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題名 首次公開發行公司股票之初始報酬率與新聞情緒分析之關聯性研究
THE ASSOCIATION BETWEEN IPO INITIAL RETURN AND NEWS SENTIMENT ANALYSIS
作者 洪湘綺
Hong, Siang Ci
貢獻者 諶家蘭
Seng, Jia Lang
洪湘綺
Hong, Siang Ci
關鍵詞 首次公開發行
異常報酬
新聞情緒
情緒分析
Initial public offerings
Abnormal returns
News sentiment
Sentiment analysis
日期 2016
上傳時間 20-Jul-2016 16:40:31 (UTC+8)
摘要 本篇研究專注於首次公開發行公司上市櫃初始交易日之異常報酬與新聞情緒兩 者間之關係。本研究建立情緒字典以判別新聞之正負情緒,並過濾出與首次公開發 行有關之新聞,利用本研究建立之情緒字典以過濾出正負情緒之詞組。利用正負情 緒詞組數量計算出三種新聞情緒變數,並採實證研究方法檢測三種新聞情緒變數與 首次公開發行公司之初始交易日之異常報酬兩者間之關係。根據本研究之實證結果, 發現初始交易日之前的新聞能影響首次公開發行之異常報酬,而相關新聞之情緒語 調亦和異常報酬有關。此外,本研究亦檢測三種情緒變數和三種傳統變數之交乘項 對異常報酬之影響,發現公司規模大小與首日交易量與情緒變數之交乘項會對初始 交易日之異常報酬有影響。總言論之,本研究對新聞會影響首次公開發行初始交易 日之異常報酬提供了實證證據。
This study focuses on the relation between IPOs’ abnormal returns on initial trading days and news sentiment. To identify the tone of news, sentiment dictionary was established for this study, and news regarding IPO firms was picked out to count positive and negative words and phrases based on the sentiment dictionary. Using quantities of positive and negative words and phrases, three news variables were adopted and calculated. And linear regression was utilized to investigate the relation between IPOs’ abnormal returns on initial trading days and news sentiment. According to empirical results, I find that news prior to the IPO’s initial trading day can affect IPOs’ abnormal returns. The number of negative words and phrases is negatively related to the abnormal returns; the tone of news is positively related to the abnormal returns. Furthermore, I also investigated whether interaction terms of news variables and three control variables are related to abnormal returns on IPOs’ initial trading days. I find that interaction terms of the natural logarithm of firm size and two news variables and interaction terms of the natural logarithm of first-day trading volume and two news variables are related to abnormal returns. Overall, there is evidence that news can influence IPOs’ abnormal returns on initial trading days.
參考文獻 Aggarwal, R., & Rivoli, P. (1990). Fads in the initial public offering market?. Financial Management, 45-57.
Aissia, D. B. (2014). IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors. Review of Financial Economics, 23(3), 148-154.
Azar, P. (2009). Sentiment analysis in financial news. Harvard University.
Barber, B. M., & Odean, T. (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. The Journal of Finance, 37(4), 955-976.
Bautin, M., Vijayarenu, L., & Skiena, S. (2008, April). International Sentiment Analysis for News and Blogs. In ICWSM.
Beatty, R. P., & Ritter, J. R. (1986). Investment banking, reputation, and the underpricing of initial public offerings. Journal of financial economics, 15(1), 213-232.
BONDT, W. F., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557-581.
Cornelli, F., Goldreich, D., & Ljungqvist, A. (2006). Investor sentiment and pre‐ IPO markets. The Journal of Finance, 61(3), 1187-1216.
Davis, A. K., Piger, J. M., & Sedor, L. M. (2006). Beyond the numbers: An analysis of optimistic and pessimistic language in earnings press releases (No. 2006-005). Federal Reserve Bank of St. Louis.
Gao, Y. (2010). What comprises IPO initial returns: Evidence from the Chinese market. Pacific-Basin Finance Journal, 18(1), 77-89.
Godbole, N., Srinivasaiah, M., & Skiena, S. (2007). Large-Scale Sentiment Analysis for News and Blogs. ICWSM, 7(21), 219-222.
Hanley, K. W., & Hoberg, G. (2012). Litigation risk, strategic disclosure and the underpricing of initial public offerings. Journal of Financial Economics, 103(2), 235-254.
Henry, E. (2008). Are investors influenced by how earnings press releases are written?. Journal of Business Communication, 45(4), 363-407.
Jain, B. A., & Kini, O. (1994). The post‐issue operating performance of IPO firms. The journal of finance, 49(5), 1699-1726.
