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題名 IPO期初報酬影響因素探討： 以2005-2011年台灣上市企業為例
The determinants of IPO initial return in Taiwan stock market (2005-2011)作者 林鼎堯 貢獻者 李桐豪
林鼎堯關鍵詞 IPO
期初報酬
分量迴歸
贏者詛咒
Initial Public Offering
Quantile Regression日期 2011 上傳時間 30-Oct-2012 11:24:20 (UTC+8) 摘要 企業初次公開發行(IPO，Initial Public Offering)向來是股票市場炙手可熱的話題之一，在財務經濟領域中，探討股票初次上市發行的相關議題更是多如過江之鯽，而關於IPO期初報酬率影響因素之探討更可溯及至1970年代。本研究主要係探討台灣初次上市企業期初報酬率的影響因素及影響情形，並以2005年承銷新制上路以後、直至2011年的初次上市企業為研究對象，除利用傳統的最小平方法觀察影響期初報酬的因素外，有鑑於期初報酬率普遍具有右偏分配的現象，本研究亦輔以分量迴歸分析法觀察影響期初報酬的因素，經由分量值的變動，可將解釋變數影響被解釋變數的各種情形加以估計出。再來，本研究在探討期初報酬率影響因素之基礎上，以分量迴歸分析法尋找出交易準則，並進一步檢驗當投資人遵循交易準則下，是否得以獲取顯著異於同期間大盤指數之報酬績效。在上市首日買入並持有至第五日收盤賣出之案例中，以分量迴歸結果所設定之交易準則並無法為投資人帶來顯著優於大盤指數之報酬水準；然而，在上市首日買入並持有至第二十日收盤賣出之案例，以分量迴歸結果所設定之交易準則卻可為投資人帶來顯著優於大盤指數之報酬水準。總體而言，本研究試圖將近年影響台灣企業IPO期初報酬率之因素加以剖析，進而從中尋找一些潛在規則，讓投資人得以一窺初級市場的變化及其所可能帶來之潛在獲利良機。 參考文獻 一、中文參考文獻1.林象山(1995)，「承銷商信譽對新上市股票之影響」，中國財務學刊，3卷1期，119-143。2.李榮鎮、蔡佩靜、林純夷(2010)，「台灣初次上市上櫃公司股價長短期表現之研究」，台灣銀行季刊，62卷1期，193-222。3.陳軒基、葉秀娟、陳右超(2003)，「承銷制度與折價幅度：台灣初次上市櫃股票股票之實證分析(1980~2000)」，證券市場發展季刊，14卷4期，175-198。4.陳安琳、李文智、林宗源(1999)，「新上市公司股票之發行折價─代理成本與公司控制之研究」，中國財務學刊，6卷3期，1-23。5.高蘭芬、盧正壽(2010)，「發行市場投資風險之探討─IPOs初始報酬變異觀，中山管理評論，18卷1期，211-249。6.李建興(2008)，「台灣IPO折價影響因素之探討：分量迴歸分析法」，證券市場發展季刊，20卷1期，47-100。7.陳安琳(1997)，「新上市公司股票相關之理論與實證文獻回顧」，管理學報，14卷3期，403-436。二、英文參考文獻1.Aggarwal, R. and R. Kunz (1994), “Why initial public offerings are underpriced: evidence from Switzerland,” Journal of Banking and Finance, Vol. 18, 705-723.2.Allen, F., and Faulhaber, G. R. (1989), “Signalling by underpricing in the IPO market,” Journal of Financial Economics, Vol. 23, 303-323.3.Balvers, R. J., McDonald, B., and Miller, R. E. (1988), ”Underpricing of new issues and the choice of auditor as a signal of investment banker reputation,” The Accounting Review, Vol. 63, 605-622.4.Beatty, R. P. (1989), “Auditor reputation and the pricing of initial public offerings,” The Accounting Review, Vol. 64, 693-709.5.Baron, D. P. (1982), “A model of the demand for investment banking advising and distribution,” Journal of Finance, Vol. 37, 955-976.6.Beatty R. P. and J.R. Ritter (1986), “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings,” Journal of Financial Economics, vol. 15, 213-232.7.Benveniste, L. M. and Spindt, P. A. (1989), “How investment bankers determine the offer price and allocation of new issues,” Journal of Financial Economics, Vol. 24, 343-361.8.Carter, R., F. Dark and A. Singh (1998), “Underwriter reputation, initial returns, and the long-run performance of IPO stocks,” Journal of Finance, Vol. 53, 285-311.9.Carter, R. and S. Manaster (1990), “Initial public offerings and underwriter reputation,” Journal of Finance, Vol. 45, 1045-1067.10.Derrien, F. and K. L. Womack (2003), “Auction v.s. Bookbuilding and the Control of Underpricing in Hot IPO Market,” Review of Financial Studies, Vol. 16, 31-61.11.Huang, Y. S. (1999), “The Price Behavior of Initial Public Offerings on the Taiwan Stock Exchange,” Applied Financial Economics, Vol. 9, No.2, 201-208.12.Ibbotson, R. G., and Jaffe, J. J. (1975), “’Hot issue’ market,” Journal of Finance, Vol. 30, 1027-1042.13.Johnson, J. M., and Miller, R. E. (1988), “Investment banker prestige and the underpricing of initial public offerings,” Financial Management, Vol. 17, 19-29.14.Lee, P. J., Taylor, S. L., and Walter, T. S. (1996), “Expected and Realized Returns for Singaporean IPOs: Initial and Long-run Analysis,” Pacific-Basin Finance Journal, Vol. 4, No.2-3, 153-180.15.Lowry, M. and Schwert, G. W. (2002), “IPO