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題名 首次公開發行公司短期及長期績效之探討
The Short-Run and Long-Run Performance of Initial Public Offerings
作者 陳姵彣
Chen, Pei Wen
貢獻者 陳鴻毅
Chen, Hong Yi
陳姵彣
Chen, Pei Wen
關鍵詞 初次公開發行公司
長期
短期
績效
IPO
long-run
short-run
performance
日期 2016
上傳時間 20-Jul-2016 17:12:37 (UTC+8)
摘要 本研究主要探討初次公開發行公司短期與長期之績效。利用1980年至2015年美國初次公開發行公司為樣本，本研究發現初次公開發行之公司其上市後三年之股價較市場整體表現來得差。經三因子模型及五因子模型之風險調整後，初次公開發行之公司之超額報酬仍為負值。此外，初次公開發行之公司其上市後三年之營運表現也較上市之前更為衰退。本研究進一步依據公司於首次公開發行後之短期績效分成四組，發現短期擁有較高的累積市場調整報酬之公司其長期之股價及營運績效也會較好。結果顯示市場能於公司首次公開發行時能夠有效率地分辨好公司與壞公司。
The main purpose of this study is to investigate the short-run and long-run performance for initial public offering (IPO) firms. Using U.S. firms which conducted IPO during the period from 1980 to 2015, this study finds that IPO firms exhibit relatively poor price performance for three years. The poor performance still holds after adjusted by Fama-French three factor model and Fama-French five factor model. This study further separates IPO firms into four groups, and finds that the group with higher cumulative adjusted return in the short-run will have higher price performance and operating performance in the long-run. This implies that the market can efficiently separate good IPO firms from bad IPO firms.
參考文獻 Allen, F. and G. R. Faulhaber, 1989, Signalling by underpricing in the IPO market, Journal of Financial Economics 23, 303-323
Asquith, P. and D. W. Mullins Jr., 1986, Equity issues and offering dilution, Journal of financial economics 15, 61-89
Carter R. B., F. H. Dark, and A. K. Singh, 1998, Underwriter reputation, initial returns, and the long-run performance of IPO stocks, Journal of Finance 53, 285–311
Chan, K., Junbo Wang, and K.C. John Wei, 2004, Underpricing and long-term performance of IPOs in China, Journal of Corporate Finance 10, 409– 430
Fama, E. F., and K. R. French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22
French, K. R. Data Library. Available at: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.Accessed 20 April 2016.
Gompers P. A., and J. Lerner, 2003, The really long-run performance of initial public offerings: the pre-Nasdaq evidence, Journal of Finance 58, 1355-1392
Grinblatt, M. and C. Y. Hwang, 1989, Signaling and the pricing of new issues, Journal of Finance 44, 393–420
Jain B. A., and O. Kini, 1994, The post-issue operating performance of IPO firms,Journal of Finance 49, 1699–1726
Loughran T., and J. R. Ritter, 1995, The new issues puzzle, Journal of Finance 50,23–51
Loughran T., and J. R. Ritter, 2002, Why has IPO underpricing changed over time?Financial Management 33, No. 3
Lowry M., M. S. Officer, G. W. Schwert, The variability of IPO initial returns, Journal of Finance 65, 425–465
Myers, S. C., and N. S. Majluf, 1984, Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 187-221
Ritter, J. R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3–27
Stoll, H. R., and A. J. Curley, 1970, Small business and the new issues market for equities, Journal of Financial and Quantitative Analysis 5, 309-322
Welch, I., 1996, Equity offerings following the IPO theory and evidence, Journal of Corporate Finance 2, 227-259
描述 碩士
國立政治大學
財務管理研究所
103357028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357028
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong Yien_US
dc.contributor.author (Authors) 陳姵彣zh_TW
dc.contributor.author (Authors) Chen, Pei Wenen_US
dc.creator (作者) 陳姵彣zh_TW
dc.creator (作者) Chen, Pei Wenen_US
dc.date (日期) 2016en_US
dc.date.accessioned 20-Jul-2016 17:12:37 (UTC+8)-
dc.date.available 20-Jul-2016 17:12:37 (UTC+8)-
dc.date.issued (上傳時間) 20-Jul-2016 17:12:37 (UTC+8)-
dc.identifier (Other Identifiers) G0103357028en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99328-
dc.description (描述) 碩士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) 103357028zh_TW
dc.description.abstract (摘要) 本研究主要探討初次公開發行公司短期與長期之績效。利用1980年至2015年美國初次公開發行公司為樣本，本研究發現初次公開發行之公司其上市後三年之股價較市場整體表現來得差。經三因子模型及五因子模型之風險調整後，初次公開發行之公司之超額報酬仍為負值。此外，初次公開發行之公司其上市後三年之營運表現也較上市之前更為衰退。本研究進一步依據公司於首次公開發行後之短期績效分成四組，發現短期擁有較高的累積市場調整報酬之公司其長期之股價及營運績效也會較好。結果顯示市場能於公司首次公開發行時能夠有效率地分辨好公司與壞公司。zh_TW