Kong, D., Yang, S. N., & Li, X. R. (2013). What Determines IPO`s Initial Abnormal Returns?--Evidence from Chinese Growth Enterprise Market. International Journal of Intelligent Technologies & Applied Statistics, 6(4).
Liu, L. X., Sherman, A. E., & Zhang, Y. (2009, October). Media coverage and IPO underpricing. In AFA 2009 San Francisco Meetings Paper.
Ljungqvist, A., Nanda, V., & Singh, R. (2006). Hot Markets, Investor Sentiment, and IPO Pricing*. The Journal of Business, 79(4), 1667-1702.
Loughran, T., & McDonald, B. (2013). IPO first-day returns, offer price revisions, volatility, and form S-1 language. Journal of Financial Economics, 109(2), 307-326.
Loughran, T., & Ritter, J. R. (1995). The new issues puzzle. The Journal of finance, 50(1), 23-51.
Lowry, M., & Schwert, G. W. (2002). IPO market cycles: Bubbles or sequential learning?. The Journal of Finance, 57(3), 1171-1200.
Lowry, M., & Schwert, G. W. (2004). Is the IPO pricing process efficient?. Journal of Financial Economics, 71(1), 3-26.
Nasukawa, T., & Yi, J. (2003, October). Sentiment analysis: Capturing favorability using natural language processing. In Proceedings of the 2nd international conference on Knowledge capture (pp. 70-77). ACM.
Ofek, E., & Richardson, M. (2003). Dotcom mania: The rise and fall of internet stock prices. The Journal of Finance, 58(3), 1113-1137.
Ritter, J. R. (1991). The long run performance of initial public offerings. The journal of finance, 46(1), 3-27.
Ritter, J. R., & Welch, I. (2002). A review of IPO activity, pricing, and allocations. The Journal of Finance, 57(4), 1795-1828.
Rock, K. (1986). Why new issues are underpriced. Journal of financial economics, 15(1), 187-212.
Shiller, R. J. (1990). Speculative prices and popular models. The Journal of Economic Perspectives, 4(2), 55-65.
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.
Tetlock, P. C., SAAR‐TSECHANSKY, M. A. Y. T. A. L., & Macskassy, S. (2008). More than words: Quantifying language to measure firms` fundamentals. The Journal of Finance, 63(3), 1437-1467.
Yi, J., Nasukawa, T., Bunescu, R., & Niblack, W. (2003, November). Sentiment analyzer: Extracting sentiments about a given topic using natural language processing techniques. In Data Mining, 2003. ICDM 2003. Third IEEE International Conference on (pp. 427-434). IEEE.
Zhang, J. (2015). Voluntary information disclosure on social media. Decision Support Systems, 73, 28-36.
描述 碩士
國立政治大學
會計學系
103353020
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103353020
資料類型 thesis
dc.contributor.advisor 諶家蘭zh_TW
dc.contributor.advisor Seng, Jia Langen_US
dc.contributor.author (Authors) 洪湘綺zh_TW
dc.contributor.author (Authors) Hong, Siang Cien_US
dc.creator (作者) 洪湘綺zh_TW
dc.creator (作者) Hong, Siang Cien_US
dc.date (日期) 2016en_US
dc.date.accessioned 20-Jul-2016 16:40:31 (UTC+8)-
dc.date.available 20-Jul-2016 16:40:31 (UTC+8)-
dc.date.issued (上傳時間) 20-Jul-2016 16:40:31 (UTC+8)-
dc.identifier (Other Identifiers) G0103353020en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99298-
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 (描述) 103353020zh_TW
dc.description.abstract (摘要) 本篇研究專注於首次公開發行公司上市櫃初始交易日之異常報酬與新聞情緒兩 者間之關係。本研究建立情緒字典以判別新聞之正負情緒,並過濾出與首次公開發 行有關之新聞,利用本研究建立之情緒字典以過濾出正負情緒之詞組。利用正負情 緒詞組數量計算出三種新聞情緒變數,並採實證研究方法檢測三種新聞情緒變數與 首次公開發行公司之初始交易日之異常報酬兩者間之關係。根據本研究之實證結果, 發現初始交易日之前的新聞能影響首次公開發行之異常報酬,而相關新聞之情緒語 調亦和異常報酬有關。此外,本研究亦檢測三種情緒變數和三種傳統變數之交乘項 對異常報酬之影響,發現公司規模大小與首日交易量與情緒變數之交乘項會對初始 交易日之異常報酬有影響。總言論之,本研究對新聞會影響首次公開發行初始交易 日之異常報酬提供了實證證據。zh_TW