Market Cycles: Bubbles or Sequential Learning,” Journal of Finance, Vol.57, No.3, 1171-1200.16.Megginson, W. and K. Weiss (1991), “Venture capitalist certification in initial public offerings,” Journal of Finance, Vol. 46, 879-903.17.Mohammed, O. (2005), “Underpricing and Long-run Performance of Share Issue Privatizations in the Egyptian Stock Market,” Journal of Financial Research, Vol. 28, No. 2, 215-234.18.Ritter, J. R. (1984), “The ‘Hot Issue’ Market of 1980,” Journal of Business, Vol. 57, 215-240.19.Rock, K. (1986), “Why new issues are underpriced,” Journal of Financial Economics, Vol. 15, 187-212.20.Titman, S., and Trueman, B. (1986), “Information quality and the valuation of new issues,” Journal of Accounting and Economics, Vol. 8, 159-172.21.Vong, P. I. and Trigueiros D. (2010), “The short-run price performance of initial public offerings in Hong Kong: New evidence,” Global Finance Journal, Vol. 21, 253-261.22.Welch, I. (1989), “Seasoned offerings, imitation costs and the underpricing of initial public offerings,” Vol. 44, 421-449.23.Yu, T. and Y. K. Tse (2006), “An Empirical Examination of IPO Underpricing in the Chinese A-Share Market,” China Economic Review, Vol. 17, 363-382. 描述 碩士
國立政治大學
金融研究所
99352006
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993520061 資料類型 thesis dc.contributor.advisor 李桐豪 zh_TW dc.contributor.author (Authors) 林鼎堯 zh_TW dc.creator (作者) 林鼎堯 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 11:24:20 (UTC+8) - dc.date.available 30-Oct-2012 11:24:20 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 11:24:20 (UTC+8) - dc.identifier (Other Identifiers) G0993520061 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54589 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 99352006 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 企業初次公開發行(IPO，Initial Public Offering)向來是股票市場炙手可熱的話題之一，在財務經濟領域中，探討股票初次上市發行的相關議題更是多如過江之鯽，而關於IPO期初報酬率影響因素之探討更可溯及至1970年代。本研究主要係探討台灣初次上市企業期初報酬率的影響因素及影響情形，並以2005年承銷新制上路以後、直至2011年的初次上市企業為研究對象，除利用傳統的最小平方法觀察影響期初報酬的因素外，有鑑於期初報酬率普遍具有右偏分配的現象，本研究亦輔以分量迴歸分析法觀察影響期初報酬的因素，經由分量值的變動，可將解釋變數影響被解釋變數的各種情形加以估計出。再來，本研究在探討期初報酬率影響因素之基礎上，以分量迴歸分析法尋找出交易準則，並進一步檢驗當投資人遵循交易準則下，是否得以獲取顯著異於同期間大盤指數之報酬績效。在上市首日買入並持有至第五日收盤賣出之案例中，以分量迴歸結果所設定之交易準則並無法為投資人帶來顯著優於大盤指數之報酬水準；然而，在上市首日買入並持有至第二十日收盤賣出之案例，以分量迴歸結果所設定之交易準則卻可為投資人帶來顯著優於大盤指數之報酬水準。總體而言，本研究試圖將近年影響台灣企業IPO期初報酬率之因素加以剖析，進而從中尋找一些潛在規則，讓投資人得以一窺初級市場的變化及其所可能帶來之潛在獲利良機。 zh_TW dc.description.tableofcontents 第壹章 緒論 1第一節 研究背景與動機 1第二節 研究目的 3第三節 研究架構與流程 4第貳章 文獻回顧 5第一節 台灣承銷制度簡介 5第二節 IPO折價發行相關理論回顧 8第三節 迴歸分析於實證上之應用 12第参章 研究方法 14第一節 樣本選擇與資料來源 14第二節 變數探討 16第三節 研究方法與設計 22第肆章 實證結果與分析 24第一節 敘述統計 24第二節 實證結果與分析 28第三節 交易策略建立與檢定 36第伍章 結論與建議 43第一節 研究結論 43第二節 研究限制與建議 45參考文獻 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993520061 en_US dc.subject (關鍵詞) IPO zh_TW dc.subject (關鍵詞) 期初報酬 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.subject (關鍵詞) 贏者詛咒 zh_TW dc.subject (關鍵詞) Initial Public Offering en_US dc.subject (關鍵詞) Quantile Regression en_US dc.title (題名) IPO期初報酬影響因素探討： 以2005-2011年台灣上市企業為例 zh_TW dc.title (題名) The determinants of IPO initial return in Taiwan stock market (2005-2011) en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、中文參考文獻1.林象山(1995)，「承銷商信譽對新上市股票之影響」，中國財務學刊，3卷1期，119-143。2.李榮鎮、蔡佩靜、林純夷(2010)，「台灣初次上市上櫃公司股價長短期表現之研究」，台灣銀行季刊，62卷1期，193-222。3.陳軒基、葉秀娟、陳右超(2003)，「承銷制度與折價幅度：台灣初次上市櫃股票股票之實證分析(1980~2000)」，證券市場發展季刊，14卷4期，175-198。4.陳安琳、李文智、林宗源(1999)，「新上市公司股票之發行折價─代理成本與公司控制之研究」，中國財務學刊，6卷3期，1-23。5.高蘭芬、盧正壽(2010)，「發行市場投資風險之探討─IPOs初始報酬變異觀，中山管理評論，18卷1期，211-249。6.