, 1171-1198.
     Maksimovic, V., and P. Pichler, 2001. Technological innovation and initial public offerings. Review of Financial Studies 14, 459-494.
     Marcus, B., and S. Wallace, 1991. Competing in the new capital markets: Investor relations strategies for the 1990s. New York, NY: Harper Business.
     Massa, Massimo, and Andrei Simonov, 2006. Hedging, familiarity and portfolio choice. Review of Financial Studies 19, No. 2, 633-685.
     Maug, E., 2001. Ownership structure and the life cycle of the firm, a theory of the decision to go public. European Finance Review 5, 167-200.
     Mayhew, Stewart, and Vassil Mihov, 2004. How do exchanges select stocks for option listing? Journal of Finance 59, No. 1, 447-471.
     Mello, A. S., and J. E. Parsons, 2000. Hedging and liquidity. Review of Financial Studies 13, 127-153.
     Merton, R. C., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510.
     Mittoo, Usha R., 1992. Managerial perceptions of the net benefits of foreign listing: Canadian evidence. Journal of International Financial Management and Accounting 4, 40-62.
     Nelson, William R., 1999. The aggregate change in shares and the level of stock prices. FEDS Paper No. 99-08. Available at DOI: 10.2139/ssrn.158648 or SSRN: http://ssrn.com/abstract=158648.
     Newey, W., and K. West, 1987. A simple positive definite heteroscedasticity and autoconelation consistent covariance matrix. Econometrica 55, 703-708.
     Pástor, L., and Pietro Veronesi, 2005. Rational IPO waves. Journal of Finance 60, 1713-1757.
     Pagano, M., F. Panetta, and L. Zingales, 1998. Why do companies go public? An empirical analysis. Journal of Finance 53, 27-64.
     Rajan, R. G., and H. Servaes, 1997. Analyst following of initial public offerings. Journal of Finance 52, 507-529.
     Rajan, R. G., and H. Servaes, 2003. The effect of market conditions on initial public offerings. Joe McCahery and Luc Renneboog, eds.: Venture Capital Contracting and the Valuation of High-tech Firms (Oxford University Press).
     Ritter, J. R., 1984. The “hot issue” market of 1980. Journal of Business 57, 215-240.
     Ritter, J. R., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3-27.
     Sanger, Gary C., and John J. McConnell, 1986. Stock exchange listings, firm value, and security market efficiency: The impact of NASDAQ. Journal of Financial and Quantitative Analysis 21, No. 1, 1-25.
     Spiess, Katherine D., and John Affleck-Graves, 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267.
     SRI International, 1987. Investor information needs and the annual report. Morristown, NJ: SRI International, Financial Executives Research Foundation.
     Stock Exchange of Singapore, 2006. SGX strengthens china listing collaboration. July, http://info.sgx.com/webnewscentre.nsf/b9c790d0d5ba5d2548256dcf0049ce28/48256838002f07b14825719600365c31?OpenDocument&Highlight=0,promote
     Subrahmanyam, A., and S. Titman, 1999. The going public decision and the development of financial markets. Journal of Finance 54, 1045-1082.
     Tse, Yiuman, and Erik Devos, 2004. Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex). Journal of Banking and Finance 28, 63-83.
     Walther, B. R., 1997. Investor sophistication and market earnings expectations. Journal of Accounting Research 35, 157-179.
     Welch, I., 1992. Sequential sales, learning, and cascades. Journal of Finance 47, 695-732.
     Zingales, L., 1995. Insider ownership and the decision to go public. Review of Economic Studies 60, 425-448.
