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%。

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.

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

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