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題名 新股初次上市(櫃)報酬分析與興櫃市場價格發現機能
An Analysis of the IPO stocks return return andand emerging merging merging merging stock market market market price discovery mechanism作者 黃茂欣
Huang, Mao Shin貢獻者 李志宏
黃茂欣
Huang, Mao Shin關鍵詞 新股初次上市 (櫃)
興櫃市場
超額報酬
IPOs
Abnormal return Abnormal return Abnormal return Abnormal
Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock market marketmarketmarket日期 2010 上傳時間 9-Sep-2013 11:29:51 (UTC+8) 摘要 本文主要探討新股初次上市(櫃)前後期間的股價反應，並藉由觀察準上市(櫃)公司正式上市(櫃)前於興櫃市場交易的股價反應，來驗證興櫃市場的價發現機能。實證結果顯示，上市(櫃)申請日起至興櫃市場最後交易日止期間平均持有報酬47.01%、上市(櫃)首日異常報酬為58.37%、正式掛牌上市(櫃)第二交易日起至一年後的報酬表現，新上櫃股票報酬為14.01%普遍優於新上市的-1.23%。興櫃市場的價格發現機能相關研究方面，興櫃市場的價格發現機能相關研究的結論為:IPO首日超額報酬在興櫃市場就已經能率先適當反應，興櫃市場是有價格發現機能的，IPO首日超額報酬存在，很有可能是因為承銷價低估。
This research aims to investigate the performance of IPO stocks during their offering. Our sample consists of IPO announced from March 1, 2005 to February 28, 2010 drawn from the Taiwan Economic Journal. The empirical results show that (1) the return from the day applying to TWSE or OTC to the last trading day on emerging stock market is 47.01%. (2)The IPOs market adjusted return on the first trading day is 58.37%. (3) The performance of IPO stocks listed on OTC is better than stocks listed on TWSE after their offering.We also observed the stock price before listing to test price discovery function of emerging stock market. Our research show that stocks price on emerging stock market has appropriately reacted before listing. Emerging stock market has price discovery mechanism.參考文獻 一、 中文部分1. 辛士林，2007，取消漲跌幅限制對新上市公司折價幅度之影響，私立天主教輔仁大學會計學系研究所碩士論文。2. 邱寶桂，2002，IPOs公司掛牌後股價表現影響因素之研究，私立淡江大學財務金融學研究所碩士論文。3. 夏侯欣榮，1993，台灣地區IPO承銷價格之研究，國立政治大學企管研究所碩士論文。4. 姜堯民與戴維芯，2007，興櫃交易對初次上櫃績效的影響，證券櫃檯雙月刊， No.129，17-32。5. 許永聲，1989，新上市股票異常價格績效之驗證與探討，私立東海大學企管研究所碩士論文。6. 許石睦，2004，我國新上市櫃股票訂價效率性之研究－以興櫃制度實施後為例，國立台北大學企業管理學系研究所碩士論文。7. 陳崇生，2007，興櫃公司初次申請上市櫃IPOs股票蜜月現象及影響因素之研究，國立政治大學經營管理學程研究所碩士論文。8. 黃志典與簡亨容，2000，公司基本要素可以解釋蜜月行情嗎？台灣銀行季刊，第51卷第2期，1-39。9. 張匡勛，2003，興櫃股票與未上市股票上市初期的資訊差異，國立嘉義大學管理研究碩士論文10. 楊家溱，2000，新上市股票超額報酬探討與不同承銷配售方式之選擇，國立交通大學經營管理研究碩士論文。11. 楊雅婷，2003，興櫃交易與上市（櫃）股票之蜜月效果，國立台北大學經濟系研究所碩士論文。12. 鄒政佑，2009，興櫃制度對上市股票IPOs之影響，國立中正大學財務金融研究所碩士論文。 13. 潘慈暉，1994，新上市股票異常報酬及其影響因素之實證研究，國立台灣大學商學研究所碩士論文。14. 賴柏堯，1993，影響台灣新上市股票定價與報酬因素之研究，國立中正大學財務金融研究所碩士論文。15. 顧廣平，2003，台灣新上市股票短期與長期績效之再探討，證券市場發展季刊15(1)，1-40。二、 英文部分1. Allen, Franklin, and Gerald R. Faulhaber, 1989, Signaling by underpricing in the IPO market, Journal of Financial Economics 23, 303–324.2. Baron, David P., 1982, A model of the demand for investment banking advising and distribution services for new issues, The Journal of Finance 37, 955–976.3. Barry C. and S. Brown, 1985, Differential Information and Security Market Equilibrium, Journal of Financial and Quantitative Analysis 4, 407-422.4. Beatty, Randolph P., and Jay R. Ritter, 1986, Investment banking, reputation, and the underpricing of initial public offerings, Journal of Financial Economics 15, 213–232.5. Bower, Nancy L., 1989, Firm value and the choice of offering method in initial public offerings , The Journal of Finance 44, 647-662.6. Carter, Richard B., and Steven Manaster, 1990, Initial public offerings and underwriter reputation, The Journal of Finance 45, 1045–1067.7. Datar, S.M., G.A. Feltham, and J.S. Hughes, 1991, The role of audits and audit quality in valuing new issues, Journal of Accounting and Economics 14, 3-49.8. Hughes, P,1986, Signaling by direct disclosure under asymmetric information, Journal of Accounting and Economics 8, 199-142.9. Ibbotson, Roger G., 1975, Price performance of common stock new issues, Journal of Financial Economics 2, 235–272.10. Logue, Dennis E., 1973, On