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題名 美國首次公開發行股票市場長期報酬實證研究
Empirical Research on the Long-Run Performance of the US IPO Market作者 鄭羽涵
Cheng, Yu-Han貢獻者 徐政義
Shiu, Cheng-Yi
鄭羽涵
Cheng, Yu-Han關鍵詞 異常報酬
橫斷面異常報酬
美國
Fama and French
United States
IPO
Abnormal return
Cross-sectional stock returns日期 2023 上傳時間 2-Aug-2023 13:13:57 (UTC+8) 摘要 「新股之謎」是一個長期以來存在於學界的難題，對於首次公開發行(IPO) 公司的長期績效，存在著眾說紛紜的觀點。過去的研究文獻主要集中在 2000 年 前後，發現美國 IPO 市場長期報酬表現不佳。因此，本研究旨在探究近 20 年來 美國 IPO 市場的長期績效情況，以驗證是否仍存在長期績效不佳的情況。傳統上，研究常採用事件研究法來檢定是否存在異常報酬;近年來，曆時 法的應用興起，IPO 市場可分為熱市和冷市兩種情況，研究發現熱市下的 IPO 長期報酬普遍不佳，若大量的 IPO 集中於某一時點上市，這些 IPO 公司中容易 藏匿著品質較差的公司，而採用曆時法可以解決 IPO 集中上市的問題。本研究將利用事件研究法，檢視 2002 年至 2019 年 1,622 家美國 IPO 公司 之長期績效，以驗證是否仍存在異常報酬，再利用 CAPM 單因子模型以及 Fama-French 多因子模型進行歸因。本研究結果顯示，2002 年至 2019 年美國 IPO 新股投資組合 36 個月報酬率 並無顯著異常報酬跡象，且因子模型可以有效地解釋 2002 年至 2019 年美國 IPO 新股投資組合平均月報酬。
"The Puzzle of Initial Public Offerings (IPOs)" has been a longstanding challenge in academia, with conflicting views on the long-term performance of IPO companies. Previous research primarily focused on the period around 2000 and found poor long-term returns in the US IPO market. Therefore, this study aims to explore the long-term performance of the US IPO market in the past 20 years to verify whether poor long-term performance still exists.Traditionally, event study methodology has been used to examine the presence of abnormal returns. In recent years, the application of calendar-time portfolio methodology has emerged. The IPO market can be categorized into hot and cold markets, and it has been found that IPOs in hot markets generally exhibit poor long- term returns. When a large number of IPOs concentrate in a particular period, it tends to include lower-quality firms. The calendar-time portfolio methodology can address the issue of clustered IPOs.In this study, we will employ event study methodology to examine the long-term performance of 1,622 US IPO firms from 2002 to 2019, in order to verify the presence of abnormal returns. Additionally, we will use the CAPM single-factor model and the Fama-French multi-factor model for attribution analysis.The results of this study indicate that there is no significant evidence of abnormal returns in the 36-month returns of the US IPO portfolio from 2002 to 2019. Furthermore, the factor models can effectively explain the average monthly returns of the US IPO portfolio from 2002 to 2019.參考文獻 Barber, B. M., & Lyon, J. D. (1997). Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics, 43(3), 341-372.Baron, D. P. (1982). A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues. Journal of Finance, 37(4), 955-976.Brav, A., & Gompers, P. A. (1997). Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies. Journal of Finance, 52(5), 1791-1821.Brav, Alon, Christopher C. Geczy, and Paul A. Gompers (2000). Is the Abnormal Return Following Equity Issuances Anomalous? Journal of Financial Economics, 56, 209-249.Benveniste, L. M., & Spindt, P. A. (1989). How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics, 24(2), 343- 361.Benveniste, L. M., & Wilhelm Jr, W. J. (1990). A comparative analysis of IPO proceeds under alternative regulatory environments. Journal of Financial Economics, 28(2), 173-207.Bradley, D. J., Jordan, B. D., & Ritter, J. R. (2001). The Quiet Period Goes out with a Bang. Journal of Finance, 56(1), 1-26.Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.Cornelli, F., & Goldreich, D. (2001). Bookbuilding: How informative is the order book? Journal of Finance, 56(5), 2185-2219.Desai, H., & Jain, P. C. (1997). Long-run common stock returns following stock splits and reverse splits. Journal of Business Finance & Accounting, 24(3), 345-370.Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465.Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.Fama, E. F., & French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84.Fama, Eugene F. (1998), Market efficiency, Long-term returns, and Behavioral finance, Journal of Financial Economics, 49, 283-306.Fama, Eugene F., French, Kenneth R. (2015), A five-factor asset pricing model, Journal of Financial Economics, 116, 1-22.Fama, E.F., French, K.R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116(1), 1-22.Fama, Eugene F., French, Kenneth R. (2016), Dissecting Anomalies with a Five- Factor Model, Journal of Finance, 50, 131-156.Fama, E.F., French, K.R. (2016). Dissecting Anomalies with a Five-Factor Model. The Review of Financial Studies, 29(1), 69-103.Fama, E. F., & French, K. R. (2018). Choosing Factors. Journal of FinancFama, E. F., & French, K. R. (2020). International Tests of a Five-Factor Asset Pricing Model. Journal of Financial Economics, 135(2), 397-436.Gao, M., Li, K., Ritter, J. R., & Zhu, Z. (2020). Shareholder voting in IPOs and venture capital certification. Journal of Financial Economics, 135(3), 816-840.Gompers, Paul, and Josh Lerner (2003). The Really Long-Run Performance of Initial Public Offerings: The Pre-Nasdaq Evidence. Journal of Finance, 58(4), 1355-1392.Hanley, K. W. (1993). The Underpricing of Initial Public Offerings and the Partial Adjustment Phenomenon. Journal of Financial Economics, 34(2), 231-250.Heaton, J. B. (2002). Managerial optimism and corporate finance. Financial Management, 31(2), 33-45.Hedman, J., Mårtensson, M., & Tagesson, T. (2021). Does foreign private equity investment improve the performance of portfolio companies? Journal of Corporate Finance, 68, 101918.Huang, R., Ritter, J. R., & Zhang, D. (2019). Transforming research on initial public offerings: A review and synthesis. Journal of Corporate Finance, 56, 429-454.Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23(2), 389-416.Johnson, T., Lin, C., & Roychowdhury, S. (2013). Discretionary disclosures around the world: Evidence from the issuance of earnings forecasts. Journal of Accounting Research, 51(4), 967-1000.Kothari, S. P., & Warner, J. B. (1997). Measuring long-horizon security price performance. Journal of Financial Economics, 43(3), 301-339.Krigman, L., Shaw, W. H., & Womack, K. L. (1999). The persistence of IPO mispricing and the predictive power of flipping. Journal of Finance, 54(3), 1015-1044.Lee, C. M., & Loughran, T. (1998). An initial public offering`s impact on the nearby competitors. Journal of Finance, 53(4), 1667-1683.Lee, C. M., Taylor, S. L., & Walter, T. S. (1999). Seasoned equity offerings: Quality of signaling and earnings` response. Journal of Financial Economics, 54(3), 375-417.Loughran, T., & Ritter, J. R. (1995). The New Issue Puzzle. Journal of Finance, 50(1), 23-51.Loughran, T., & Ritter, J. R. (2000). Uniformly Least Powerful Tests of Market Efficiency. Journal of Financial Economics, 55(1), 361-389.Lyon, J. D. (1997). A primer on buy-and-hold abnormal returns. Financial Management, 26(2), 45-55.Miller, M. H. (1977). Debt and taxes. Journal of Finance, 32(2), 261-275.Purnanandam, A., & Swaminathan, B. (2001). Are IPOs really underpriced? Review of Financial Studies, 14(3), 759-787.Ritter, J. R. (1984). The Hot Issue Market of 1980. Journal of Business, 57(2), 215- 240.Ritter, J. R. (1991). The Long-run Performance of Initial Public Offerings. Journal of Finance, 46(1), 3-27.Ritter, J. R. (1998). Initial Public Offerings, Market Returns, and the Long-Run Performance of IPOs. Journal of Finance, 53(3), 1159-1175.ial Economics, 128(2), 234-252.Ritter, J. R. & Welch, I., (2002). A Review of IPO