過去文獻驗證了在風險性資產訂價方面，非財務變數，如行銷費用，也會影響投資者反應。風險性資產報酬之分配呈現非對稱及非常態現象，隱含著採用假設樣本為高斯分配基礎下之最小平方法來研究將會導致估計上之偏誤。本研究試著採用分量迴歸法來分析以避免估計偏誤。本研究採用分量迴歸法來檢驗在日本市場中公司上市前之行銷費用是否會影響其初次公開發行折價，並進一步研究市場狀況是否會影響行銷費用及初次公開發行折價間之關係。實證結果顯示：(一)上市前之行銷費用顯著減低初次公開發行折價幅度。(二)在空頭市場下，上市前之行銷費用可減低初次公開發行折價幅度；而在多頭市場下，上市前之行銷費用卻無法減低初次公開發行折價幅度。因此，當公司不考慮市場狀況之前提下決定採用行銷策略使投資人對公司印象深刻，以減低初次公開發行折價幅度，公司可能無法達到減低折價幅度之目標。

Prior studies show the evidence of non-financial variables such as marketing affects investor’s response to risky asset pricing, and indicate that the distribution of risky asset returns is asymmetric and non-nomality, implying using Ordinary Least Squares (OLS) method with the assumption of normal distributions may lead to unreliable estimates. This study tries to apply quantile regression to the analysis of the sample in order to avoid estimation bias. This study examines whether a firm’s pre-IPO marketing expenditures affects its’ initial public offering (IPO) underpricing in Japan and examine whether market states influence the existing relation between pre-IPO marketing expenditures and IPO underpricing. The empirical results shows: (1) pre-IPO marketing expenditures significantly reduce IPO underpricing levels, (2) pre-IPO marketing expenditures can reduce IPO underpricing levels following bear markets as it cannot reduce IPO underpricing levels following bull markets. Therefore, as firms decide to use marketing strategies to make their firm remarkable, and in turns without concerning for market states to reduce the degree of IPO underpricing, their objective may not be reached.

論文審定書 i
Acknowledgements ii
摘　要 iii
Abstract iv
1. Introduction 1
2. The history of Japan’s IPO pricing mechanism 7
3. Literature review 10
3.1 Pre-IPO marketing expenditures and underpricing of IPOs 10
3.2 Market states, marketing expenditures and IPO underpricing 11
4. Methodology 13
4.1 Market state identification 13
4.2 Quantile regression method 15
5. Sample collection and data 20
5.1 Data collection procedure 20
5.2 Summary statistics and correlations 21
6. Empirical results 26
6.1 Marketing expenditures and IPO underpricing 26
6.2 Market states and IPO underpricing 29
6.3 Robustness of results 33
6.4 Major findings and implications 40
7. Conclusions 41
References 43

Barber, Harjeet S. and Richard H. Pettway, 2003. “IPO prospectus information and subsequent performance,” The Financial Review, 38(3), 369-397.
Barnes, Micelle L. and Anthony W. Hughes, 2002. “A quantile regression analysis of the cross section of stock market returns,” Working Paper, Federal Reserve Bank of Boston, Boston.
Baron, David, 1982. “A model of the demand for investment banking advising and distribution services for new issues,” Journal of Finance, 37(4), 955-976.
Beatty, Randolph P. and Jay R. Ritter ,1986. “Investment banking, reputation, and the underpricing of initial public offerings,”Journal of Financial Economics, 15(1-2), 213-232.
Beatty, Randolph P. and Ivo Welch ,1996. “Issuer expenses and legal liability in initial public offerings,” Journal of Law and Economics, 39(2), 545-602.
Beckman, Judy, Jacqueline Garner, Beverly Marshall, and Hideo Okamura, 2001. “The influence of underwriter reputation, keiretsu affiliation, and financial health on the underpricing of Japanese IPOs,” Pacific-Basin Finance Journal, 9(5), 513-534.
Benveniste, Lawrence M. and Paul A. Spindt, 1989. “How investment bankers determine the offer price and allocation of new issues,” Journal of Financial Economics, 24(2), 213-332.
Burrowes, Ashley and Kevin Jones, 2004. “Initial public offerings: evidence from the UK,” Managerial Finance, 30(1), 46-62.
Carter, Richard and Steven Manaster, 1990. “Initial public offerings and underwroter reputation,” Journal of Finance, 45(4), 1139-1168.
Chahine, Salim, 2004. “Corporate governance and firm value for small and medium sized IPOs,” Financial Markets and Portfolio Management, 18(2), 143-159.
