博碩士論文 etd-0715109-173846 詳細資訊


[回到前頁查詢結果 | 重新搜尋]

姓名 陳力瑋(Li-wei Chen) 電子郵件信箱 hyalinesea@yahoo.com.tw
畢業系所 企業管理學系研究所(Business Management)
畢業學位 碩士(Master) 畢業時期 97學年第2學期
論文名稱(中) 流動性、槓桿比率與IPO 長期報酬
論文名稱(英) Liquidity, Leverage Ratio, and IPO Long-Run Performance
檔案
  • etd-0715109-173846.pdf
  • 本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
    請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
    論文使用權限

    電子論文:校內校外完全公開

    論文語文/頁數 英文/78
    統計 本論文已被瀏覽 5566 次,被下載 1816 次
    摘要(中) 長期以來,首次公開發行的證券,尤其是首次公開發行之普通股 (以下簡稱 IPO) 的龐大短期報酬現象常引起許多投資人與學者注意。眾多文獻亦曾以多種方式試圖找出 IPO 的長短期報酬結構。專注於確認 IPO 是否有短期超額報酬者有如 Ibbotson (1975), Ibbotson, Sindelar, and Ritter (1988) 與 Loughran, Ritter, and Rydqvist (1994) 等學者;而如 Ritter (1991), Brav, and Gompers (1997) 與 Eckbo and Norli (2005) 等則在找出能解釋IPO 的長期報酬結構之因素上做出許多貢獻。
    本文延續 Eckbo and Norli (2005) 之研究,將其因素模型用於檢驗在1991 到 2002 年間共 261 筆台灣上櫃IPO (不計金融保險類股) 的長期 (五年) 投資組合報酬結構。本研究將各IPO 於公開交易第一日以申購價買進,於五年後的最近交易日以收盤價賣出,並對所有樣本以線性平均求取此投資組合之長期報酬。
    本研究以 Fama-French 的三因子 (規模、帳面市價比、市場超額報酬) 為基礎,另外加入流動性與舉債比率等兩個因素,建立一套五因子迴歸模型,並試圖以三因子模型與該模型檢驗樣本IPO 的五年報酬結構。結果指出若不計初始報酬 (initial return) 且以調整無風險利率後的報酬值衡量投資組合報酬時,三因子模型的截距項、規模與市場因素為顯著,而帳面市價比因素則不顯著。加入流動性與負債比因素後,截距項、規模與市場因素依舊顯著,而帳面市價值比、流動性與舉債比率等三項因素亦為顯著。三因子與五因子模型之判斷係數分別為 24.68% 與 28.09%。
    摘要(英) Initial public offerings (IPOs), especially common stock IPOs have drawn a lot of investors' and researchers' attentions for their short-run return rocketing phenomenon. Numerous articles focused on examining IPOs' short- and long-run return structures in various methods and conclusions have been published. Ibbotson (1975), Ibbotson, Sindelar, and Ritter (1988) and Loughran, Ritter, and Rydqvist (1994) focused on examining whether IPOs did possess initial abnormal return, while Ritter (1991), Brav and Gompers (1997) and Eckbo and Norli (2005) contributed their efforts on explaining IPOs' long-run return structures.
    This thesis extended Eckbo and Norli's (2005) study. I applied their model in examining Taiwan OTC IPOs' long-run (5 years) return structures. The samples are dated from 1991 to 2002, a total of 261 IPOs (financial service companies excluded) are examined. I formed a portfolio which buys each IPO with offering prices in the first day of trading and sells them with closing prices on the trading day 5 years later. The equal-weighted returns are calculated and served as the daily raw return of the portfolio.
    I used the Fama-French three factor model (size, book-to-market, RMRf) as the foundation, adding 2 factors (liquidity and leverage ratio) to the model and applying it to the samples. The outcomes are indicating that if the initial return was excluded and the portfolio return was calculated as the raw return minus risk-free return, the three-factor model displayed statistically significant factor loadings on size and RMRf factors while the intercept is significant as well. After adding liquidity and leverage ratio factors, all the factors in the model are significantly different from zero. The adjusted R-square values of the three- and five-factor models are 24.68% and 28.09%, respectively.