dc.description.abstract (摘要) This study focuses on the relation between IPOs’ abnormal returns on initial trading days and news sentiment. To identify the tone of news, sentiment dictionary was established for this study, and news regarding IPO firms was picked out to count positive and negative words and phrases based on the sentiment dictionary. Using quantities of positive and negative words and phrases, three news variables were adopted and calculated. And linear regression was utilized to investigate the relation between IPOs’ abnormal returns on initial trading days and news sentiment. According to empirical results, I find that news prior to the IPO’s initial trading day can affect IPOs’ abnormal returns. The number of negative words and phrases is negatively related to the abnormal returns; the tone of news is positively related to the abnormal returns. Furthermore, I also investigated whether interaction terms of news variables and three control variables are related to abnormal returns on IPOs’ initial trading days. I find that interaction terms of the natural logarithm of firm size and two news variables and interaction terms of the natural logarithm of first-day trading volume and two news variables are related to abnormal returns. Overall, there is evidence that news can influence IPOs’ abnormal returns on initial trading days.en_US
dc.description.tableofcontents 1. INTRODUCTION 1
1.1 RESEARCH MOTIVATION AND PURPOSE 1
1.2 RESEARCH ISSUE 5
1.3 RESEARCH PROCESS 6
2. LITERATURE REVIEW 8
2.1 ABNORMAL RETURNS FROM IPOS AND ASYMMETRIC INFORMATION 9
2.2 IPOS INITIAL RETURNS AND INVESTORS’ OVERREACTION AT IPO 10
2.3 MEDIA COVERAGE AND INVESTORS’ SENTIMENT 13
2.4 SENTIMENT ANALYSIS IN FINANCE RESEARCH 14
2.5 DISCUSSION 16
3.METHODOLOGY 18
3.1 HYPOTHESES DEVELOPMENT 18
3.1.1 THE RELATIONSHIP BETWEEN ABNORMAL RETURNS FROM IPOS AND THE NUMBER OF NEGATIVE WORDS IN RELEVANT FINANCIAL NEWS 18
3.1.2 THE RELATIONSHIP BETWEEN ABNORMAL RETURNS FROM IPOS AND THE TONE IN RELEVANT FINANCIAL NEWS 19
3.1.3 THE RELATIONSHIP BETWEEN ABNORMAL RETURNS FROM IPOS AND INTERACTION TERMS BETWEEN THREE CONTROL VARIABLES AND NEWS VARIABLES 20
3.2 DATA, SAMPLE AND MODELS 25
3.2.1 DATA COLLECTION 25
3.2.2 SAMPLE DESCRIPTION 26
3.3 REASERCH DESIGN 29
3.3.1 APPROACHES TO MEASURE THE TONE OF FINANCIAL NEWS 29
3.4 REGRESSION MODLES 33
3.4.1 DEPENDENT VARIABLE 36
3.4.2 INDEPENDENT VARIABLES 37
3.4.3 CONTROL VARIABLES 39
4. RESEARCH RESULTS AND ANALYSIS 43
4.1 DESCRIPTIVE STATISTICS 43
4.2 EMIPIRICAL RESULTS 48
4.2.1 REGRESSION RESULTS FOR MODEL (1) OF H1 AND H2 48
4.2.2 REGRESSION RESULTS FOR MODEL (2) OF H3 52
4.2.3 REGRESSION RESULTS FOR MODEL (3) OF H4 54
4.2.4 REGRESSION RESULTS FOR MODEL (4) OF H5 56
5. CONCLUSION AND DISCUSSION 58
5.1 RESEARCH DISCUSSION 58
5.2 RESEARCH CONTRIBUTION 59
6. LIMITATION AND FUTURE RESEARCH WORK 61
REFERENCES 81		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103353020en_US
dc.subject (關鍵詞) 首次公開發行zh_TW
dc.subject (關鍵詞) 異常報酬zh_TW
dc.subject (關鍵詞) 新聞情緒zh_TW
dc.subject (關鍵詞) 情緒分析zh_TW
dc.subject (關鍵詞) Initial public offeringsen_US
dc.subject (關鍵詞) Abnormal returnsen_US
dc.subject (關鍵詞) News sentimenten_US
dc.subject (關鍵詞) Sentiment analysisen_US
dc.title (題名) 首次公開發行公司股票之初始報酬率與新聞情緒分析之關聯性研究zh_TW
dc.title (題名) THE ASSOCIATION BETWEEN IPO INITIAL RETURN AND NEWS SENTIMENT ANALYSISen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aggarwal, R., & Rivoli, P. (1990). Fads in the initial public offering market?. Financial Management, 45-57.