描述 博士
國立政治大學
財務管理研究所
92357503
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923575031
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.advisor Edward H. Chowen_US
dc.contributor.author (Authors) 陳虹伶zh_TW
dc.contributor.author (Authors) Chen, Hung Lingen_US
dc.creator (作者) 陳虹伶zh_TW
dc.creator (作者) Chen, Hung Lingen_US
dc.date (日期) 2008en_US
dc.date.accessioned 9-May-2016 11:45:41 (UTC+8)-
dc.date.available 9-May-2016 11:45:41 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:45:41 (UTC+8)-
dc.identifier (Other Identifiers) G0923575031en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94739-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 92357503zh_TW
dc.description.abstract (摘要) 本論文利用證券交易所提供的日內成交資料可以追蹤投資人的交易記錄，並研究1995-2003年208家初次發行上市公司(IPO)的新舊投資人基礎以及其變動對於資金成本的影響。研究結果發現，大部分IPO確實能增加投資人基礎，而且投資人偏好報酬率與報酬率波動較大的股票；另外，投資人基礎的變動可以解釋Merton(1987) investor recognition hypothesis，即投資人基礎增加可以降低資金成本。
     由第二章的分析可知大部分IPO的確能吸引更多的投資人交易，平均而言，第二年新增14.2%的投資人交易，而且有43.8%的公司增加投資人交易；另外，61.5%的公司吸引更多的新投資人，只有39.4%的公司吸引更多的舊投資人。投資人增加的比率與持有期間超額報酬有關，這可以解釋為何上市公司以及交易所皆努力提升投資人基礎。另外，新投資人在市場較熱絡時增加較為顯著，而且較偏好報酬率波動較大的股票。
     除了研究第二年投資人基礎增加的情形，本論文亦研究第一年的投資人在第二年的股票持有變化情形，如果投資人在第一年曾經持有該公司的股票，並於期末前賣掉，則第二年股票的持有期間超額報酬率愈高時，將吸引愈多的投資人繼續交易該股票；但是如果投資人在第一年期末持有該IPO股票，當股票的第二年持有期間超額報酬率愈高時，投資人會傾向賣掉手中持股。
     第三章檢驗Merton (1987) ‘investor recognition hypothesis’，即公司增加愈多投資人基礎將降低因為資訊不完全所產生之資金成本，並增加公司的價值。相對於之前針對投資人基礎增加會降低資金成本的研究，本論文以交易該公司股票的投資人代表知道該股票的投資人基礎，此代理變數較先前研究更能代表“awareness of the firm”。利用市場模型，發現公司在第二年平均減少超額報酬率，若將樣本分成電子與非電子產業，仍然得到類似的結果。最後，本論文發現投資人變動的確能解釋異常報酬的變動，即符合Merton (1987) investor recognition hypothesis，此現象不論在產業分類或法人皆得到一致的結論。		zh_TW
dc.description.abstract (摘要) A unique dataset is analyzed in this study comprising of data obtained from the TSE transactions record database on trading activity for the 208 IPO firms. The investor’s identity can trace investor’s trading records. Thus, we can define new and old investors. Additionally, the identification of the type of investor (as either an individual or institutional investor) facilitates the examination of investor behavior for either type.
     From the analysis in the chapter 2, we can see that there is an increase over time in the number of investors which IPOs are able to attract. An increase of 14.2 percent is found in the mean number of investors per firm, while 43.8 percent of firms are found to experience increases in the overall number of investors from the first year to the second year after their initial listing. On average, the mean rate of increase for new investors is larger than that for old investors, with 61.5 percent of IPO firms experiencing increases in the total number of new investors, as compared to the 39.4 percent of firms which experience increases in old investors.
     The results reveal that the rate of increase in investors has a positive correlation with holding period excess returns (HPERs), which helps to explain why both firms and stock exchanges have such similar strong desires to see improvements in the overall number of investors. A significant increase in new investors is discernible in a ‘hot’ market, and in those firms with higher return volatility levels. Furthermore, all investors naturally prefer firms with higher returns.
     The analysis of the changes in the investor base suggests that if investors do not hold the stock in first year, then the higher the HPERs, the greater the overall increase in the total number of investors; however, where investors had previously held the relevant stocks, we find that they will tend to sell their winning stocks.
     Chapter 3 undertakes an examination of the Merton (1987) ‘investor recognition hypothesis’, in which he argues that an increase in the total number of investors with prior knowledge of a firm will ultimately lower the expected returns of investors by reducing the ‘shadow cost’ arising from the lack of knowledge on a particular security; the end result of this will invariably be an increase in the market value of the firm’s shares. In contrast to the prior studies, we employ the total number of traders to represent the awareness of any given firm among investors.
