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博碩士論文 etd-0721100-103709 詳細資訊
Title page for etd-0721100-103709
論文名稱
Title
台灣地區新上市股票價格績效與獲利績效之研究
Price performance and Operating Performance 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
146
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
2000-07-14
繳交日期
Date of Submission
2000-07-21
關鍵字
Keywords
隨機前緣模式、雜訊交易、行為財務、新上市股票、獲利績效、偏低定價、價格績效
noise trading, behavioral finance, IPO, operating performance, price performance, stochastic frontier model
統計
Statistics
本論文已被瀏覽 5673 次,被下載 4270
The thesis/dissertation has been browsed 5673 times, has been downloaded 4270 times.
中文摘要
摘 要
本研究分別以(1)偏低定價及其影響因素之驗證,(2)上市前後獲利績效變動之分析,(3)長期價格績效低落成因之探討等三項主題來探討與新上市股票相關的異常現象。
由於上市初期報酬的形成,除了是發行價的偏低定價外,尚可能是上市初期投資人錯誤評價或是承銷商進行價格穩定操作等原因的個別或同時存在,因此,以上市初期超常報酬將無法有效地驗證偏低定價現象的存在。本文利用隨機前緣模式,以上市前與合理發行價之訂定有關的情報將可個別驗證偏低定價現象,結果證實偏低定價現象的存在。經進一步藉此模式估計各樣本股票偏低定價程度以檢驗其影響因素,結果確認風險及資訊不對稱程度等因素對偏低定價程度有影響。
上市後的獲利績效無論有無調整產業水準,均較上市前的獲利績效為差;不過,如以產業調整後之獲利績效來分析,則上市前獲利績效顯著較同業佳,而上市後的獲利績效與同業水準相當。至於上市後獲利績效相較於上市前呈現衰退的現象,經由採單變量分析與多變量分析的結果,其原因與新上市公司選擇獲利最佳時期上市有關,其餘的可能原因包括上市後代理成本提高、上市前獲利績效的窗飾等,並未獲得實證上的支持。
對於長期價格績效低落的現象,本文以投資人非理性投資行為的論點來驗證。研究結果證實上市初期的雜訊交易或是投資人的過度反應等投資人的錯誤評價,除了是促使上市初期超常報酬產生的原因之外,亦是長期價格績效低落的重要成因。此外,長期價格績效的低落也某種程度的反應上市後獲利績效衰退的現象。

Abstract
None
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 研究架構………………………………………………………………… 6
第二章 文獻探討……………………………………………………………………… 8
第一節 短期價格績效…………………………………………………………… 8
ㄧ、短期價格績效偏高的相關實證………………………………… 8
(一)國外的實證結果……………………………………………… 9
(二)國內的實證結果……………………………………………… 15
二、短期價格績效偏高的可能解釋原因………………………… 20
三、偏低定價之驗證及估計—隨機前緣模式之運用……… 26
第二節 長期價格績效…………………………………………………………… 29
一、長期價格績效之相關實證………………………………………… 29
二、行為財務(Behavioral Finance)……………………………… 34
第三節 上市前後獲利績效變化…………………………………………… 40
第三章 研究設計及方法…………………………………………………………… 47
第一節 樣本說明及資料來源……………………………………………… 47
第二節 偏低定價之驗證及估計—隨機前緣模式之設定……… 48
第三節 偏低定價的影響因素……………………………………………… 52
第四節 正常(預期)報酬的決定………………………………………… 55
第五節 雜訊交易指標…………………………………………………………… 60
第六節 獲利績效的衡量……………………………………………………… 63
第七節 盈餘窗飾指標…………………………………………………………… 65
第八節 發行淡、旺季的區分………………………………………………… 68
