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博碩士論文 etd-0620100-152926 詳細資訊
Title page for etd-0620100-152926
論文名稱
Title
台灣新上市公司股票安定操作行為之研究
The stabilizaton activities of IPOs in Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
60
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2000-06-02
繳交日期
Date of Submission
2000-06-20
關鍵字
Keywords
承銷商聲譽、安定操作
stabiluzation, underwriter reputation
統計
Statistics
本論文已被瀏覽 5726 次,被下載 3088
The thesis/dissertation has been browsed 5726 times, has been downloaded 3088 times.
中文摘要
論文摘要

本篇論文的主要目的是探討台灣股票市場中,承銷商對於新上市(櫃)股票安定操作的行為。雖然安定操作這個現象在研究IPOs的領域中,並未得到如同初期超額報酬或是長期績效不佳等現象相同的重視,但承銷商安定操作的行為,也深深影響到IPOs的投資人在上市後的權益。因此,本研究就試圖由IPOs初期報酬分佈的型態中,來探討台灣新上市(櫃)股票安定操作的行為。
本研究採用民國八十六年八月至八十八年十一月間,新上市及新上櫃的公司(IPOs)資料為研究對象,共計有158家上市櫃公司,其中上市佔49家,上櫃佔109家。首先以Ruud (1993)所提出的方式將全體IPOs樣本分為兩個群體,結果發現在此分類下,屬於安定操作IPOs的樣本群體,其前兩天的累積報酬皆近乎於零,且之後一週內的報酬型態完全不像一般IPOs的樣本群體,具有超額初期報酬的現象,反而呈現一路下滑的情形,此現象極符合安定操作的特性。
而藉著安定操作和其影響變數間的關係,再利用迴歸分析針對上述分配做驗證,發現安定操作的IPOs群體除了和主要變數承銷商聲譽之間有著高度的正相關性,符合了一般皆認為承銷商聲譽的好壞是影響安定操作行為的重要關鍵,此外也和高低價差呈現顯著的正相關、和波動性呈現顯著的負相關、和公司規模呈現顯著的負相關,這些現象說明了安定操作行為的存在,更進一步證明了此種分類方式的應用,在台灣的IPOs中也具有其正確性。
Abstract
ABSTRACT

This thesis investigates the stabilization activities of IPOs in Taiwan. Price stabilization is a legal form of stock price manipulation to prevent the transaction prices from falling below the offer price. However, the information about the implement of stabilization activities is not revealed to the public. Therefore, it is difficult to detect stabilization activities. With the proxy measure for stabilization proposed by Ruud (1993), we find that IPOs with initial returns around zero are probably stabilized IPOs. The stock prices of stabilized IPOs drop consistently two days after issuance due to the withdrawal of stabilization activities. Furthermore, we find that the stabilization activities are positively related to the underwriter reputation and price spread, and negatively related to the price volatility and firm size. This thesis confirms that price stabilization exists in Taiwan IPOs market.

目次 Table of Contents
第一章 緒論………………………………...1
第一節 研究動機與目的……………………...1
第二節 研究流程………………………...3
第二章 文獻探討……………………………...4
第一節 有關IPOs折價發行的相關研究4
第二節 有關IPOs安定操作的相關研究………….8
第三節 本章結論………………………………..11
第三章 研究設計與方法…………………….12
第一節 研究範圍及樣本……………….…………12
第二節 研究方法……………………………….…14
第四章 實證結果分析……………………….22
第一節 基本統計分析…………………….…22
第二節 迴歸模式結果分析…………………….…42
第五章 結論與建議………………………….46
第一節 研究結論…………………………….46
第二節 研究限制………………………….…47
第三節 研究建議……………………….…48
參考文獻………………….……….50

參考文獻 References
參考文獻

一、中文部份:
林象山, 民84, “承銷商安定操作對新上市股票之影響”, 管理科學學報84年7月, 247-266
姚德彰, 民81, “新上市股票短期均衡價格之研究”, 國立台灣大學財務金融研究所未出版碩士論文
劉蓁蓁, 民84, “國內新上市股跌破承銷價原因之探討”, 淡江大學國際貿易研究所未出版碩士論文
謝清潭, 民83, “我國新上市股票價格低估與後續市場支持之研究”, 中原大學企業管理研究所未出版碩士論文