     We examine the reduction in the costs of equity capital associated with listing using the ‘market model’ to compute the abnormal returns, and find a decline in the average daily abnormal return in the second year. Similar patterns are discernible for firms in both the non-electronics and electronics industries. Finally, our test of the Merton (1987) investor recognition hypothesis is undertaken by regressing the firms’ average abnormal returns against the changes in the overall numbers of traders. The results confirm the association between investor recognition and the costs of capital.		en_US
dc.description.tableofcontents Acknowledgements i
     Table of Contents ii
     List of Tables iv
     Abstract v
     Chapter 1 Introduction 1
     Chapter 2 How IPO Firms are Chosen by New and Old Investors 7
     1. Introduction 7
     2. Hypotheses 12
     3. Data and Methodology 15
     3.1 Data 15
     3.2 Methodology 19
     4. Empirical Results 20
     4.1 The Relationship between the IPO Investor Base and Initial Returns 20
     4.2 The Rate of Change in the Investor Base and Returns 23
     4.3 The Evolution of the Investor Base and Returns 29
     4.4 The Relationship between the Investor Base and Firm Characteristics 32
     5. Conclusions 37
     Chapter 3 The Impact of Investors on the Cost of Capital in Initial Public Offerings 40
     1. Introduction 40
     2. The Merton (1987) Investor Recognition Hypothesis 46
     3. Data and Methodology 49
     4. Empirical Results 52
     4.1 Unconditional Tests 52
     4.2 Risk-adjusted Returns 56
     4.3 Univariate Cross-sectional Tests 60
     4.4 Testing the Merton (1987) Investor Recognition Hypothesis 62
     4.4 Robust Check: By Excluding the SEO events 64
     5. Conclusions 67
     Chapter 4 Summary and Conclusions 70
     References 72		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923575031en_US
dc.subject (關鍵詞) 投資人基礎zh_TW
dc.subject (關鍵詞) 新上市公司zh_TW
dc.subject (關鍵詞) 資金成本zh_TW
dc.subject (關鍵詞) investor baseen_US
dc.subject (關鍵詞) IPOen_US
dc.subject (關鍵詞) cost of capitalen_US
dc.title (題名) 初次上市股票的投資人基礎研究zh_TW
dc.title (題名) Two essays on the investor base of IPO stocksen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alexander, G. J., C. S. Eun, and S. Janakiramanan, 1988. International listings and stock returns: Some empirical evidence. Journal of Financial and Quantitative Analysis 23, 135-151.
     Amihud, Y., and H. Mendelson, 1988. Liquidity and assets prices: Financial management implications. Financial Management 17, 5-15.
     Amihud, Y., H. Mendelson, and J. Uno, 1999. Number of shareholders and stock prices: Evidence from Japan. Journal of Finance 54, No. 3, 1169-1184.
     Bailey, W., Y. P. Chung, and J. Kang, 1999. Foreign ownership restrictions and equity price premiums: What drives the demand for cross-border investments? Journal of Financial and Quantitative Analysis 34, 489-511.
     Baker, H. K., J. R. Nofsinger, and D. G. Weaver, 2002. International cross-listing and visibility. Journal of Financial and Quantitative Analysis 37, No. 3, 495-521.
     Baker, H. K., G.E. Powell, and D.G. Weaver, 1999. Does NYSE listing affect firm visibility? Financial Management 28, 46-54.
     Baker, M. P., and J. Wurgler, 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219-2257.
     Baker, M. P., and J. Wurgler, 2002. Market timing and capital structure. Journal of Finance 57, 1-32.
     Barber, B. M., and J. D. Lyon, 1997. Detecting long-run abnormal stock returns. Journal of Financial Economics 43, 341-372.
     Barclay, M., E. Kandel, and L.M Marx, 1998. The effects of transaction costs on stock prices and trading volume. Journal of Financial Intermediation 7, 130-150.
     Beck, T., A. Demirgüc-Kunt, and R. Levine, 2003. Law, endowments, and finance. Journal of Financial Economics 70, 137-181.
     Benartzi, S., and R. Thaler, 1995. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110, 75-92.
     Benninga, Simon, Mark Helmantelc, and Oded Sarig, 2005. The timing of initial public offerings. Journal of Financial Economics 75, No. 1, 115-132.
     Benveniste, L., and P. Spindt, 1989. How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics 24, 343-361.
     Black, B. S., 2001. The legal and institutional preconditions for strong securities markets. UCLA Law Review 48, 781-856.
     Bolton, P., and E.-L. Von Thadden, 1998. Blocks, liquidity and corporate control. Journal of Finance 53, 1-26.
     Boot, Arnoud W.A., Anjan V. Thakor, and Radhakrishnan Gopalan, 2007. Market liquidity, investor participation and managerial autonomy: Why do firms go private? ECGI Finance Working Paper No. 119/2006 Available at SSRN: http://ssrn.com/abstract=894445.
     Bradley, D.J., B.D. Jordan, and J.R. Ritter, 2008. Analyst behavior following IPOs: the “bubble period” evidence. Review of Financial Studies 21, No. 1, 101-133.
     Brau, James C., and Stanley E. Fawcett. 2006. Initial public offerings: An analysis of theory and practice. Journal of Finance 61, No. 1, 399-436.