Chan, Kalok, Junbo, Wang and K. C. John, Wei, 2004. “Underpricing and long-term performance of IPOs in China,” Journal of Corporate Finance, 10(3), 409-430.
Chemmanur, Thomas J. 1993. “The pricing of initial public offerings: a dynamic model with information production,” Journal of Finance, 48(1), 285-304.
Chemmanur, Thomas J. and Paolo Fulghieri, 1994. “Investment bank reputation, giving information production, and financial intermediation,” Journal of Finance, 49(1), 57-79.
Chemmanur, Thomas J. and An Yan, 2009. “Product market advertising and new equity issues,”Journal of Financial Economics, 92(1), 40-65.
Chen, Miao-Ling, 2004. “The effects of advertising on retail price competition under vertical restraint: A Japanese case,” Journal of Business Research, 57(3), 277-283.
Chen, Ming-Chi, Chi-Lu Peng, So-De Shyu and Jhih-Hong Zeng, 2011. “Market states and the effect on equity REIT returns due to changes in monetary policy stance,” Journal of Real Estate Finance and Economics, forthcoming.
Cheng, Louis T. W., Kam C. Chan and Billy S. C. Mak, 2005. “Strategic share allocation and underpricings of IPOs in Hong Kong,” International Business Review, 14(1), 41-59
Cook, Douglas O., Sherry L. Jarrell, and Robert Kieschnick, 2003. “Investor sentiment and IPO cycles,” Working Paper, University of Texas at Dallas.
Cooney, John W., Ajai K. Singh, Richard B. Carter and Frederick H. Dark, 2001. “IPO initial returns and underwriter reputation: has the inverse relation flipped in the 1990s?” Working Paper, University of Kentucky.
Cooper, Michael J., Roberto C. Gutierrez JR., and Allaudeen Hameed, 2004. “Market states and momentum,” Journal of Finance, 59(3), 1345-1365.
Cornellif, Francesca, David Goldreich and Alexandae Ljungqvist, 2006. “Investor sentiment and pre-IPO markets,” Journal of Finance, 61(3), 1187-1216.
Cronqvist, Henrik, 2006. “Advertising and portfolio choice,” Working Paper, Ohio State University, USA.
Derrien, FranÁois and Kent L. Womack, 2003. “Auctions vs. Bookbuilding and the control of underpricing in hot IPO markets,” Review of Financial Studies, 16(1), 31-61.
Dewenter, Kathryn L. nd Paul H. Malatesta, 1997. “Public offerings of state-owned and privately-owned enterprises: an international comparison,” Journal of Finance, 52(4), 1659-1679.
Durand, Robert, Simon Marta and Alex Szimayer, 2009. “Anger, sadness and bear markets,” Applied Financial Economics, 19(5), 357-369.
Fehle, Frank, Sergey Tsyplakov, Vladimir Zdorovtsov, 2005. “Can companies influence investor behavior through advertising? super bowl commercials and stock returns,” European Financial Management, 11(5), 625-647.
Gallaher, Steven, Ron Kaniel, and Laura Starks, 2008. “Advertising and mutual funds: From families to individual funds,” Working Paper, University of Texas at Austin, USA.
Gao, Yan, 2010. “What comprises IPO initial returns: evidence from the Chinese market,” Pacific-Basin Finance Journal, 18(1), 77-89.
Gupta, Manak and C. Anthony Di Benedetto, 2007. “Optimal Pricing and Advertising Strategy for Introducing a New Business Product With Threat of Competitive Entry,” Industrial Marketing Management, 36(4), 540-548.
Habib, Michel and Alexander Ljungqvist, 2001. “Underpricing and entrepreneurial wealth losses in IPOs: theory and evidence,” Review of Financial Studies, 14(2), 433-458.
Hung, Szu-Yin and John L. Glascock, 2008.“Momentum profitability and market trend: evidence from REITs,” Journal of Real Estate Finance and Economics, 37(1), 51-69.
Keloharju, Matti and Sami Torstila, 2002. “The distribution of information among institutional and retail investors in IPOs,” European Financial Management, 8(3), 357-372.
Kim, Kenneth A. and John R. Nofsinger, 2003, “The behavior and performance of individual investors in Japan,” Working Paper, Washington State University.
Koenker, Roger and Gilbert Bassett, 1978. “Regression quantiles,” Econometrica, 46(1), 33-50.
Koenker, Roger and Kevin F. Hallock, 2001. “Quantile regression,” Journal of Economic Perspectives, 15(4), 143-156.