Aissia, D. B. (2014). IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors. Review of Financial Economics, 23(3), 148-154.
Azar, P. (2009). Sentiment analysis in financial news. Harvard University.
Barber, B. M., & Odean, T. (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. The Journal of Finance, 37(4), 955-976.
Bautin, M., Vijayarenu, L., & Skiena, S. (2008, April). International Sentiment Analysis for News and Blogs. In ICWSM.
Beatty, R. P., & Ritter, J. R. (1986). Investment banking, reputation, and the underpricing of initial public offerings. Journal of financial economics, 15(1), 213-232.
BONDT, W. F., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557-581.
Cornelli, F., Goldreich, D., & Ljungqvist, A. (2006). Investor sentiment and pre‐ IPO markets. The Journal of Finance, 61(3), 1187-1216.
Davis, A. K., Piger, J. M., & Sedor, L. M. (2006). Beyond the numbers: An analysis of optimistic and pessimistic language in earnings press releases (No. 2006-005). Federal Reserve Bank of St. Louis.
Gao, Y. (2010). What comprises IPO initial returns: Evidence from the Chinese market. Pacific-Basin Finance Journal, 18(1), 77-89.
Godbole, N., Srinivasaiah, M., & Skiena, S. (2007). Large-Scale Sentiment Analysis for News and Blogs. ICWSM, 7(21), 219-222.
Hanley, K. W., & Hoberg, G. (2012). Litigation risk, strategic disclosure and the underpricing of initial public offerings. Journal of Financial Economics, 103(2), 235-254.
Henry, E. (2008). Are investors influenced by how earnings press releases are written?. Journal of Business Communication, 45(4), 363-407.
Jain, B. A., & Kini, O. (1994). The post‐issue operating performance of IPO firms. The journal of finance, 49(5), 1699-1726.
Kong, D., Yang, S. N., & Li, X. R. (2013). What Determines IPO`s Initial Abnormal Returns?--Evidence from Chinese Growth Enterprise Market. International Journal of Intelligent Technologies & Applied Statistics, 6(4).
Liu, L. X., Sherman, A. E., & Zhang, Y. (2009, October). Media coverage and IPO underpricing. In AFA 2009 San Francisco Meetings Paper.
Ljungqvist, A., Nanda, V., & Singh, R. (2006). Hot Markets, Investor Sentiment, and IPO Pricing*. The Journal of Business, 79(4), 1667-1702.
Loughran, T., & McDonald, B. (2013). IPO first-day returns, offer price revisions, volatility, and form S-1 language. Journal of Financial Economics, 109(2), 307-326.
Loughran, T., & Ritter, J. R. (1995). The new issues puzzle. The Journal of finance, 50(1), 23-51.
Lowry, M., & Schwert, G. W. (2002). IPO market cycles: Bubbles or sequential learning?. The Journal of Finance, 57(3), 1171-1200.
Lowry, M., & Schwert, G. W. (2004). Is the IPO pricing process efficient?. Journal of Financial Economics, 71(1), 3-26.
Nasukawa, T., & Yi, J. (2003, October). Sentiment analysis: Capturing favorability using natural language processing. In Proceedings of the 2nd international conference on Knowledge capture (pp. 70-77). ACM.
Ofek, E., & Richardson, M. (2003). Dotcom mania: The rise and fall of internet stock prices. The Journal of Finance, 58(3), 1113-1137.
Ritter, J. R. (1991). The long run performance of initial public offerings. The journal of finance, 46(1), 3-27.
Ritter, J. R., & Welch, I. (2002). A review of IPO activity, pricing, and allocations. The Journal of Finance, 57(4), 1795-1828.
Rock, K. (1986). Why new issues are underpriced. Journal of financial economics, 15(1), 187-212.
Shiller, R. J. (1990). Speculative prices and popular models. The Journal of Economic Perspectives, 4(2), 55-65.
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.
Tetlock, P. C., SAAR‐TSECHANSKY, M. A. Y. T. A. L., & Macskassy, S. (2008). More than words: Quantifying language to measure firms` fundamentals. The Journal of Finance, 63(3), 1437-1467.
Yi, J., Nasukawa, T., Bunescu, R., & Niblack, W. (2003, November). Sentiment analyzer: Extracting sentiments about a given topic using natural language processing techniques. In Data Mining, 2003. ICDM 2003. Third IEEE International Conference on (pp. 427-434). IEEE.
Zhang, J. (2015). Voluntary information disclosure on social media. Decision Support Systems, 73, 28-36.		zh_TW