     Christie, W.G., and R. Huang, 1994. Market structures and liquidity: A transactions data study of exchange listings. Journal of Financial Intermediation 3, 300-326.
     Clyde, P., P.H. Schultz, and M. Zaman, 1997. Trading costs and exchange delisting: The case of firms that voluntarily move from the American stock exchange to the Nasdaq. Journal of Finance 52, 2103-2112.
     Cowan, Arnold R., Richard B. Carter, Frederick H. Dark and Ajai K. Singh, 1992. Explaining the NYSE listing choices of Nasdaq firms. Financial Management 21, 73-86.
     Demirgüc-Kunt, A., and R. Levine, 1995. Stock market development and financial intermediaries–stylized facts. Policy Research Working Paper 1462. Washington, DC: The World Bank Finance and Private Sector Development Division.
     Derrien, Francois, and Ambrus Kecskés, 2007. The initial public offerings of listed firms. Journal of Finance 57, No. 1, 447-479.
     Diamond, D. W., and R. E. Verrecchia, 1991. Disclosure, liquidity, and the cost of capital. Journal of Finance 46, No. 4, 1325-1359.
     Dow, J., and G. Gorton, 1997. Stock market efficiency and economic efficiency: Is there a connection? Journal of Finance 52, 1087-1129.
     Eckbo, B. Espen, and Oyvind Norli, 2004. Liquidity risk, leverage and long-run ipo returns. Tuck School of Business at Dartmouth Administration, Research Paper Series, SSRN: http://ssrn.com/abstract=217108.
     Fanto, J. A., and R. S. Karmel, 1997. A report on the attitudes of foreign companies regarding a US listing. Stanford Journal of Law, Business & Finance 3, No. 1, 51-83.
     Foerster, Stephen, and G. Andrew Karolyi, 1993. International listings of stocks: The case of Canada and the U.S. Journal of International Business Studies 24, 763-784.
     Foerster, S. R., and G. A. Karolyi, 1999. The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. Journal of Finance 54, 981-1013.
     Frost, Carol Ann, Elizabeth A. Gordon, and Andrew F. Hayes, 2006. Stock exchange disclosure and market development: An analysis of 50 international exchanges, Journal of Accounting Research 44, No. 3, 437-483.
     Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001. The high-volume return premium. Journal of Finance 56, 877-919.
     Greenwood, Jeremy, and Bruce D. Smith, 1997. Financial markets in development, and the development of financial markets. Journal of Economic Dynamics and Control 21, No. 1, 145-181.
     Habib, Michel A., and Alexander P. Ljungqvist, 2001. Underpricing and entrepreneurial wealth losses in IPOs: Theory and evidence. Review of Financial Studies 14, 433-458.
     Helwege, J., and N. Liang, 1996. Is there a pecking order? Evidence from a panel of IPO firms. Journal of Financial Economics 40, 429-458.
     Holmström, B., and J. Tirole, 1993. Market liquidity and performance monitoring. Journal of Political Economy 101, 678-709.
     Hong Kong Stock Exchange, 2006. The Hong Kong Exchange continues being devoted to popularizing and introducing the company and is listed on Hong Kong. Exchange 19, 34-35.
     Howe, John, and Katherine Kelm, 1987. The stock price impact of overseas listings. Financial Management 16, 51-56.
     Ibbotson, R. G., J. L. Sindelar, and J. R. Ritter, 1994. The market’s problems with the pricing of initial public offerings. Journal of Applied Corporate Finance 7, 66-74.
     Kadlec, G., and J. McConnell, 1994. The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. Journal of Finance 49, 611-636.
     Kim, O., and R. Verrecchia, 1991. Market reaction to anticipated announcements. Journal of Financial Economics 30, 273-310.
     Kim, O., and R.Verrecchia, 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17, 41-67.
     Kothari, S. P., and J. B. Warner, 1997. Measuring long-horizon security price performance. Journal of Financial Economics 43, 301-339.
     La Porta, R., F. Lopez-de-silanes, and A. Shleifer, 2006. What works in securities laws? Journal of Finance 61, No. 1, 1-32.
     Lau. S., D. Diltz, and V. Apilado, 1994. Valuation effects of international stock exchange listings. Journal of Banking and Finance 18, 743-755.
     Lee, C., A. Shleifer, and R. Thaler, 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75-109.
     Leland, H., and D. Pyle, 1977. Information asymmetries, financial structure, and financial intermediation. Journal of Finance 31, 371-387.
     Levine, R., and S. Zervos, 1998. Stock markets, banks, and economic growth. American Economic Review 88, 537-558.