the pricing of unseasoned equity issues: 1965–1969, Journal of Financial and Quantitative Analysis 8, 91–103.11. Ritter, Jay R., 1984, The hot issues market of 1980, Journal of Business 57,215-240.12. Ritter , J.R. , 1991, The long-run performance of initial public offerings, The Journal of Finance 46, 3-27.13. Rock, Kevin, 1986, Why new issues are underpriced, Journal of Financial Economics 15, 187–212.14. Tinic, Seha M., 1988, Anatomy of initial public offerings of common stock, The Journal of Finance 43, 789–822.15. Welch, Ivo, 1989, Seasoned offerings, imitation costs, and the underpricing of initial public offerings, The Journal of Finance 44, 421–450.16. Welch, I., 1992, Sequential Sales, learning, and cascades, The Journal of Finance 47, 695-732. 描述 碩士
國立政治大學
財務管理研究所
98357029
99資料來源 http://thesis.lib.nccu.edu.tw/record/#G0983570291 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.author (Authors) 黃茂欣 zh_TW dc.contributor.author (Authors) Huang, Mao Shin en_US dc.creator (作者) 黃茂欣 zh_TW dc.creator (作者) Huang, Mao Shin en_US dc.date (日期) 2010 en_US dc.date.accessioned 9-Sep-2013 11:29:51 (UTC+8) - dc.date.available 9-Sep-2013 11:29:51 (UTC+8) - dc.date.issued (上傳時間) 9-Sep-2013 11:29:51 (UTC+8) - dc.identifier (Other Identifiers) G0983570291 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60636 - 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) 98357029 zh_TW dc.description (描述) 99 zh_TW dc.description.abstract (摘要) 本文主要探討新股初次上市(櫃)前後期間的股價反應，並藉由觀察準上市(櫃)公司正式上市(櫃)前於興櫃市場交易的股價反應，來驗證興櫃市場的價發現機能。實證結果顯示，上市(櫃)申請日起至興櫃市場最後交易日止期間平均持有報酬47.01%、上市(櫃)首日異常報酬為58.37%、正式掛牌上市(櫃)第二交易日起至一年後的報酬表現，新上櫃股票報酬為14.01%普遍優於新上市的-1.23%。興櫃市場的價格發現機能相關研究方面，興櫃市場的價格發現機能相關研究的結論為:IPO首日超額報酬在興櫃市場就已經能率先適當反應，興櫃市場是有價格發現機能的，IPO首日超額報酬存在，很有可能是因為承銷價低估。 zh_TW dc.description.abstract (摘要) This research aims to investigate the performance of IPO stocks during their offering. Our sample consists of IPO announced from March 1, 2005 to February 28, 2010 drawn from the Taiwan Economic Journal. The empirical results show that (1) the return from the day applying to TWSE or OTC to the last trading day on emerging stock market is 47.01%. (2)The IPOs market adjusted return on the first trading day is 58.37%. (3) The performance of IPO stocks listed on OTC is better than stocks listed on TWSE after their offering.We also observed the stock price before listing to test price discovery function of emerging stock market. Our research show that stocks price on emerging stock market has appropriately reacted before listing. Emerging stock market has price discovery mechanism. en_US dc.description.tableofcontents 第一章 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--------------------------------------------4第二章 興櫃市場與承銷新制------------------------------------5第一節 興櫃市場介紹-----------------------------------------5 第二節 承銷新制介紹----------------------------------------11 第三章 文獻回顧-------------------------------------------13第一節 承銷價低估與新股上市超額報酬的相關文獻-------------------13第二節 興櫃市場相關文獻探討--¬------------------------------19第四章 資料與研究方法--------------------------------------20 第一節 研究期間與資料來源-----------------------------------20第二節 研究假說-------------------------------------------23第三節 研究方法-------------------------------------------24第五章 實證結果與分析--------------------------------------33第一節 敘述性統計-----------------------------------------33第二節 上市(櫃)各期間報酬分析-------------------------------36第三節 相關係數與共線性分析---------------------------------43第四節 迴歸分析-------------------------------------------46第五節 興櫃價格發現機能與承銷價低估之探討----------------------52第六章 結論與建議-----------------------------------------55第一節 研究結論-------------------------------------------55第二節 