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題名 首次公開發行普通股的長期績效與原因分析
作者 張于紳
Zhang, Yu-Shen
貢獻者 謝劍平
Xie, Jian-Ping
張于紳
Zhang, Yu-Shen
關鍵詞 新上市股
首次公開發行
過度反應
IPOs
overreaction
underperformance
日期 1995
上傳時間 28-Apr-2016 15:07:19 (UTC+8)
摘要 新上市股的長期績效優於市場,但相較於五年未發行新股的對照公司則較差,而在市場空頭時期上市的股票績效卻相對較佳.和未發行新股的對照公司相較,股票的年報酬率變化呈現碗狀的趨勢,在上市後的營運績效有下滑的現象,隱含投資人有過度樂觀的情形.新股發行效果存在,即新上市股在上市五年內對預期報酬率都有負的影響.此效果和規模效果,市價淨值效果同時存在而無法取
參考文獻 一、中文部份
1.洪日爛，台灣股票市場新上市股票投資報酬率與市場效率性之研究，政大企研所未出版碩士論文，民國六十八年
2.歐進士，關係企業財務規劃與控制之研究，政大會研所未出版碩士論文，民國七十三年
3.杜惠娟，集團企業之財務特性與績效影響因素之研究，政大企研所未出版碩士論文，民國七十五年
4.陳秀亮，新上市股票價格行為探討，中央產經所未出版碩士論文，民國七十六年
5.楊泓文，新上市股票報酬之研究，交大管科所未出版碩士論文，民國七十六年
6.許永聲，新上市股票異常價格績效之驗證與探討，東海企研所未出版碩士論文，民國七十八年
7.卜慶銘，台灣新上市股票承銷價制定與超額報酬相關性之研究，中興企研所未出版碩士論文，民國七十九年
8.林博泰，股票新上市超額報酬持久性之研究，台大商研所未出版碩士論文，民國八十年
9.周士淵，我國新上市公司股票價格績效之研究，淡江管科所未出版碩士論文，民國八十一年
10.劉安炳，我國新上市公司股價行為之研究，工業技術研究所未出版碩士論文，民國八十一年
11潘慈暉，新上市股票異常報酬及其影響因素之實證研究，台大商研所未出版碩士論文，民國八十三年
12.賴柏堯，影響台灣新上市股票定價與報酬因素之研究，中正財金所未出版碩士論文，民國八十二年
13.陳盛德，新上市股票長期報酬之研究，中正財金所未出版碩士論文，民國八十三年
14.劉恩棠，新上市股票超額報酬:短期現象乎？長期現象乎？中央財管所未出版碩士論文，民國八十三年
15.白邦瑜，我國新上市股票市場價值與訊息理論關係之研究，中正企研所未出版碩士論文，民國八十四年
16.陳坤宏，聯屬持股與經營績效之研究，中財管正所未出版碩士論文，民國八十四年
17.顏月珠，實用統計方法，三民書局，民國七十九年
18.台灣區集團企業之研究，中華徵信所，民國七十五年到八十年之各版本
二、外文部份
l.Aggarwal, R., and P. Rivoli, Winter 1990, "Fads in the Initial Public Offering Market? " Financial Mangement,p45-p57.
2.Aggarwal, R., Ricardo Leal and Leonardo Hernandez, 1992, "The Aftelmarket Performance of Initial Public Offerings in Latin America, "forthcoming.
3.Allen, F. and G.Faulhaber,1989,"Singalling by Underplicing in the IPO Market," Journal of Financial Economics, vol. 23,p303-p323.
4.Banz, R. W.,1981,"The Relationship between Return and Market Value of Common Stocks," Journal of Financial Economics 9,p3-p18.
5.Baron, D., September 1982," A Model of Demand for Invedtment Banking Advising and Distribution Services for New Issue, "Journal of Finance,p955-p976.
6.Basu, S. , I983 ,"The Relationship between Earnings` Yield, Market Value and Return for NYSE Common Stocks, "Journal of Financial Economics 12,p 129-p156.
7. Betty, R. and 1. Ritter, 1986, "Investment Banking Reputation and the Underpricing of Initial Offerings,"JoW1IaI of Financial Economics,
January/February p213-p232.