    關鍵字(中)
  • 上櫃
  • Fama-French
  • 首次公開發行
  • 關鍵字(英)
  • IPO
  • Fama-French
  • OTC
  • 論文目次 CHAPTER I INTRODUCTION............................................................................................................... 1
    SECTION I RESEARCH MOTIVATION AND OBJECTIVE .............................................................................. 1
    SECTION II RESEARCH PROCEDURE AND STRUCTURE .............................................................................. 6
    CHAPTER II LITERATURE REVIEW ................................................................................................... 8
    SECTION I EMPIRICAL STUDIES ON ABNORMAL RETURN OF IPO STOCKS............................................... 8
    SECTION II REASONS OF IPO STOCKS’ INITIAL ABNORMAL RETURN ..................................................... 17
    SECTION III RESEARCHES ON IPO STOCKS’ LONG-RUN PERFORMANCES ................................................ 28
    SECTION IV RESEARCHES ON LIQUIDITY ................................................................................................. 33
    CHAPTER III RESEARCH DESIGN ................................................................................................. 36
    SECTION I SAMPLE AND DATA GATHERING ........................................................................................... 36
    SECTION II DEFINITION OF TERMS ......................................................................................................... 38
    SECTION III REGRESSION MODELS AND HYPOTHESES ............................................................................ 40
    CHAPTER IV DATA ANALYSIS ......................................................................................................... 43
    SECTION I DESCRIPTIVE STATISTICS AND RETURN ANALYSIS ON SAMPLE IPOS ................................... 43
    SECTION II RELATIONS BETWEEN LONG-RUN RETURN AND SELECTED VARIABLES ............................... 53
    CHAPTER V SUMMARY AND CONCLUSIONS ................................................................................ 59
    SECTION I CONCLUSIONS..................................................................................................................... 59
    SECTION II CONSTRAINTS ...................................................................................................................... 59
    SECTION III SUGGESTIONS ...................................................................................................................... 60
    REFERENCES ............................................................................................................................................. 62
    參考文獻 I. Chinese References
    何如玉,2000,台灣新上市股票長期績效之實證研究,國立台北大學企業管理學系研
    究所碩士論文
    李書榮,2005,股票新掛牌公司初始報酬影響因素之研究,東吳大學會計學系研究所
    碩士論文
    李韻梅,2001,改進模型檢定力之新上市股票長期價格行為之研究,國立中山大學企
    業管理學系研究所碩士論文
    周士淵,1992,我國新上市公司股票價格績效之研究,淡江大學管理科學研究所未出
    版碩士論文
    林玲羽,1993,新上市公司異常報酬決定因素之實證研究,國立政治大學會計研究所
    未出版碩士論文
    林博泰,1991,股票首次公開發行超常報酬持久性之研究,國立台灣大學商學研究所
    未出版碩士論文
    邱寶桂,2002,IPOs 公司掛牌後股價表現影響因素之研究,淡江大學財務金融學系
    研究所碩士論文
    柯百鈴,1988,新上市股票承銷價格之探討,國立政治大學企業管理研究所未出版碩
    士論文
    洪日瀾,1979,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,國立政治
    大學企業管理研究所碩士論文
    洪振虔,1999,台灣地區新上市股票價格績效與獲利績效之研究,國立中山大學企業
    管理學系研究所碩士論文
    胡星陽,1998, The effect of turnover on stock returns in Taiwan, Journal of Financial
    Studies, 5, pp. 1-19.