李建興(2008)，「台灣IPO折價影響因素之探討：分量迴歸分析法」，證券市場發展季刊，20卷1期，47-100。7.陳安琳(1997)，「新上市公司股票相關之理論與實證文獻回顧」，管理學報，14卷3期，403-436。二、英文參考文獻1.Aggarwal, R. and R. Kunz (1994), “Why initial public offerings are underpriced: evidence from Switzerland,” Journal of Banking and Finance, Vol. 18, 705-723.2.Allen, F., and Faulhaber, G. R. (1989), “Signalling by underpricing in the IPO market,” Journal of Financial Economics, Vol. 23, 303-323.3.Balvers, R. J., McDonald, B., and Miller, R. E. (1988), ”Underpricing of new issues and the choice of auditor as a signal of investment banker reputation,” The Accounting Review, Vol. 63, 605-622.4.Beatty, R. P. (1989), “Auditor reputation and the pricing of initial public offerings,” The Accounting Review, Vol. 64, 693-709.5.Baron, D. P. (1982), “A model of the demand for investment banking advising and distribution,” Journal of Finance, Vol. 37, 955-976.6.Beatty R. P. and J.R. Ritter (1986), “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings,” Journal of Financial Economics, vol. 15, 213-232.7.Benveniste, L. M. and Spindt, P. A. (1989), “How investment bankers determine the offer price and allocation of new issues,” Journal of Financial Economics, Vol. 24, 343-361.8.Carter, R., F. Dark and A. Singh (1998), “Underwriter reputation, initial returns, and the long-run performance of IPO stocks,” Journal of Finance, Vol. 53, 285-311.9.Carter, R. and S. Manaster (1990), “Initial public offerings and underwriter reputation,” Journal of Finance, Vol. 45, 1045-1067.10.Derrien, F. and K. L. Womack (2003), “Auction v.s. Bookbuilding and the Control of Underpricing in Hot IPO Market,” Review of Financial Studies, Vol. 16, 31-61.11.Huang, Y. S. (1999), “The Price Behavior of Initial Public Offerings on the Taiwan Stock Exchange,” Applied Financial Economics, Vol. 9, No.2, 201-208.12.Ibbotson, R. G., and Jaffe, J. J. (1975), “’Hot issue’ market,” Journal of Finance, Vol. 30, 1027-1042.13.Johnson, J. M., and Miller, R. E. (1988), “Investment banker prestige and the underpricing of initial public offerings,” Financial Management, Vol. 17, 19-29.14.Lee, P. J., Taylor, S. L., and Walter, T. S. (1996), “Expected and Realized Returns for Singaporean IPOs: Initial and Long-run Analysis,” Pacific-Basin Finance Journal, Vol. 4, No.2-3, 153-180.15.Lowry, M. and Schwert, G. W. (2002), “IPO Market Cycles: Bubbles or Sequential Learning,” Journal of Finance, Vol.57, No.3, 1171-1200.16.Megginson, W. and K. Weiss (1991), “Venture capitalist certification in initial public offerings,” Journal of Finance, Vol. 46, 879-903.17.Mohammed, O. (2005), “Underpricing and Long-run Performance of Share Issue Privatizations in the Egyptian Stock Market,” Journal of Financial Research, Vol. 28, No. 2, 215-234.18.Ritter, J. R. (1984), “The ‘Hot Issue’ Market of 1980,” Journal of Business, Vol. 57, 215-240.19.Rock, K. (1986), “Why new issues are underpriced,” Journal of Financial Economics, Vol. 15, 187-212.20.Titman, S., and Trueman, B. (1986), “Information quality and the valuation of new issues,” Journal of Accounting and Economics, Vol. 8, 159-172.21.Vong, P. I. and Trigueiros D. (2010), “The short-run price performance of initial public offerings in Hong Kong: New evidence,” Global Finance Journal, Vol. 21, 253-261.22.Welch, I. (1989), “Seasoned offerings, imitation costs and the underpricing of initial public offerings,” Vol. 44, 421-449.23.Yu, T. and Y. K. Tse (2006), “An Empirical Examination of IPO Underpricing in the Chinese A-Share Market,” China Economic Review, Vol. 17, 363-382. zh_TW