Kutsuna, Kenji, Janet Kiholm Smith, and Richard L. Smith, 2009. “Public information, IPO price formation, and long-run returns: Japanese evidence,” Journal of Finance, 64(1), 505-546.
Lee, Wayne Y., Christine X. Jiang and Daniel C. Indro, 2002. “Stock market volatility, excess returns, and the role of investor sentiment,” Journal of Banking & Finance, 26(12), 2277-2299.
Lee, Jen-Sin, 2008. “A study of the factor of Taiwan IPO: quantile regression,” Review of Securities and Futures Markets, 20(1), 47-100.
Lijungqvist, Alexander and William J. Wilhelm, 2005. “Does prospect theory explain IPO market behavior?” Journal of Finance, 60(4), 1759-1790.
Ljungqvist, Alexander P., Vikram Nanda and Rajdeep Singh, 2006. “Hot markets, investor sentiment, and IPO pricing,” Journal of Business, 79(4), 1667-1702.
Loughran Tim and JR Ritter, 2004. “Why has IPO underpricing changed over time?” Financial Management, 33(3), 5–37.
Luo, Xueming, 2008. “When marketing strategy first meets Wall Street: marketing spendings and firms’ initial public offerings,” Journal of Marketing, 72(5), 98-109.
Machleit, Karen A., Chris T. Allen and Thomas J. Madden, 1993. “The mature brand and brand interest: an alternative consequence of Ad-Evoked affect,” Journal of Marketing, 57(4), 72-82.
McAlister, Leigh, Raji Srinivasan, and MinChung Kim, 2007. “Advertising, research and development, and systematic risk of firm, Journal of Marketing, 71(1), 35-48.
Meligkotsidou, Loukia, Ioannis D. Vrontos and Spyridon D. Vrontos, 2009. “Quantile regression analysis of hedge fund strategies,” Journal of Empirical Finance, 16(2), 264–279.
Mizik, Natalie and Robert Jacobson, 2007. “Myopic marketing management: evidence of the phenomenon and its long-term performance consequences in the SEO Context,” Marketing Science, 26 (3), 361-79.
Muscarella, Chris J. and Michael R. Vestsuypens,1989. “A simple test of Baron's model of IPO underpricing,” Journal of Financial Economics, 24(1), 125-135.
Pauwels, Koen, Jorge Silva-Risso, Shuba Srinivasan, and Dominique M. Hanssens, 2004. “New products, sales promotions, and firm value: the case of the automobile industry,” Journal of Marketing, 68(4), 142-156.
Peng, Chi-Lu, Miao-Ling Che, So-De Shyu and An-Pin Wei, 2011. “When is money likely to be smart? evidence from mutual fund investors in Taiwan,” Investment Analysts Journal, 73, 13-25.
Pettway, Richard H., 2003. “The impacts of Japanese price-competitive IPO auctions versus the US underwriter-priced IPOs,” Working Paper, University of Missouri-Columbia.
Rickwook, Catherine and Lesley White, 2009. “Pre-purchase decision-making for a complex service: Retirement planning,” Journal of Services Marketing, 23(3), 145-153.
Ritter, Jay R., 1991. “The long run performance of initial public offerings,” Journal of Finance, 46(1), 3-27.
Ritter, Jay and Ivo Welch, 2002. “A review of IPO activity, pricing, and allocations,” Journal of Finance, 57(4), 1795-1828.
Rock, Kevin. 1986. “Why New Issues Are Underpriced?” Journal of Financial Economics, 15(1), 187-212.
Rust, Roland T., Tim Ambler, Gregory S. Carpenter, V. Kumar, and Rajendra K. Srivastava, 2004. “Measuring marketing productivity: current knowledge and future directions,” Journal of Marketing, 68(4), 76-89.
Ruud, Judith S., 1993. “Underwriter price support and the IPO underpricing puzzle,” Journal of Financial Economics, 34(2), 135-151.
Shrider David G., 2009. “Running from a bear: how poor stock market performance affects the determinants of mutual fund flows,” Journal of Business Finance and Accounting, 36(7-8), 987-1006.
Srivastava, Rajendra, Tasadduq Shervani, and Liam Fahey, 1998. “Market-based assets and shareholder value: a framework for analysis,” Journal of Marketing, 62(1), 2-18.
Tetlock, Paul C., 2007. “Giving content to investor sentiment: the role of media in the stock market,” Journal of Finance, 62(3), 1139-1168.
Zietz, Joachim, Emily N. Zietz and G. Stacy Sirmans, 2008. “Determinants of house prices: a quantile regression approach,” Journal of Real Estate Financial Economics, 37(4), 317-1333.