    63
    夏侯欣榮,1993,台灣地區新上市普通股承銷價格之研究,國立政治大學企業管理研
    究所未出版博士論文
    徐瑋霙,1996,我國新上市股價行為與長期績效之研究,國立政治大學會計研究所未
    出版之碩士論文
    馬宏志,2006,法人買賣訊息後股價反應之研究,國立雲林科技大學財務金融學系研
    究所碩士論文
    張于紳,1996,首次公開發行普通股的長期績效與原因分析,國立政治大學財務管理
    研究所碩士論文
    張家晟,2004,影響台灣新上市(櫃)公司折價之因素及其長期績效之探討,國立台灣
    科技大學財務金融學系研究所碩士論文
    許永聲,1989,新上市股票異常價格績效之驗證與探討,東海大學企業管理研究所未
    出版碩士論文
    陳水生,2006,台灣股市本益比投資策略深入探討,國立東華大學企業管理學系研究
    所碩士論文
    陳秀亮,1987,首次公開發行股票價格行為探討,國立中央大學產業經濟研究所未出
    版碩士論文
    陳俊吉,1999,新上市股票長期報酬之實證研究,國立中山大學企業管理研究所未出
    版碩士論文
    陳美旭,2000,企業上市前後舉債程度影響因素之研究,東吳大學會計學系研究所博
    士論文
    陳盛得,1994,新上市股票長期報酬之研究,國立中正大學財務金融研究所未出版碩
    士論文
    陳榮昌,2001,台灣股票報酬之結構分析,國立中山大學財務管理研究所碩士論文
    楊泓文,1987,首次公開發行股票報酬之研究,國立交通大學管理科學研究所未出版
    碩士論文
    劉立詩,2000,新上市公司股權結構與股票長期績效之研究,國立中山大學企業管理
    64
    學系研究所碩士論文
    劉爭春、易海燕,2005,關於金融產品流動性及流動性指標的研究,電子科技大學學
    報 (社會科學版),第七卷,頁21-24
    劉曦敏、曾文杰、陳孝琪,2001,具報價導向交易機制的市場流動性測量—美國NYSE
    和Nasdaq 股市的實證分析,經濟研究,第37 卷,頁1-39
    潘桂玲,1998,Fama-French 三因子模式下新上市股票之長期報酬行為,國立中山大
    學企業管理研究所未出版碩士論文
    潘慈暉,1994,新上市股票異常報酬極其影響因素之實證研究,國立臺灣大學商學研
    究所未出版碩士論文
    鄭佩青,2001,不同市場狀況下新上市、上櫃股票初期超額報酬之研究,大同大學事
    業經營研究所碩士論文
    賴柏堯,1993,影響台灣新上市股票訂價與報酬因素之研究,國立中正大學財務金融
    研究所未出版碩士論文
    顏美英,1992,承銷商聲望與新上市股票異常報酬關係之實證研究,國立臺灣大學國
    際企業研究所未出版碩士論文
    羅贊興,1990,我國首次公開發行公司股票短期報酬之研究,淡江大學金融研究所未
    出版碩士論文
    證券櫃臺買賣中心,2006,證券櫃買中心中華民國九十五年年鑑
    II. English References
    Aggarwal, R. and P. Rivoli, 1990, Fads in the initial public offering market?, Financial
    Management, 19, pp.45-57.
    Allen, F. and G. R. Faulhaber, 1989, Signaling by underpricing in the IPO market, Journal
    of Financial Economics, 23, pp. 303-323.
    Amihud, Y. and H. Mendelson, 1986, Asset pricing and the bid–ask spread, Journal of
    Financial Economics, 15, pp. 223–249.
    65
    Amihud, Y. and H. Mendelson, 1988, Liquidity, Volatility and Exchange Automation,
    Journal of Accounting, Auditing and Finance, 3, pp. 369-395.
    Avramov, D., J. Chao, and T. Chordia, 2002, Hedging against liquidity risk and short sale
    constraints, Working paper, Emory University.
    Baron, D., 1982, A model of the demand of investment banking advising and distribution
    services for new issues, Journal of Finance, 37, pp.955-976.