     Lins, Karl V., Deon Strickland, and Marc Zenner, 2005. Non-U.S. firms issue equity on U.S. stock exchanges to relax capital constraints? Journal of Financial and Quantitative Analysis 40, No. 1, 109-133.
     Loughran, T., and J. R. Ritter, 1995. The new issues puzzle. Journal of Finance 50, 23-52.
     Loughran, T., J. R. Ritter, and K. Rydqvist, 1994. Initial public offerings: International insights. Pacific-Basic Journal of Finance 2, 165-199.
     Lowry, M., 2000. Determinants of IPO volume. Working paper. University Park: Pennsylvania State University.
     Lowry, M., 2003. Why does IPO volume fluctuate so much? Journal of Financial Economics 67, 3-40.
     Lowry, M., and G. W. Schwert, 2002. IPO market cycles: Bubbles or sequential learning? Journal of Finance 57, 1171-1198.
     Maksimovic, V., and P. Pichler, 2001. Technological innovation and initial public offerings. Review of Financial Studies 14, 459-494.
     Marcus, B., and S. Wallace, 1991. Competing in the new capital markets: Investor relations strategies for the 1990s. New York, NY: Harper Business.
     Massa, Massimo, and Andrei Simonov, 2006. Hedging, familiarity and portfolio choice. Review of Financial Studies 19, No. 2, 633-685.
     Maug, E., 2001. Ownership structure and the life cycle of the firm, a theory of the decision to go public. European Finance Review 5, 167-200.
     Mayhew, Stewart, and Vassil Mihov, 2004. How do exchanges select stocks for option listing? Journal of Finance 59, No. 1, 447-471.
     Mello, A. S., and J. E. Parsons, 2000. Hedging and liquidity. Review of Financial Studies 13, 127-153.
     Merton, R. C., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510.
     Mittoo, Usha R., 1992. Managerial perceptions of the net benefits of foreign listing: Canadian evidence. Journal of International Financial Management and Accounting 4, 40-62.
     Nelson, William R., 1999. The aggregate change in shares and the level of stock prices. FEDS Paper No. 99-08. Available at DOI: 10.2139/ssrn.158648 or SSRN: http://ssrn.com/abstract=158648.
     Newey, W., and K. West, 1987. A simple positive definite heteroscedasticity and autoconelation consistent covariance matrix. Econometrica 55, 703-708.
     Pástor, L., and Pietro Veronesi, 2005. Rational IPO waves. Journal of Finance 60, 1713-1757.
     Pagano, M., F. Panetta, and L. Zingales, 1998. Why do companies go public? An empirical analysis. Journal of Finance 53, 27-64.
     Rajan, R. G., and H. Servaes, 1997. Analyst following of initial public offerings. Journal of Finance 52, 507-529.
     Rajan, R. G., and H. Servaes, 2003. The effect of market conditions on initial public offerings. Joe McCahery and Luc Renneboog, eds.: Venture Capital Contracting and the Valuation of High-tech Firms (Oxford University Press).
     Ritter, J. R., 1984. The “hot issue” market of 1980. Journal of Business 57, 215-240.
     Ritter, J. R., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3-27.
     Sanger, Gary C., and John J. McConnell, 1986. Stock exchange listings, firm value, and security market efficiency: The impact of NASDAQ. Journal of Financial and Quantitative Analysis 21, No. 1, 1-25.
     Spiess, Katherine D., and John Affleck-Graves, 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics 38, 243-267.
     SRI International, 1987. Investor information needs and the annual report. Morristown, NJ: SRI International, Financial Executives Research Foundation.
     Stock Exchange of Singapore, 2006. SGX strengthens china listing collaboration. July, http://info.sgx.com/webnewscentre.nsf/b9c790d0d5ba5d2548256dcf0049ce28/48256838002f07b14825719600365c31?OpenDocument&Highlight=0,promote
     Subrahmanyam, A., and S. Titman, 1999. The going public decision and the development of financial markets. Journal of Finance 54, 1045-1082.
     Tse, Yiuman, and Erik Devos, 2004. Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex). Journal of Banking and Finance 28, 63-83.
     Walther, B. R., 1997. Investor sophistication and market earnings expectations. Journal of Accounting Research 35, 157-179.
     Welch, I., 1992. Sequential sales, learning, and cascades. Journal of Finance 47, 695-732.
     Zingales, L., 1995. Insider ownership and the decision to go public. Review of Economic Studies 60, 425-448.		zh_TW