中文摘要
Ibbotson and Ritter (1995)指出IPOs有三大異象，包括發行折價、長期績效不佳，及發行熱季。相對於國內大部分研究著重於發行折價與長期績效不佳的主題，本論文旨在探討台灣IPOs市場是否存在發行熱季及其成因。所謂IPOs發行熱季，即IPOs發行量及其平均初始報酬都存在顯著自我相關。而有意發行IPOs之公司一旦觀察到市場上其他IPOs初始報酬較高後，也會跟隨著上市櫃。Ritter (1984)指出發行熱季中所發行之IPOs，通常初始報酬水準會較高。而針對發行熱季的解釋，主要為投資人正向回饋假說，因而發行公司願意在市場出現高IPOs初始報酬後，隨後發行IPOs股票。但折價或者初始報酬被視為是IPOs發行的間接成本，而發行公司理所當然必須降低折價幅度以提高募集金額，以致於發行熱季成為財務理論無法解釋的異象。本研究為了填補國內文獻之缺口，嘗試檢測國內IPOs是否存在發行熱季，並進一步合理解釋其成因。
實證結果顯示，國內IPOs初始報酬與發行量之間有明顯領先－落後關係。然而IPOs申請時市場上其他IPOs的初始報酬水準，與其未來上市櫃後的初始報酬無關。其次，當IPOs被申請時，流通市場交易氣氛不佳，則發行價格會完全反應市場公開資訊，此時大部分初始報酬，係由IPOs自申請至發行期間的資訊所解釋。在此情況下，意謂著IPOs的定價係有效率的。反觀若流通市場交易熱絡或投資人超額需求增加時，則IPOs上市櫃後的初始報酬終將提高。進一步探討發行熱季之成因，結果發現投資人的超額需求造成高IPOs初始報酬，而計畫發行的公司，認為高初始報酬代表投資人對IPOs有較高的評價。在此情況下，發行公司利用投資人積極的情緒，選擇趕快申請上市，但卻未能預測未來發行後的折價幅度。這就是為何存在高IPOs初始報酬後，IPOs發行量也增加之原因。

ABSTRACT
Ibbotson and Ritter (1995) indicate that there are three anomalies in IPO markets: IPO underpricing, IPO long-run underperformance, and hot-issue market. Contrary to most of the previous studies which focus on IPO underpricing or IPO long-run performance, this dissertation examines the existence of hot-issue phenomenon in Taiwan IPO markets.
“Hot-Issue anomaly” means that cycle exists in both the IPO volume and IPO underpricing. Consequently, issuers tend to issue new equity to the public when faced with high average initial returns of IPOs. Ritter (1984) argues that IPOs in hot markets experience higher initial returns. Moreover, young IPOs experience more underpricing in hot markets. A possible explanation for hot-issue phenomenon is the positive feedback hypothesis: market investors positively react to IPO underpricing. When investors earn initial returns from IPOs, they are more likely to subscribe to future IPOs leading to the fact that issuers tend to issue when previous IPOs are more underpriced. Hot-issue is considered as an anomaly because underpricing or initial return is referred as an indirect cost of issuance. Issuers should try to reduce the extent of underpricing to raise IPO proceeds. From the point of view of maximizing proceeds, previous studies fail to explain the hot-issue anomaly in IPO markets. Ibbotson, Sindelar, and Ritter (1994) show that IPO hot-issue phenomenon exists not only in U.S. market but also in Germany, South Korea, and U.K. markets. To make up this gap, this dissertation first tests if there exists hot-issue anomaly in Taiwan and then examines why hot-issue anomaly exists to provide an explanation to the anomaly.
I find that IPO initial return leads IPO issuance. However, issuance of IPOs does not reduce the extent of underpricing of the followed up IPOs. I further show that IPO initial return is not related to the initial return of the followed up ones. The issuance of IPOs cannot be attributed to the information of initial returns of preceding IPOs. Rather, the market information between IPO filing date and IPO issuance date is the cause for the lead-lag relation between IPO initial return and IPO issuance. IPO offer price will fully reflect to the negative recent market return but simply partially to the recent positive market return. Most of the IPO initial return can be explained by the information revealed after offer price has been set implying that the offer price is set efficiently. The large amount of IPO volume following high IPO initial return can be attributed to the positive market reaction to the preceding IPOs instead of the filed IPO pricing of preceding IPOs. Our findings explain the hot-issue anomaly. During hot markets, investors’ excess demand on IPOs leads to high initial returns of IPOs. Faced with investors’ excess demand, issuers attempt to issue IPOs to take advantage of investors’ sentiments to maximize IPO proceeds.