二、英文部份:
Allen, F. and G. H. Faulhaber, 1989, “Signaling by underpricing in the IPO market”, Journal of Financial Economics 23, 303-323
Asquith, D., J. D. Jones and R. Kieschnick, 1998, “Evidence on price stabilization and underpricing in early IPO returns”, Journal of Finance 53, 1759-1773
Baron, D. P., 1982, “A model of the demand for investment banking advising and distribution”, Journal of Finance 37, 955-976
Beatty, R. P. and J. R. Ritter, 1986, “Investment banking, reputation and the underpricing of initial public offerings”, Journal of Financial Economics 15, 213-232

Beatty, R. P., 1989, “Auditor reputation and the pricing of initial public offerings”, Accounting Review 64, 693-709
Benveniste, L. M., W. Y. Busaba and W. J. Wilhelm Jr., 1996, “Price stabilization as a bonding mechanism in new equity issues”, Journal of Financial Economics 42, 223-255
Beveniste, L. M. and P. A. Spindt, 1989, “How investment bankers determine the offer price and allocation of new issues”, Journal of Financial Economics 24, 343-361
Carter, R. and S. Manaster, 1990, “Initial public offerings and underwriter reputation”, Journal of Finance 45, 1045-1067
Carter, R. B., F. H. Dark and A. K. Singh, 1998, “Underwriter reputation, initial returns and the long-run performance of IPO stocks”, Journal of Finance 53, 285-311
Chen, Anlin and J. F. Cotter, 1996, “The role of underwriter reputation in the stabilization of initial public offerings”
Chowdhry, B. and V. Nanda, 1996, “Stabilization, syndication and pricing of IPOs”, Journal of Financial and Quantitative Analysis 31, 25-42
Fishe, R., 1999, “How stock flippers affect IPO pricing and stabilization”, Working Paper, University of Miami
Garfinkel, J., 1993, “IPO underpricing, insider selling and subsequent equity offerings: Is underpricing a signal of quality? ”, Financial Management 22,393-420
Grinblatt, M. and C. Y. Hwang, 1989, “Signaling and the pricing of new issues”, Journal of Finance 44, 393-420


Hanley, K. W., 1993, “The underpricing of initial public offerings and the partial adjustment phenomenon”, Journal of Financial Economics 34, 231-250
Hanley, K. W., A. A. Kumar and P. J. Seguin, 1993, “Price stabilization in the market for new issues”, Journal of Financial Economics 34, 177-197
Ibbotson, R. G. and J. R. Ritter, 1995, “Initial public offerings”, in Robert Jarrow, Vojislav Maksimovic, and William Ziemba, eds. : North-Holland Handbooks of Operations Research and Management Science—Finance (North-Holland, New York)
Ibbotson, R. G., 1975, “Price performance of common stock new issues”, Journal of Financial Economics 2, 235-272
Koh, F. and T. Walter, 1989, “A direct test on Rock's model of the pricing of unseasoned issues”, Journal of Financial Economics 23, 251-272
Leland, H. and D. Pyle, 1977, “Information asymmetries, financial structure and financial intermediation”, Journal of Finance 32, 271-287
Loughran, T. and J. R. Ritter, 1995, “The new issues puzzle”, Journal of Finance 50, 23-51
Megginson, W. and K. Weiss, 1991, “Venture capitalist certification in initial public offerings”, Journal of Finance 46, 879-904
Menon, K. and D. D. Williams, 1991, “Auditor credibility and initial public offerings”, Accounting Review 66, 313-332
Muscarella, C. and M. Vetsuypens, 1989, “A simple test of Baron's model of IPO underpricing”, Journal of Financial Economics 24, 125-135
Rock, K., 1986, “Why new issues are underpriced”, Journal of Financial Economics 15, 187-212

Ruud J. S., 1993, “Underwriter price support and the IPO underpricing puzzle”, Journal of Financial Economics 34, 135-151
Schultz, P. H. and M. A. Zaman, 1994, “Aftermarket support and underpricing of initial public offerings”, Journal of Financial Economics 35, 199-219
Tinic, S., 1988, “Anatomy of initial public offerings of common stock”, Journal of Finance 43, 789-822
Titman, S. and B. Trueman, 1986, “Information quality and the valuation of new issues”, Journal of Accounting and Economics 8, 159-172
Welch, I., 1989, “Seasoned offerings, imitation costs, and the underpricing of initial public offerings”, Journal of Finance 44, 421-449

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