以往相關研究認為：IPOs在上市初期存在超額報酬，而此超額報酬為一短期現象，IPOs的長期報酬呈現報酬不佳甚至負報酬的現象。本研究針對1991年至1996年間台灣新上市公司，共計151個樣本為研究對象，以Fama-French三因子模型來衡量股票報酬。就研究樣本之實證結果來看，台灣新上市公司亦存在短期超額報酬和長期負報酬的現象。同時在IPOs上市後法人持股與股票長期報酬之關係方面，發現法人持股與持有期間超額報酬間為負向關係，符合法人為追求長期報酬，傾向在股價低點時買入以利長期持有。在影響法人持股的因素分析上，實證結果發現：公司規模以及董監事持股二者與法人持股間呈顯著正相關。經理人持股以及負債二者與法人持股間並無顯著相關。股票股利除上市第二年外，與法人持股間呈顯著負相關。現金股利除上市初始期與上市後第一個月有顯著負相關外，其餘均無顯著相關存在。產業虛擬變數(電子產業與非電子產業)除上市初始期與上市後第一個月，與法人持股有顯著正相關外，其餘均無顯著相關。由研究結果可知法人之投資偏重分散風險和長期獲利。

ABSTRACT

Prior relative studies document that the mean initial returns of IPOs is significantly positive. Yet, several researches find that the positive abnormal returns appear to be a short-run phenomenon, and the long-run performance of IPOs is poor even negative. Based on a sample of 151 Taiwan IPO firms issued form 1991 to 1996, this study employ the Fama-French three factors model to measure the expected returns of securities. Consistent with predictions, the empirical results show positive short-run returns and a negative long run returns. Meanwhile, there is a negative relationship between institutional ownership and the holding period abnormal returns aftermarket. The conclusion is consistent with the concerns of long-term profitability of institutional investors, as they used to buy low for the benefits of long-term profits. This study also examines the influential factors of institutional ownership. The findings indicate that both firm size and insiders are significantly positive related to institutional ownership. However, neither managerial ownership nor debt is related to institutional ownership. On the other hand, there is significantly negative relationship between stock dividend and institutional ownership, except the second year. At the initial and the first month, cash dividend is negative related to institutional ownership, and industry dummy variable (electronic industry or not) is positive related to institutional ownership. Besides, there is no relationship between cash dividend and institutional ownership, nor was there any relationship between industry dummy variable and institutional ownership. According to the findings, most institutional investors want to maintain the diversification and long-term profits of the portfolio investment.

目 錄


第一章 緒論

第一節 研究動機……………………………………………….…1
第二節 研究目的……………………………………………….…2
第三節 研究範圍與研究方法…………………………………….3
第四節 研究架構……………………………………………….…3

第二章 文獻探討
第一節 有關報酬衡量之研究…………………………………….7
第二節 有關新上市公司(IPOs)報酬之研究……………………..9
第三節 有關法人持股與公司規模之研究………………………10
第四節 有關法人持股與董監事持股、經理人持股、負債、
及股利之研究………………………………………….11

第三章 研究方法
第一節 資料來源與研究期間……………………………………17
第二節 研究樣本…………………………………………………18
第三節 變數定義…………………………………………………18
第四節 實證模式…………………………………………………25

第四章 實證結果分析
第一節 基本統計資料分析………………………………………27
第二節 迴歸分析…………………………………………………31

第五章 結論與建議
第一節 結論……………………………………………………….42
第二節 研究限制………………………………………………….45
第三節 建議……………………………………………………….47

參考文獻……………………………………………………………..50

參考文獻
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