目錄
誌謝 i
中文摘要 ii
英文摘要 iii
目錄 v
表目錄 vi
圖目錄 viii
第一章 緒論 1
第一節 研究動機與目的 1
第二節 預期結果與貢獻 5
第三節 研究架構 6
第二章 文獻探討 7
第一節 IPOs初始報酬之相關文獻 7
第二節 IPOs發行時機選擇之相關文獻 14
第三章 研究設計 18
第一節 資料來源 18
第二節 研究變數定義與衡量 19
第三節 變數基本統計量分析 25
第四章 實證結果分析 36
第一節 實證模型設定 36
第二節 台灣IPOs發行熱季異象之探討 41
第三節 IPOs初始報酬水準 48
第四節 國內出現IPOs發行熱季之原因 58
第五章 周延性分析 88
第六章 結論與建議 92
參考文獻 95
附錄 101
表目錄
表3-1 IPOs樣本基本統計量 29
表3-2 研究變數之Pearson相關係數 30
表3-3 IPOs樣本產業、上市別分佈 31
表3-4 電子產業與非電子產業IPOs初始報酬之基本統計量 32
表3-5 上市與上櫃IPOs初始報酬之基本統計量 33
表3-6 時間數列資料基本統計量 34
表4-1 ADF單根檢定之結果 71
表4-2 向量自我迴歸模型最適落後期數選取－AIC準則 72
表4-3 IPOs發行家數與月平均(加權平均)初始報酬先後因果關係 73
表4-4 月平均(加權平均)初始報酬與IPOs發行家數先後因果關係 74
表4-5 月平均(加權平均)初始報酬與IPOs申請家數先後因果關係 75
表4-6 平均(加權平均)初始報酬與IPOs申請至發行天數先後因果關係 76
表4-7 IPOs初始報酬之相關因素迴歸分析 77
表4-8 IPOs初始報酬之相關因素迴歸分析 78
表4-9 IPOs長期報酬之相關因素迴歸分析 79
表4-10 IPOs申請前資訊預測之加權平均初始報酬自我相關分析 80
表4-11 IPOs發行前資訊預測之初始報酬月加權平均值自我相關分析 81
表4-12 其他IPOs初始報酬與被申請IPOs初始報酬迴歸分析 82
表4-13 申請前資訊預測之加權平均初始報酬與申請及發行量之關係 83
表4-14 申請前資訊未能預測之殘差加權平均值與申請及發行量之關係 84
表4-15 發行前資訊預測之加權平均初始報酬與申請及發行量之關係 85
表4-16 發行前資訊未能預測之殘差加權平均值與申請及發行量之關係 86
表目錄－附錄部分
表A-1 IPOs初始報酬之相關因素迴歸分析 101
表A-2 IPOs可被預期初始報酬與不被預期初始報酬自我相關分析 102
表A-3 其他IPOs初始報酬與被申請IPO初始報酬迴歸分析 103
表A-4 申請前資訊預測之加權平均初始報酬與申請及發行量之關係 104
表A-5 發行前資訊預測之加權平均初始報酬與申請及發行量之關係 105
表A-6 ADF單根檢定之結果 106
表A-7 IPOs發行家數與月平均(加權平均)初始報酬先後因果關係 107
表A-8 平均初始報酬與申請家數及申請至發行時間先後因果關係 108
表A-9 IPOs初始報酬之相關因素迴歸分析 109
表A-10 IPOs可被預期初始報酬與不被預期初始報酬自我相關分析 110
表A-11 其他IPOs初始報酬與被申請IPO初始報酬迴歸分析 111
表A-12 申請前資訊預測之加權平均初始報酬與申請及發行量之關係 112
表A-13 發行前資訊預測之加權平均初始報酬與申請及發行量之關係 113
表A-14 IPOs初始報酬之相關因素迴歸分析 114
表A-15 IPOs可被預期初始報酬與不被預期初始報酬自我相關分析 115
表A-16 其他IPOs初始報酬與被申請IPO初始報酬迴歸分析 116
表A-17 發行前資訊預測之加權平均初始報酬與申請及發行量之關係 117
表A-18 申請量與IPOs自申請至發行時間先後因果關係分析 118
圖目錄
圖3-1 台灣公開申購IPOs發行時程圖 35
圖4-1 19982004年台灣各月IPOs初始報酬與發行家數統計圖 87

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