    Barry, C. and S. Brown, 1985, Differential information and security market equilibrium,
    Journal of Financial and Quantitative Analysis, 20, pp. 407-422.
    Barry, C. B., 1989, Initial public offering underpricing: the issuer’s view – a comment,
    Journal of Finance, 44, pp. 1099-1103.
    Beatty, R. P. and J. R. Ritter, 1986, Investment banking, reputation, and the underpricing of
    initial public offerings, Journal of Financial Economics, 15, pp. 213-232.
    Benveniste, L. M. and P. A. Spindt, 1989, How investment bankers determine the offer
    price and allocation of new issues, Journal of Financial Economics, 24, pp. 343-361.
    Benveniste, L. M., W. Y. Busaba, and W. J. Wilhelm, Jr., 1996, Price stabilization as a
    bonding mechanism in new equity issues, Journal of Financial Economics, 42, pp.
    223-255.
    Bower, D. H., R. S. Bower, and D. E. Logue, 1984, Arbitrage pricing theory and utility
    stock returns, Journal of Finance, 39, pp. 1041-1054.
    Brav, A. and P. A. Gompers, 1997, Myth or reality? The long-run underperformance of
    initial public offerings, Journal of Finance, 52, pp. 1791-1821.
    Brennan, M. J. and A. Subrahmanyam, 1996, Market microstructure and asset pricing: On
    the compensation for illiquidity in stock returns, Journal of Financial Economics, 41,
    pp 441-464.
    Brennan, M. J., T. Chordia, and A. Subrahmanyam, 1998, Alternative factor specifications,
    security characteristics, and the cross-section of expected stock returns, Journal of
    66
    Financial Economics, 49, pp. 345-373
    Carter, R. and S. Manaster, 1990, Initial public offerings and underwriter reputation,
    Journal of Finance, 45, pp. 1045-1067.
    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, pp. 285-311.
    Chalk, A. J. and J. W. Peavy, 1987, Initial public offerings: Daily returns, offering types
    and the price effect, Financial Analysts Journal, 43, pp. 65-69.
    Chordia, T., A. Subrahmanyam, and V. R. Anshuman, 2001, Trading activity and expected
    stock returns, Journal of Financial Economics, pp. 3-32.
    Chordia, T., R. Roll, and A. Subrahmanyam, 2000, Commonality in liquidity, Journal of
    Financial Economics, 56, pp. 3–28.
    Chowdhry, B. and V. Nanda, 1996, Stabilization, syndication, and pricing of IPOs, Journal
    of Financial and Quantitative Analysis, 31, pp. 25-42.
    Datar, V. T., Y. Naik, and R. Radcliffe, 1998, Liquidity and stock returns: An alternative
    test, Journal of Financial Markets, 1, pp. 203-219.
    Datta, S., M. Iskandar-Datta, and A. Patel, 1997, The pricing of initial public offers of
    corporate straight debt, Journal of Finance, 52, pp. 379-396.
    Downes, D. H. and R. Heinkel, 1982, Signaling and the valuation of unseasoned, Journal
    of Finance, p.p.1-10.
    Dubofsky, D. A. and J. C. Growth, 1984, Exchange Listing and Stock Liquidity, Journal of
    Financial Research, 291-302.
    Easley, D., S. Hvidkjaer, and M. O’Hara, 2002, Is information risk a determinant of asset
    returns? Journal of Finance, 57, pp. 2185-2221.
    Eckbo, B. E. and O. Norli, 2002, Pervasive liquidity risk, Working paper, Tuck School of
    Business at Dartmouth.
    Eckbo, B. E. and O. Norli, 2005, Liquidity risk, leverage and long-run IPO returns,
    67
    Journal of Corporate Finance, 11, pp. 1-35.
    Eckbo, B. E., R. W. Masulis, and O. Norli, 2000, Seasoned public offerings: Resolution of
    the ‘new issues puzzle’, Journal of Financial Economics, 56, pp. 251-291.