建議----------------------------------------------57參考文獻-------------------------------------------------58附錄----------------------------------------------------61 zh_TW dc.format.extent 1579761 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0983570291 en_US dc.subject (關鍵詞) 新股初次上市 (櫃) zh_TW dc.subject (關鍵詞) 興櫃市場 zh_TW dc.subject (關鍵詞) 超額報酬 zh_TW dc.subject (關鍵詞) IPOs en_US dc.subject (關鍵詞) Abnormal return Abnormal return Abnormal return Abnormal en_US dc.subject (關鍵詞) Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock Taiwan emerging stock market marketmarketmarket en_US dc.title (題名) 新股初次上市(櫃)報酬分析與興櫃市場價格發現機能 zh_TW dc.title (題名) An Analysis of the IPO stocks return return andand emerging merging merging merging stock market market market price discovery mechanism en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、 中文部分1. 辛士林，2007，取消漲跌幅限制對新上市公司折價幅度之影響，私立天主教輔仁大學會計學系研究所碩士論文。2. 邱寶桂，2002，IPOs公司掛牌後股價表現影響因素之研究，私立淡江大學財務金融學研究所碩士論文。3. 夏侯欣榮，1993，台灣地區IPO承銷價格之研究，國立政治大學企管研究所碩士論文。4. 姜堯民與戴維芯，2007，興櫃交易對初次上櫃績效的影響，證券櫃檯雙月刊， No.129，17-32。5. 許永聲，1989，新上市股票異常價格績效之驗證與探討，私立東海大學企管研究所碩士論文。6. 許石睦，2004，我國新上市櫃股票訂價效率性之研究－以興櫃制度實施後為例，國立台北大學企業管理學系研究所碩士論文。7. 陳崇生，2007，興櫃公司初次申請上市櫃IPOs股票蜜月現象及影響因素之研究，國立政治大學經營管理學程研究所碩士論文。8. 黃志典與簡亨容，2000，公司基本要素可以解釋蜜月行情嗎？台灣銀行季刊，第51卷第2期，1-39。9. 張匡勛，2003，興櫃股票與未上市股票上市初期的資訊差異，國立嘉義大學管理研究碩士論文10. 楊家溱，2000，新上市股票超額報酬探討與不同承銷配售方式之選擇，國立交通大學經營管理研究碩士論文。11. 楊雅婷，2003，興櫃交易與上市（櫃）股票之蜜月效果，國立台北大學經濟系研究所碩士論文。12. 鄒政佑，2009，興櫃制度對上市股票IPOs之影響，國立中正大學財務金融研究所碩士論文。 13. 潘慈暉，1994，新上市股票異常報酬及其影響因素之實證研究，國立台灣大學商學研究所碩士論文。14. 賴柏堯，1993，影響台灣新上市股票定價與報酬因素之研究，國立中正大學財務金融研究所碩士論文。15. 顧廣平，2003，台灣新上市股票短期與長期績效之再探討，證券市場發展季刊15(1)，1-40。二、 英文部分1. Allen, Franklin, and Gerald R. Faulhaber, 1989, Signaling by underpricing in the IPO market, Journal of Financial Economics 23, 303–324.2. Baron, David P., 1982, A model of the demand for investment banking advising and distribution services for new issues, The Journal of Finance 37, 955–976.3. Barry C. and S. Brown, 1985, Differential Information and Security Market Equilibrium, Journal of Financial and Quantitative Analysis 4, 407-422.4. Beatty, Randolph P., and Jay R. Ritter, 1986, Investment banking, reputation, and the underpricing of initial public offerings, Journal of Financial Economics 15, 213–232.5. Bower, Nancy L., 1989, Firm value and the choice of offering method in initial public offerings , The Journal of Finance 44, 647-662.6. Carter, Richard B., and Steven Manaster, 1990, Initial public offerings and underwriter reputation, The Journal of Finance 45, 1045–1067.7. Datar, S.M., G.A. Feltham, and J.S. Hughes, 1991, The role of audits and audit quality in valuing new issues, Journal of Accounting and Economics 14, 3-49.8. Hughes, P,1986, Signaling by direct disclosure under asymmetric information, Journal of Accounting and Economics 8, 199-142.9. Ibbotson, Roger G., 1975, Price performance of common stock new issues, Journal of Financial Economics 2, 235–272.10. Logue, Dennis E., 1973, On the pricing of unseasoned equity issues: 1965–1969, Journal of Financial and Quantitative Analysis 8, 91–103.11. Ritter, Jay R., 1984, The hot issues market of 1980, Journal of Business 57,215-240.12. Ritter , J.R. , 1991, The long-run performance of initial public offerings, The Journal of Finance 46, 3-27.13. Rock, Kevin, 1986, Why new issues are underpriced, Journal of Financial Economics 15, 187–212.14. Tinic, Seha M., 1988, Anatomy of initial public offerings of common stock, The Journal of Finance 43, 789–822.15. Welch, Ivo, 1989, Seasoned offerings, imitation costs, and the underpricing of initial public offerings, The Journal of Finance 44, 421–450.16. Welch, I., 1992, Sequential Sales, learning, and cascades, The Journal of Finance 47, 695-732. zh_TW