8.Carter, R. and S. Manaster, September 1990, "Initial Public Offerings and Under-writer Reputation, "Journal of Finance,p 1 04S-p 1 067.
9.Drake, D. H. and R. Heinkel, 1982, "Signalling and the Valuation of
Unseasoned New Issues, "Journal ofFinance,p1 -p10.
10.Frederick, H. Dark and Richard B. Carter, 1993, "Effects of Differential Information on the Afer-Market Valuation of Initial Pvblic Offerings, "JECO BUSN,p375-p392.
l1.Fama, Eugene F., and James D. MacBeth, 1973, "Risk, retum and equilibrium: Empirical tests, "Joul11al of Political Economy 81 ,p607-p636.
12.Fama, Eugene F., and Kenneth R. French, 1992,"The cross-section of expected stock returns, " Journal of Finance 47,I992,p427-p46S.
I3 .How, Janice C. Y. and Joy G. Low,1993,"Fracional Ownership and Underplicing: Signals of IPQ Finn Value? "Pacific-Basin Finance J ournal,p4 7 -p6S.
14.Ibbotson, Roger G., September 1975,"Price performance of Common Stock New Issues, "Journal of Financial Economics,p23S-p272.
15.Jain, B. A. and O. Kini, December 1994,"The Post-Issue Operating performance of,IPO Finlls,"voI S,pI699-p1727.
I6.Keloharju, M., 1993,"The winner`s curse, legalliability, and the long-run price performance of initial public offerings in Finland, "Joul11al of Financial Economics 34,p2S 1-p277.
I7.Leland, H. E. and D. H. Pyle, 1977, "Infonnation Asymmetrics, Financial Stmcture, and Financial Intelmediation, "Journal of Finance, vo1.32,p371-p387.
18.Levis, M., 1993a, "The long-run performance of initial public offelings: The U.K. experience 1980-88, "Financial Management 22,p28-p41.
19.Muscarella,C. 1. and M. R. Vestuypens, I989,"A Simple Test of Baron`s Model of IPO Underpricing, "Joul11al of Financial Economic,vo1.24,p 12S-p 135.
20.Ritter,1. R. , "The HOt Issue Market of 1 980,"JournaI of Business, ApriI 1984,P215-p240.
2 1.Ritter,J. R. , "The Costs of Going Public, 1987, "Journal of Financial Economics, vol. 19,p269-p281 .
22.Ritter, J. R. ,"The Long-Run performance of Initial Public Offerings, March 1991,"JoumalofFinance,p3 -p27.
23.Rock, K. , "Why New Issue are Underpriced, 1986,"Joumal of Financial Economics, January/Feburmy p187-p212.
24.Spiess, D. Katherine, and John Affleck-Graves,1995,"The long-run performance following seasoned equity offerings," Journal of Financial Economics, Forthcoming.
25.Slovin M. B., M. E. Sushka and Y. M. Bendeck,1994,"Seasoned COIm110n
stock issuance following an IPO, "Journal of Banking aild Finance 18,p207-p226.
26. Tinic, S. M., "Anatomy of Initial Public offerings of Common Stock, September 1988," Journal of Finance, p 789-p822.
27.Loughran, T., and Jay R. Ritter, "The New Issues Puzzle, Marcll 1995,"JoumalofFinance,vol1.p23-p51.
28.Welchm, I., "Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offerings, January 1989,"Joumal of Finance,p42 1-p449.