    Fama, E. F. and K. R. French, 1989, Business conditions and expected returns on stocks
    and bonds, Journal of Financial Economics, 25, pp. 23-49.
    Fama, E. F. and K. R. French, 1993, Common risk factors in the returns on stocks and
    bonds, Journal of Financial Economics, 33, pp. 3-56.
    Fama, E. F., 1996, Multifactor portfolio efficiency and multifactor asset pricing, Journal of
    Financial and Quantitative Analysis, 31, pp. 441-465.
    Gompers, P. A. and J. Lerner, 2003, The really long-run performance of initial public
    offerings: The pre-NASDAQ evidence, Journal of Finance, pp. 1355-1392.
    Grinblatt, M. and C. Y. Hwang, 1989, Signaling and the pricing of new issues, Journal of
    Finance, 44, pp. 393-420.
    Hanley, K. W., 1993, The underpricing of initial public offerings and the partial adjustment
    phenomenon, Journal of Financial Economics, 34, pp. 231-250.
    Hwang, C. H. and N. Jayaraman, 1993, The post-listing puzzle: Evidence from Tokyo
    Stock Exchange listings, Pacific-Basin Finance Journal, 1, pp.111-126.
    Ibbotson, R. G. and J. F. Jaffe, 1975, "Hot Issue" Markets, Journal of Finance, 30, pp.
    1027-1042.
    Ibbotson, R. G., 1975, Price performance of common stock new issues, Journal of
    Financial Economics, 2, pp. 235-272.
    Ibbotson, R. G., J. Sindelar, and J. Ritter, 1988, Initial public offerings, Journal of Applied
    Corporate Finance, 6, pp.37-45.
    Jegadeesh, N., M. Weinstein, and I. Welch, 1992, An empirical investigation of IPO returns
    and subsequent equity offerings, Journal of Financial Economics, 34, pp. 153-175.
    Jensen, M. C., 1968, The performance of mutual funds in the period 1945-1964, Journal of
    68
    Finance, 23, pp. 389-416.
    Jones, C. M., 2001, A century of stock market liquidity and trading costs, Working paper,
    Columbia University.
    Kim, J. B., I. Krinsky, and J. Lee, 1995, The aftermarket performance of initial public
    offerings in Korea, Pacific-Basin Finance Journal, 3, pp. 429-448.
    Koh, F. and T. Walter, 1989, A direct test of Rock‘s model of the pricing of unseasoned
    issues, Journal of Financial Economics, 23, pp. 251-272.
    Lee, P. J., S. L. Taylor, and T. S. Walter, 1996, Expected and realized returns for
    Singaporean IPOs: Initial and long-run analysis, Pacific-Basin Finance Journal, 4, pp.
    153-180.
    Leland, H. E. and D. H. Pyle, 1977, Information asymmetries, financial structure, and
    financial intermediation, Journal of Finance, 32, pp. 371-387.
    Levis, M., 1993, The long-run performance of initial public offerings: The UK experience
    1980-1988, Financial Management, p.p. 28-41.
    Lintner, J., 1965, The valuation of risky assets and the selection of risky investment in
    stock portfolios and capital budgets, Review of Economics and Statistics, 47, pp.
    13–37.
    Lo, A. W. and J. Wang, 2000, Trading volume: Definitions, data analysis, and implications
    of portfolio theory, Review of Financial Studies, 13, pp. 257–300.
    Logue, D., 1973, On the pricing of unseasoned equity issues, Journal of Financial &
    Quantitative Analysis, 8, p.p.91-103.
    Loughran, T. and J. R. Ritter, 1995, The new issue puzzle, Journal of Finance, 50, pp.
    23-51.
    Loughran, T., J. R. Ritter, and K. Rydqvist, 1994, Initial public offerings: International
    insights, Pacific-Basic Finance Journal, 2, pp. 165-199.
