博碩士論文 etd-0723113-111252 詳細資訊


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姓名 吳至軒(Chih-Hsuan Wu) 電子郵件信箱 E-mail 資料不公開
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 101學年第2學期
論文名稱(中) 台灣 IPO 股票長短期報酬之研究
論文名稱(英) Long-Term and Short-Term Performance of IPOs in Taiwan
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    摘要(中) 國內外文獻如:Ritter (1991)、曹育賢(2012)等實證均提到投資新上市櫃股票(IPO),短期內大多有超額報酬,但長期報酬不佳的情形。若上市櫃前持有,上市櫃後立即賣出,當然可以賺取初始報酬,但是上市櫃後才買入的投資人能否還有正報酬呢?若使用發行前最近的財務報表資訊,是否能找出影響長短期報酬的財務比率呢?因此,本研究探討新上市公司長短期報酬與買入時點之關係,以及影響長短期報酬之因素。
    本研究是以在台灣證券交易所(上市)與櫃台買賣中心(上櫃),初次上市與上櫃的股票,作為研究對象。分析方法上,運用t檢定及複迴歸作為研究工具。
    實證結果發現
    1. 台灣IPO的確存在發行折價的情形,平均折價幅度為30.01%。就數量來看,超過一半的公司發行IPO有發行折價存在,與眾多文獻中IPO有異常的初始報酬存在的情況相符。
    2. 以IPO發行價格買入,持有一年的累積報酬率的平均值的確是下降,而且超過一半的IPO持有一年的累積報酬率是負的。但持有兩年則報酬率的平均值卻是正的。但若去除某些IPO後,則持有兩年的累積報酬同樣不佳。
    3. 操作上來說,若IPO上市後一個月,買入一個月累積報酬率為正的IPO並持有一年與買入累積一個月為負報酬的IPO持有一年相比較,發現買入負報酬的組合其表現較好。若只持有一個月,則不論買入一個月累積報酬率為正的IPO,還是買入一個月累積報酬率為負的IPO,其報酬率同樣是負報酬。
    4. 影響報酬率的因素上,大多數的財報比率對報酬率都沒有影響。例如:流動比率、負債比率、成長率、淨利率等。申購倍數與初始報酬為顯著正相關。代表著投資人認為IPO公司的折價幅度高於其申購成本,踴躍參與申購。
    5. 不管是初始報酬、短期報酬、長期報酬來看,P/B與各報酬率都是負相關,且越期間越長,係數值越大。P/B越高,表示當初的承銷價格與該公司的淨值相差越大,簡而言之就是當初的發行價格其實是過高的。
    摘要(英) Numbers studies such as Ritter (1991), Tsao (2012) have documented two phenomena in the return of initial public offerings (IPO) of common stock: (1) the short term abnormal return and (2) the long term reversal return.If we buy IPO stocks after IPO, is it possible to have positive return? If we use the latest financial report information, could we discover some factors having important influence on IPO return? This paper studies on (1) the short term and long term return of IPO in Taiwan (2) how to buy IPO stocks after IPO and (3) find the factors effect on IPO returns.
    Using a sample of 554 IPOs that went public in Taiwan in the 2000-2010 periods, we get the following results:
    (1.) Measured from the offering price to the market price at the end of the first day of trading for IPOs issued after November 15 2005 and from the offering price to the first non-ceiling price for IPOs issued before November 15 2005,IPOs produce an average initial return that has been estimated at 30.01% in Taiwan。
    (2.) For the long term return, holding one year return for IPOs declines and more than half IPOs are negative return. The holding two year return for IPOs is positive. But if we remove some abnormal IPOs, the holding two year return for IPOs becomes worse.
    (3.) IF we buy IPOs one month later after IPO and hold one year, we find that buying the “loser” with holding return negative for the first month performs well than the “winner” with holding return positive for the first month, nevertheless, holding just one month the return is negative whether “winner” nor “loser”.
    (4.) Most financial report ratios ex: current ratio, debt ratio. etc. have no influence on IPO return. The subscription multiplier has significant positive relationship with the initial return reflecting that the stronger demand it has, the higher initial IPO return it becomes.
    (5.) P/B ratio has negative relation with short term and long term return. In this paper we use the offering price as price. This means the offering price is overvalued by IPO investors.