描述 碩士
國立政治大學
財務管理研究所
83357001
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003001
資料類型 thesis
dc.contributor.advisor 謝劍平zh_TW
dc.contributor.advisor Xie, Jian-Pingen_US
dc.contributor.author (Authors) 張于紳zh_TW
dc.contributor.author (Authors) Zhang, Yu-Shenen_US
dc.creator (作者) 張于紳zh_TW
dc.creator (作者) Zhang, Yu-Shenen_US
dc.date (日期) 1995en_US
dc.date.accessioned 28-Apr-2016 15:07:19 (UTC+8)-
dc.date.available 28-Apr-2016 15:07:19 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 15:07:19 (UTC+8)-
dc.identifier (Other Identifiers) B2002003001en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87549-
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) 83357001zh_TW
dc.description.abstract (摘要) 新上市股的長期績效優於市場,但相較於五年未發行新股的對照公司則較差,而在市場空頭時期上市的股票績效卻相對較佳.和未發行新股的對照公司相較,股票的年報酬率變化呈現碗狀的趨勢,在上市後的營運績效有下滑的現象,隱含投資人有過度樂觀的情形.新股發行效果存在,即新上市股在上市五年內對預期報酬率都有負的影響.此效果和規模效果,市價淨值效果同時存在而無法取zh_TW
dc.description.tableofcontents 第一章緒論----------1
第一節研究動機----------1
第二節研究目的----------3
第三節研究範圍與對象----------4
第四節研究架構----------5
本章註釋----------7
第二章文獻探討----------8
第一節新發行股票的定義----------8
第二節新上市股票價格行的臆說----------9
第三節相關的實證研究----------19
第四節前人研究的探討----------38
本章註釋----------42
第三章研究設計----------44
第一節研究架構----------44
第二節研究期間與樣本選取----------45
第三節方法描述----------48
第四節統計方法----------54
第五節研究限制----------56
本章註釋----------58
第四章實證結果----------59
第一節股市的長期報酬.59
第二節營運績效的衡量----------69
第三節新發行效果----------79
第四節前人研究結果----------82
第五節比較與分析----------87
本章註釋----------91
第五章結論與建議----------92
附錄----------I		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003001en_US
dc.subject (關鍵詞) 新上市股zh_TW
dc.subject (關鍵詞) 首次公開發行zh_TW
dc.subject (關鍵詞) 過度反應zh_TW
dc.subject (關鍵詞) IPOsen_US
dc.subject (關鍵詞) overreactionen_US
dc.subject (關鍵詞) underperformanceen_US
dc.title (題名) 首次公開發行普通股的長期績效與原因分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
1.洪日爛，台灣股票市場新上市股票投資報酬率與市場效率性之研究，政大企研所未出版碩士論文，民國六十八年
2.歐進士，關係企業財務規劃與控制之研究，政大會研所未出版碩士論文，民國七十三年
3.杜惠娟，集團企業之財務特性與績效影響因素之研究，政大企研所未出版碩士論文，民國七十五年
4.陳秀亮，新上市股票價格行為探討，中央產經所未出版碩士論文，民國七十六年
5.楊泓文，新上市股票報酬之研究，交大管科所未出版碩士論文，民國七十六年
6.許永聲，新上市股票異常價格績效之驗證與探討，東海企研所未出版碩士論文，民國七十八年
7.卜慶銘，台灣新上市股票承銷價制定與超額報酬相關性之研究，中興企研所未出版碩士論文，民國七十九年
8.林博泰，股票新上市超額報酬持久性之研究，台大商研所未出版碩士論文，民國八十年
9.周士淵，我國新上市公司股票價格績效之研究，淡江管科所未出版碩士論文，民國八十一年
10.劉安炳，我國新上市公司股價行為之研究，工業技術研究所未出版碩士論文，民國八十一年
11潘慈暉，新上市股票異常報酬及其影響因素之實證研究，台大商研所未出版碩士論文，民國八十三年
12.賴柏堯，影響台灣新上市股票定價與報酬因素之研究，中正財金所未出版碩士論文，民國八十二年
13.陳盛德，新上市股票長期報酬之研究，中正財金所未出版碩士論文，民國八十三年
14.劉恩棠，新上市股票超額報酬:短期現象乎？長期現象乎？中央財管所未出版碩士論文，民國八十三年
15.白邦瑜，我國新上市股票市場價值與訊息理論關係之研究，中正企研所未出版碩士論文，民國八十四年
16.陳坤宏，聯屬持股與經營績效之研究，中財管正所未出版碩士論文，民國八十四年
17.顏月珠，實用統計方法，三民書局，民國七十九年
18.台灣區集團企業之研究，中華徵信所，民國七十五年到八十年之各版本
二、外文部份
l.Aggarwal, R., and P. Rivoli, Winter 1990, "Fads in the Initial Public Offering Market? " Financial Mangement,p45-p57.
2.Aggarwal, R., Ricardo Leal and Leonardo Hernandez, 1992, "The Aftelmarket Performance of Initial Public Offerings in Latin America, "forthcoming.