    Lucas, D. J. and R. L. McDonald, 1990, Equity issues and stock price dynamics, Journal
    69
    of Finance, 45, pp. 1019-1043.
    MacKie-Mason, J. K., 1990, Do taxes affect corporate financing decisions?, Journal of
    Finance, 45, pp. 1471-1493.
    Massimb, M. N. and B. D. Phelps, 1994, Electronic Trading, Market Structure and
    Liquidity, Financial Analysis Journal, 50, pp. 39-50.
    McDonald, J. G. and A. K. Fisher, 1972, New-issue stock price behavior, Journal of
    Finance, 27, pp. 97-102.
    McGuinness, P., 1992, An examination of the underpricing of initial public offerings in
    Hong Kong: 1980-90, Journal of Business Finance & Accounting, 19, pp.165-186.
    Merton, R. C., 1973, The theory of rational option pricing, Bell Journal of Economics and
    Management Science, 4, pp. 141–183.
    Michaely, R. and W. H. Shaw, 1994, The pricing of initial public offerings: Tests of
    adverse-selection and signaling theories, Review of Financial Studies, 7, pp. 279-319.
    Muscarella, C. J. and M. R. Vetsuypens, 1989, A simple test of Baron’s model of IPO
    underpricing, Journal of Financial Economics, 24, pp. 125-135.
    Neuberger, B. M. and C. A. La Chapella, 1983, Unseasoned new issue price performance
    on three tiers: 1975-1980, Financial Management, 10, pp. 23-28.
    Pastor, L. and R. F. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of
    Political Economy, 111, pp. 642-685.
    Peng, K. L. and Y. J. Goo, 2004, Empirical study of chaotic behavior in the Taiwanese
    stock market, Pan pacific Management Review, 7, pp.1-22.
    Reilly, F. K. and K. Hatfield, 1968, Investor experience with new stock issues, Financial
    Analysts Journal, 25, pp. 73-80.
    Reinganum, M. R., 1981, Misspecification of capital asset pricing empirical anomalies
    based on earnings' yields and market values, Journal of Financial Economics,
    p.p.19-46.
    70
    Reinganum, M. R., 1981, Misspecification of capital asset pricing empirical anomalies
    based on earnings’ yields and market values, Journal of Financial Economics,
    p.p.19-46.
    Ritter, J. R., 1984a, Signaling and the valuation of unseasoned new issues: A comment,
    Journal of Finance, 39, pp. 1231-1237.
    Ritter, J. R., 1984b, The “hot issue” market of 1980, Journal of Business, 57, pp. 215-240.
    Ritter, J. R., 1991, The long-run performance of initial public offerings, Journal of Finance,
    46, pp. 3-27.
    Rock, K., 1986, Why new issues are underpriced, Journal of Financial Economics, 15, pp.
    187-212.
    Ross, S. A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic
    Theory, 13, pp. 341-360.
    Ross, S. A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic
    Theory, 13, pp. 341-360.
    Sharpe, W. F., 1964, Capital asset prices: A theory of market equilibrium under conditions
    of risk, Journal of Finance, 19, pp. 425-442.
    Stigler, G., 1964, Public regulation of securities markets, Journal of Business of the
    University of Chicago, 37, pp. 117-142.
    Tinic, S. M., 1988, Anatomy of initial public offerings of common stock, Journal of
    Finance, 43, pp. 789-822.
    Titman, S. and Trueman, B., 1986, Information quality and the valuation of new issues,
    Journal of Accounting and Economics, 8, pp. 159-172.
    Welch, I., 1989, Seasoned offerings, imitation costs and the underpricing of initial public
    offerings, Journal of Finance, 44, pp.421-449.
    口試委員
  • 湯惠雯 - 召集委員
  • 盧正壽 - 委員
  • 陳安琳 - 指導教授
  • 口試日期 2008-04-30 繳交日期 2009-07-15

    [回到前頁查詢結果 | 重新搜尋]


    如有任何問題請與論文審查小組聯繫