    關鍵字(中)
  • 新上市股票
  • 長期績效
  • 初始報酬
  • 關鍵字(英)
  • Initial Public Offering
  • Long-run Perforamnce
  • Initial Return
  • 論文目次 摘 要 i
    Abstract ii
    目  錄 iii
    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  研究流程 4
    第貳章  文獻探討 5
    第一節  有關IPO初始報酬之研究 5
    第二節  有關IPO長期報酬之探討 10
    第三節  影響報酬率的因子 12
    第参章  研究方法 15
    第一節  研究樣本 15
    第二節  研究方法 16
    第肆章  實證結果 23
    第一節  敘述性統計 23
    第二節  單變量結果分析 27
    第三節  多元迴歸分析 29
    第伍章  結論與建議 38
    第一節  研究結論 38
    第二節  研究限制 41
    第三節  研究建議 42
    參考文獻 43
    參考文獻 中文文獻
    1. 王宗興,2002,「台灣新上市公司股票上市後存活分析」,國立中山大學財務管理學系碩士在職專班碩士論文。
    2. 邱寶桂,2002,「IPOs公司掛牌後股價表現影響因素之研究」,淡江大學金融研究所碩士論文。
    3. 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碩士論文。
    4. 洪日爛,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」,政治大學企業管理學系碩士論文。
    5. 曹育賢,2012,「台灣IPO與股價表現」,淡江大學管理科學學系碩士班論文。
    6. 黃忠傑,2002,「探討初次上市櫃股票異常報酬影響因素之研究-以台灣地區電子業上市櫃公司為例」,大葉大學事業經營研究所碩士論文。
    7. 楊泓文,1987,「新上市股票報酬之研究」,國立交通大學管理科學學系碩士班論文。
    8. 劉恩棠,1994,「新上市股票超額報酬:短期現象乎?長期現象乎?」,國立中央大學財務管理學系碩士論文。
    9. 蕭畹琪,2011,「承銷制度改變下對IPO市場評價與承銷商報酬之影響」,國立中山大學企業管理學系研究所碩士論文。
    10. 羅贊興,1990,「我國新上市公司股票短期報酬率之研究」,淡江大學金融研究所碩士論文。
    英文文獻
    1. Aggarwal, Reena and Pietra Rivoli(1990), Fads in the Initial Public Offering Market?,Financial Management ,Vol. 19, No. 4,p. 45-57
    2. Allen, F. and GR. Faulhaber(1989), Signaling by Underpricing in the IPO Market, Journal of Financial Economics ,23, 303-323.
    3. Ball, Ray and Philip Brown (1968), An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research Vol. 6, Issue 2, 159-178.
    4. Bathala, C.T., K.P. Moon, and R.P. Rao (1994). Managerial Ownership, Debt Policy,and the Impact of Institutional Holdings: An Agency Perspective, Financial Management 23, 38–50.
    5. Beatty, Randolph P.(1989), Auditor Reputation and the Pricing of Initial Public Offerings, The Accounting Review Vol. 64, No. 4 ,pp. 693-709
    6. 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
    7. Baron, David P (1982), A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues, The Journal of Finance ,Vol. 37, No. 4 ,955-976
    8. Carter, R. and Manaster, S. (1990), Initial Public Offerings and Underwriter Reputation, Journal of Finance 45, 1045-1067
    9. Claessens Stijn,Simeon Djankov,Joseph .P H. FAN and Larry H.P. Lang(2002),Disentangling the Incentive and Entrenchment Effects of Large Shareholdings, The Journal of Finance Vol.LVII,No.6
    10. Espenlaub Suanne ,Alan Gregory, and Lan Tonk(2000), Re-assessing the long-term underperformance of UK Initial Public Offerings,European Financial Management Volume 6, Issue 3, pages 319–342
    11. Holthausen Robert W and David F Larcker (1992), The prediction of stock returns using financial statement information, Journal of Accounting and Economics Volume 15, Issues 2–3, Pages 373–411
    12. Ibbotson, Roger G. (1975), Price Performance Of Common Stock New Issues, Journal of Financial Economics 2 235-272. Q
    13. Islam, M(2011), Sadiqul, Mahfuja Malik and Mohammad Riaz Uddlin, Long Run Price Performance of IPO Stocks in Bangladesh, Journal of Finance and Banking, Volume 9, Number 2
    14. Jensen,M (1986), Agency Costs of Free Cash Flow,Corporate Finance, and Takeovers,American Economic Review,Vol. 76, No. 2, pp. 323-329.
    15. Logue, D.E.,Richard J.Rogalski, James K. Seward and Lynn Foster-Johnson (2002), What Is Special about the Roles of Underwriter Reputation and Market Activities in Initial Public Offerings? ,Journal of Business, vol. 75, no.2
    16. McDonald, J. G. and A. K, Fisher (1972), New-Issue Stock Price Behavior, Journal of Finance, Volume. 27 Issue 1, p97-102.
    17. Michaely, R. and W.H. Shaw (1994), The Pricing of Initial Public Offerings:Tests of the Adverse Selection and Signaling Theories, Review of Financial Studies (June), 279-320
    18. Misnen, A. (2003), Effect of Financial Variables on Initial Return and 15 Days Return After the IPO in Jakarta Stock Exchange, National Accounting Symposium VI, Surabaya, 16-17.
    19. Mulyono, Dwi.M., Khairurizka, R.(2009), The Effect of Financial Ratios, Firm Size, and Cash Flow From Operating Activities in the Interim Report to the Stock Return ,Accounting Department, Faculty of Economics, University of Indonesia, Depok 16424
    20. Ritter, Jay R.(1984), The "Hot Issue" Market of 1980, The Journal of Business Vol. 57, No. 2 , p 215-240
    21. Ritter, Jay R.(1991) ,The Long-Run Performance of Initial Public Offerings, Journal of Finance, Volume 46, Issue 1
    22. Purnanandam, A. K.and Swaminathan, Bhaskaran (2004), Are IPOs Really Underpriced?, Review of Financial Studies, Volume. 17 Issue 3, p811-848. 38p.
    23. ROCK, K. (1986), Why New Issues Are Underpriced, Journal of Financial Economics ,15, 187-212.
    24. Stoll,Hans R. and Anthony J. Curley (1970), Small Business and the New Issues Market for Equities, The Journal of Financial and Quantitative Analysis Vol. 5, No. 3 ,309-322
    25. Titman, S.and B. Trueman, (1986), Information Quality and the Valuation of New Issues, Journal of Accounting and Economics, 8, 2, p 159-172.
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  • 盧正壽 - 委員
  • 陳安琳 - 指導教授
  • 口試日期 2013-07-30 繳交日期 2013-08-23

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