3.Allen, F. and G.Faulhaber,1989,"Singalling by Underplicing in the IPO Market," Journal of Financial Economics, vol. 23,p303-p323.
4.Banz, R. W.,1981,"The Relationship between Return and Market Value of Common Stocks," Journal of Financial Economics 9,p3-p18.
5.Baron, D., September 1982," A Model of Demand for Invedtment Banking Advising and Distribution Services for New Issue, "Journal of Finance,p955-p976.
6.Basu, S. , I983 ,"The Relationship between Earnings` Yield, Market Value and Return for NYSE Common Stocks, "Journal of Financial Economics 12,p 129-p156.
7. Betty, R. and 1. Ritter, 1986, "Investment Banking Reputation and the Underpricing of Initial Offerings,"JoW1IaI of Financial Economics,
January/February p213-p232.
8.Carter, R. and S. Manaster, September 1990, "Initial Public Offerings and Under-writer Reputation, "Journal of Finance,p 1 04S-p 1 067.
9.Drake, D. H. and R. Heinkel, 1982, "Signalling and the Valuation of
Unseasoned New Issues, "Journal ofFinance,p1 -p10.
10.Frederick, H. Dark and Richard B. Carter, 1993, "Effects of Differential Information on the Afer-Market Valuation of Initial Pvblic Offerings, "JECO BUSN,p375-p392.
l1.Fama, Eugene F., and James D. MacBeth, 1973, "Risk, retum and equilibrium: Empirical tests, "Joul11al of Political Economy 81 ,p607-p636.
12.Fama, Eugene F., and Kenneth R. French, 1992,"The cross-section of expected stock returns, " Journal of Finance 47,I992,p427-p46S.
I3 .How, Janice C. Y. and Joy G. Low,1993,"Fracional Ownership and Underplicing: Signals of IPQ Finn Value? "Pacific-Basin Finance J ournal,p4 7 -p6S.
14.Ibbotson, Roger G., September 1975,"Price performance of Common Stock New Issues, "Journal of Financial Economics,p23S-p272.
15.Jain, B. A. and O. Kini, December 1994,"The Post-Issue Operating performance of,IPO Finlls,"voI S,pI699-p1727.
I6.Keloharju, M., 1993,"The winner`s curse, legalliability, and the long-run price performance of initial public offerings in Finland, "Joul11al of Financial Economics 34,p2S 1-p277.
I7.Leland, H. E. and D. H. Pyle, 1977, "Infonnation Asymmetrics, Financial Stmcture, and Financial Intelmediation, "Journal of Finance, vo1.32,p371-p387.
18.Levis, M., 1993a, "The long-run performance of initial public offelings: The U.K. experience 1980-88, "Financial Management 22,p28-p41.
19.Muscarella,C. 1. and M. R. Vestuypens, I989,"A Simple Test of Baron`s Model of IPO Underpricing, "Joul11al of Financial Economic,vo1.24,p 12S-p 135.
20.Ritter,1. R. , "The HOt Issue Market of 1 980,"JournaI of Business, ApriI 1984,P215-p240.
2 1.Ritter,J. R. , "The Costs of Going Public, 1987, "Journal of Financial Economics, vol. 19,p269-p281 .
22.Ritter, J. R. ,"The Long-Run performance of Initial Public Offerings, March 1991,"JoumalofFinance,p3 -p27.
23.Rock, K. , "Why New Issue are Underpriced, 1986,"Joumal of Financial Economics, January/Feburmy p187-p212.
24.Spiess, D. Katherine, and John Affleck-Graves,1995,"The long-run performance following seasoned equity offerings," Journal of Financial Economics, Forthcoming.
25.Slovin M. B., M. E. Sushka and Y. M. Bendeck,1994,"Seasoned COIm110n
stock issuance following an IPO, "Journal of Banking aild Finance 18,p207-p226.
26. Tinic, S. M., "Anatomy of Initial Public offerings of Common Stock, September 1988," Journal of Finance, p 789-p822.
27.Loughran, T., and Jay R. Ritter, "The New Issues Puzzle, Marcll 1995,"JoumalofFinance,vol1.p23-p51.
28.Welchm, I., "Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offerings, January 1989,"Joumal of Finance,p42 1-p449.		zh_TW