Activity, Pricing, and Allocations. Journal of Finance, 57(4), 1795-1828.Ritter, J. R. (2003). Differences between European and American IPO Markets. European Financial Management, 9(4), 373-387.Ritter, J. R. (2015). Where Have All the IPOs Gone? Journal of Applied Corporate Finance, 27(1), 133-143.Robinson, D. T. (2021). The history of the initial public offering. Annual Review of Financial Economics, 13, 53-73.Rock, K., & Ritter, J. R. (1984). The Pricing of Initial Public Offerings. Journal of Financial Economics, 15(1-2), 187-212.Rock, K. (1986). Why New Issues Are Underpriced. Journal of Financial Economics, 15(1-2), 187-212.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.Spiess, D. K., & Affleck-Graves, J. (1995). Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics, 38(3), 243-267.Spiess, D. K., & Affleck-Graves, J. (1998). The long-run performance of stock returns following debt offerings. Journal of Financial Economics, 49(1), 61-99.Teoh, Siew Hong, Ivo Welch, and T.J. Wong (1998). Earnings Management and the Long-Run Market Performance of Initial Public Offerings. Journal of Finance, 53, 1935-1974.Welch, I. (1989). Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings. Journal of Finance, 44(2), 421-449. 描述 碩士
國立政治大學
國際經營與貿易學系
110351036資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351036 資料類型 thesis dc.contributor.advisor 徐政義 zh_TW dc.contributor.advisor Shiu, Cheng-Yi en_US dc.contributor.author (Authors) 鄭羽涵 zh_TW dc.contributor.author (Authors) Cheng, Yu-Han en_US dc.creator (作者) 鄭羽涵 zh_TW dc.creator (作者) Cheng, Yu-Han en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:13:57 (UTC+8) - dc.date.available 2-Aug-2023 13:13:57 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:13:57 (UTC+8) - dc.identifier (Other Identifiers) G0110351036 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146344 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351036 zh_TW dc.description.abstract (摘要) 「新股之謎」是一個長期以來存在於學界的難題，對於首次公開發行(IPO) 公司的長期績效，存在著眾說紛紜的觀點。過去的研究文獻主要集中在 2000 年 前後，發現美國 IPO 市場長期報酬表現不佳。因此，本研究旨在探究近 20 年來 美國 IPO 市場的長期績效情況，以驗證是否仍存在長期績效不佳的情況。傳統上，研究常採用事件研究法來檢定是否存在異常報酬;近年來，曆時 法的應用興起，IPO 市場可分為熱市和冷市兩種情況，研究發現熱市下的 IPO 長期報酬普遍不佳，若大量的 IPO 集中於某一時點上市，這些 IPO 公司中容易 藏匿著品質較差的公司，而採用曆時法可以解決 IPO 集中上市的問題。本研究將利用事件研究法，檢視 2002 年至 2019 年 1,622 家美國 IPO 公司 之長期績效，以驗證是否仍存在異常報酬，再利用 CAPM 單因子模型以及 Fama-French 多因子模型進行歸因。本研究結果顯示，2002 年至 2019 年美國 IPO 新股投資組合 36 個月報酬率 並無顯著異常報酬跡象，且因子模型可以有效地解釋 2002 年至 2019 年美國 IPO 新股投資組合平均月報酬。 zh_TW dc.description.abstract (摘要) "The Puzzle of Initial Public Offerings (IPOs)" has been a longstanding challenge in academia, with conflicting views on the long-term performance of IPO companies. Previous research primarily focused on the period around 2000 and found poor long-term returns in the US IPO market. Therefore, this study aims to explore the long-term performance of the US IPO market in the past 20 years to verify whether poor long-term performance still exists.Traditionally, event study methodology has been used to examine the presence of abnormal returns. In recent years, the application of calendar-time portfolio methodology has emerged. The IPO market can be categorized into hot and cold markets, and it has been found that IPOs in hot markets generally exhibit poor long- term returns. When a large number of IPOs concentrate in a particular period, it tends to include lower-quality firms. The calendar-time portfolio methodology can address the issue of clustered IPOs.In this study, we will employ event study methodology to examine the long-term performance of 1,622 US IPO firms from 2002 to 2019, in order to verify the presence of abnormal returns. Additionally, we will use the CAPM single-factor model and the Fama-French multi-factor model for attribution analysis.The results of this study indicate that there is no significant evidence of abnormal returns in the 36-month returns of the US IPO portfolio from 2002 to 2019. Furthermore, the factor models can effectively explain the average monthly returns of the US IPO portfolio from 2002 to 2019. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構 3第二章 文獻回顧 4第一節 首次公開發行(IPO)折價現象 4第二節 IPO後中、長期股價表現 6第三節 衡量IPO長期報酬之方法 9第四節 IPO長期報酬與因子模型應用 14第三章 研究方法 16第一節 樣本與資料來源 16第二節 異常報酬變數定義與計算公式 17第三節 Fama-French多因子模型 21第四章 研究結果分析 27第一節 異常報酬檢定結果 27第二節 投資組合對迴歸分析結果 29第五章 結論與建議 32參考文獻 34 zh_TW dc.format.extent 824711 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351036 en_US dc.subject (關鍵詞) 異常報酬 zh_TW dc.subject (關鍵詞) 橫斷面異常報酬 zh_TW dc.subject (關鍵詞) 美國 zh_TW dc.subject (關鍵詞) Fama and French zh_TW dc.subject (關鍵詞) United States en_US dc.subject (關鍵詞) IPO en_US dc.subject (關鍵詞) Abnormal return en_US dc.subject (關鍵詞) Cross-sectional stock returns en_US dc.title (題名) 美國首次公開發行股票市場長期報酬實證研究 zh_TW dc.title (題名) Empirical Research on the Long-Run Performance of the US IPO Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Barber, B. M., & Lyon, J. D. (1997). Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics, 43(3), 341-372.Baron, D. P. (1982). A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues. Journal of Finance, 37(4), 955-976.Brav, A., & Gompers, P. A. (1997). Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies. Journal of Finance, 52(5), 1791-1821.Brav, Alon, Christopher C. Geczy, and Paul A. Gompers (2000). Is the Abnormal Return Following Equity Issuances Anomalous? Journal of Financial Economics, 56, 209-249.Benveniste, L. M., & Spindt, P. A. (1989). How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics, 24(2), 343- 361.Benveniste, L. M., & Wilhelm Jr, W. J. (1990). A comparative analysis of IPO proceeds under alternative regulatory environments. Journal of Financial Economics, 28(2), 173-207.Bradley, D. J., Jordan, B. D., & Ritter, J. R. (2001). The Quiet Period Goes out with a Bang. Journal of Finance, 56(1), 1-26.Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.Cornelli, F., & Goldreich, D. (2001). Bookbuilding: How informative is the order book? Journal of Finance, 56(5), 2185-2219.Desai, H., & Jain, P. C. (1997). Long-run common stock returns following stock splits and reverse splits. Journal of Business Finance & Accounting, 24(3), 345-370.Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465.Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.Fama, E. F., & French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84.Fama, Eugene F. (1998), Market efficiency, Long-term returns, and Behavioral finance, Journal of Financial Economics, 49, 283-306.Fama, Eugene F., French, Kenneth R. (2015), A five-factor asset pricing model, Journal of Financial Economics, 116, 1-22.Fama, E.F., French, K.R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116(1), 1-22.Fama, Eugene F., French, Kenneth R. (2016), Dissecting Anomalies with a Five- Factor Model, Journal of Finance, 50, 131-156.Fama, E.F., French, K.R. (2016). Dissecting Anomalies with a Five-Factor Model. The Review of Financial Studies, 29(1), 69-103.Fama, E. F., & French, K. R. (2018). Choosing Factors. Journal of FinancFama, E. F., & French, K. R. (2020). International Tests of a Five-Factor Asset Pricing Model. Journal of Financial Economics, 135(2), 397-436.Gao, M., Li, K., Ritter, J. R., & Zhu, Z. (2020). Shareholder voting in IPOs and venture capital certification. Journal of Financial Economics, 135(3), 816-840.Gompers, Paul, and Josh Lerner (2003). The Really Long-Run Performance of Initial Public Offerings: The Pre-Nasdaq Evidence. Journal of Finance, 58(4), 1355-1392.Hanley, K. W. (1993). The Underpricing of Initial Public Offerings and the Partial Adjustment Phenomenon. Journal of Financial Economics, 34(2), 231-250.Heaton, J. B. (2002). Managerial optimism and corporate finance. Financial Management, 31(2), 33-45.Hedman, J., Mårtensson, M., & Tagesson, T. (2021). Does foreign private equity investment improve the performance of portfolio companies? Journal of Corporate Finance, 68, 101918.Huang, R., Ritter, J. R., & Zhang, D. (2019). Transforming research on initial public offerings: A review and synthesis. Journal of Corporate Finance, 56, 429-454.Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23(2), 389-416.Johnson, T., Lin, C., & Roychowdhury, S. (2013). Discretionary disclosures around the world: Evidence from the issuance of earnings forecasts. Journal of Accounting Research, 51(4), 967-1000.Kothari, S. P., & Warner, J. B. (1997). Measuring long-horizon security price performance. Journal of Financial Economics, 43(3), 301-339.Krigman, L., Shaw, W. H., & Womack, K. L. (1999). The persistence of IPO mispricing and the predictive power of flipping. Journal of Finance, 54(3), 1015-1044.Lee, C. M., & Loughran, T. (1998). An initial public offering`s impact on the nearby competitors. Journal of Finance, 53(4), 1667-1683.Lee, C. M., Taylor, S. L., & Walter, T. S. (1999). Seasoned equity offerings: Quality of signaling and earnings` response. Journal of Financial Economics, 54(3), 375-417.Loughran, T., & Ritter, J. R. (1995). The New Issue Puzzle. Journal of Finance, 50(1), 23-51.Loughran, T., & Ritter, J. R. (2000). Uniformly Least Powerful Tests of Market Efficiency. Journal of Financial Economics, 55(1), 361-389.Lyon, J. D. (1997). A primer on buy-and-hold abnormal returns. Financial Management, 26(2), 45-55.Miller, M. H. (1977). Debt and taxes. Journal of Finance, 32(2), 261-275.Purnanandam, A., & Swaminathan, B. (2001). Are IPOs really underpriced? Review of Financial Studies, 14(3), 759-787.Ritter, J. R. (1984). The Hot Issue Market of 1980. Journal of Business, 57(2), 215- 240.Ritter, J. R. (1991). The Long-run Performance of Initial Public Offerings. Journal of Finance, 46(1), 3-27.Ritter, J. R. (1998). Initial Public Offerings, Market Returns, and the Long-Run Performance of IPOs. Journal of Finance, 53(3), 1159-1175.ial Economics, 128(2), 234-252.Ritter, J. R. & Welch, I., (2002). A Review of IPO Activity, Pricing, and Allocations. Journal of Finance, 57(4), 1795-1828.Ritter, J. R. (2003). Differences between European and American IPO Markets. European Financial Management, 9(4), 373-387.Ritter, J. R. (2015). Where Have All the IPOs Gone? Journal of Applied Corporate Finance, 27(1), 133-143.Robinson, D. T. (2021). The history of the initial public offering. Annual Review of Financial Economics, 13, 53-73.Rock, K., & Ritter, J. R. (1984). The Pricing of Initial Public Offerings. Journal of Financial Economics, 15(1-2), 187-212.Rock, K. (1986). Why New Issues Are Underpriced. Journal of Financial Economics, 15(1-2), 187-212.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.Spiess, D. K., & Affleck-Graves, J. (1995). Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics, 38(3), 243-267.Spiess, D. K., & Affleck-Graves, J. (1998). The long-run performance of stock returns following debt offerings. Journal of Financial Economics, 49(1), 61-99.Teoh, Siew Hong, Ivo Welch, and T.J. Wong (1998). Earnings Management and the Long-Run Market Performance of Initial Public Offerings. Journal of Finance, 53, 1935-1974.Welch, I. (1989). Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings. Journal of Finance, 44(2), 421-449. zh_TW