dc.description.abstract (摘要) The main purpose of this study is to investigate the short-run and long-run performance for initial public offering (IPO) firms. Using U.S. firms which conducted IPO during the period from 1980 to 2015, this study finds that IPO firms exhibit relatively poor price performance for three years. The poor performance still holds after adjusted by Fama-French three factor model and Fama-French five factor model. This study further separates IPO firms into four groups, and finds that the group with higher cumulative adjusted return in the short-run will have higher price performance and operating performance in the long-run. This implies that the market can efficiently separate good IPO firms from bad IPO firms.en_US
dc.description.tableofcontents Contents
List of Tables and Figures IV
Chapter 1. Introduction 1
1.1 Motivation 1
1.2 Purpose and Contribution 1
1.3 Structure 2
Chapter 2. Literature Review 3
2.1 Long-Run Performance 3
2.2 Short-Run Performance 4
Chapter 3. Data and Methodology 6
3.1 Data 6
3.2 Methodology 6
Chapter 4. Empirical Results 9
4.1 Short-Run Performance for IPO Firms 9
4.2 Long-Run Cumulative Adjusted Returns for IPO Firms 9
4.3 Relationship between Short-Run and Long-Run Performance 10
4.4 Firm-specific Regression on FF5, FF3, and CAPM Models 11
4.5 Post-IPO Operating Performance 12
4.6 Post-IPO Operating Performance Split by Short-Run Return 13
Chapter 5. Conclusions 14
5.1 Summary of this Study 14
5.2 Suggestions for Future Research 14
References 16

 
List of Tables and Figures
Table 1 Sample Selection and Number of Issues per Year 18
Table 2 Summary Statistics of Key Variables 19
Table 3 Cumulative Adjusted Returns around the Issuance Date 20
Table 4 Short-run Performance grouped by Cumulative Adjusted Return (CAR1,21) 21
Table 5 Long-run Cumulative Adjusted Returns for IPOs in 1980-2015 22
Table 6 Difference for Long-run Return grouped by Shor-run Cumulative Adjusted Return (CAR1,21) 23
Table 7 Specific Company Regression on FF5, FF3, and CAPM models 24
Table 8 Specific Company Regression on FF5, FF3, and CAPM models, with Company split by Shor-run Cumulative Adjusted Return (CAR1,21) 25
Table 9 Operating Performance of Initial Public Offering Firms 26
Table 10 Operating Performance of Initial Public Offering Firms Split by Short-run Cumulative Adjusted Return (CAR1,21) 27

Figure 1 Research Structure 28
Figure 2 Cumulative returns for 4,779 IPOs 29
Figure 3 Short-run and Long-run Cumulative Adjusted Returns 30		zh_TW
dc.format.extent 1061309 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357028en_US
dc.subject (關鍵詞) 初次公開發行公司zh_TW
dc.subject (關鍵詞) 長期zh_TW
dc.subject (關鍵詞) 短期zh_TW
dc.subject (關鍵詞) 績效zh_TW
dc.subject (關鍵詞) IPOen_US
dc.subject (關鍵詞) long-runen_US
dc.subject (關鍵詞) short-runen_US
dc.subject (關鍵詞) performanceen_US
dc.title (題名) 首次公開發行公司短期及長期績效之探討zh_TW
dc.title (題名) The Short-Run and Long-Run Performance of Initial Public Offeringsen_US
dc.type (資料類型) thesisen_US
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, 303-323
Asquith, P. and D. W. Mullins Jr., 1986, Equity issues and offering dilution, Journal of financial economics 15, 61-89
Carter R. B., F. H. Dark, and A. K. Singh, 1998, Underwriter reputation, initial returns, and the long-run performance of IPO stocks, Journal of Finance 53, 285–311
Chan, K., Junbo Wang, and K.C. John Wei, 2004, Underpricing and long-term performance of IPOs in China, Journal of Corporate Finance 10, 409– 430
Fama, E. F., and K. R. French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22
French, K. R. Data Library. Available at: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.Accessed 20 April 2016.
Gompers P. A., and J. Lerner, 2003, The really long-run performance of initial public offerings: the pre-Nasdaq evidence, Journal of Finance 58, 1355-1392
Grinblatt, M. and C. Y. Hwang, 1989, Signaling and the pricing of new issues, Journal of Finance 44, 393–420
Jain B. A., and O. Kini, 1994, The post-issue operating performance of IPO firms,Journal of Finance 49, 1699–1726
Loughran T., and J. R. Ritter, 1995, The new issues puzzle, Journal of Finance 50,23–51
Loughran T., and J. R. Ritter, 2002, Why has IPO underpricing changed over time?Financial Management 33, No. 3
Lowry M., M. S. Officer, G. W. Schwert, The variability of IPO initial returns, Journal of Finance 65, 425–465
Myers, S. C., and N. S. Majluf, 1984, Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 187-221
Ritter, J. R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3–27
Stoll, H. R., and A. J. Curley, 1970, Small business and the new issues market for equities, Journal of Financial and Quantitative Analysis 5, 309-322
Welch, I., 1996, Equity offerings following the IPO theory and evidence, Journal of Corporate Finance 2, 227-259		zh_TW