第四章 偏低定價及其影響因素之驗證…………………………………… 69
第一節 偏低定價之驗證……………………………………………………… 69
第二節 偏低定價與上市初期超常報酬關連性分析……………… 73
第三節 偏低定價影響因素之驗證………………………………………… 79
第五章 上市前後獲利績效變動之分析…………………………………… 86
第一節 上市前後獲利績效及其變動之敘述分析………………… 86
一、產業調整前獲利績效指標的分析……………………………… 87
二、產業調整後獲利績效指標的分析……………………………… 91
第二節 上市後獲利績效低落成因之分析…………………………… 95
一、單變量分析……………………………………………………………… 96
(一)上市前獲利績效窗飾……………………………………… 96
(二)上市後內部代理成本的提高………………………… 99
(三)選擇上市時機………………………………………………… 101
二、多變量分析……………………………………………………………… 103
第六章 長期價格績效低落成因之探討…………………………………… 107
第一節 雜訊交易對新上市股票報酬的影響………………………… 107
第二節 上市初期過度反應對於長期報酬的影響………………… 112
第三節 主持人假說(Impresario hypothesis)之驗證……………… 122
第七章 結論及建議…………………………………………………………………… 124
第一節 結論………………………………………………………………………… 124
一、偏低定價及其影響因素之驗證………………………………… 124
二、上市前後獲利績效變動之分析………………………………… 126
三、長期價格績效低落成因之探討………………………………… 127
第二節 建議………………………………………………………………………… 129
附錄一……………………………………………………………………………………… 132
附錄二……………………………………………………………………………………… 135
參考文獻…………………………………………………………………………………… 137
一、中文部份………………………………………………………………………… 137
二、外文部份………………………………………………………………………… 139


圖表目錄
表2-1 國外首次公開發行股票短期價格績效知彙整………………………………… 18
表2-2 臺灣地區新上市股票短期價格績效彙整……………………………………… 19
表4-1 最適發行價影響變數之敘述性統計分析……………………………………… 70
表4-2 運用隨機前緣模式驗證新上市股票偏低定價之實證結果………………… 71
表4-3 偏低定價程度依產業、上市年度之分析……………………………………… 74
表4-4 淡、旺季上市股票偏低定價程度與初期超常報酬之比較………………… 76
表4-5a 偏低定價與初期超常報酬之迴歸分析—全樣本…………………………… 78
表4-5b 偏低定價與初期超常報酬之迴歸分析—部份樣本………………………… 78
表4-6 偏低定價影響因素之驗證結果…………………………………………………… 84
表4-7 依淡、旺季上市分組所進行偏低定價影響因素之驗證結果……………… 85
表5-1 上市前後各年獲利績效水準及其變動之敘述統計分析—產業調整前… 88
表5-2 上市前後各年獲利績效水準及其變動之敘述統計分析—產業調整後… 92
表5-3 上市年度增加固定資產投資對上市前後獲利績效變動之影響………… 96
表5-4 盈餘窗飾對上市前後獲利績效變動之影響…………………………………… 97
表5-5 代理成本對上市前後獲利績效變動之影響…………………………………… 100
表5-6 上市時機對上市前後獲利績效變動之影響…………………………………… 102
表5-7 上市後獲利績效變動對各項影響因素之迴歸分析………………………… 106
表6-1 雜訊交易對於上市初期報酬影響之實證結果………………………………… 108
表6-2 雜訊交易對於新上市股票長期報酬影響之實證結果……………………… 110
表6-3a 雜訊交易對於淡季上市股票初期報酬影響之實證結果………………… 113
表6-3b 雜訊交易對於淡季上市股票長期報酬影響之實證結果………………… 114
表6-4a 雜訊交易對於旺季上市股票初期報酬影響之實證結果………………… 115
表6-4b 雜訊交易對於旺季上市股票長期報酬影響之實證結果………………… 116
表6-5a 雜訊交易對於旺季上市股票初期報酬影響之實證結果–以上市前六個月為初期…………………117
表6-5b 雜訊交易對於旺季上市股票長期報酬影響之實證結果–以上市後第七個月至上市後第三十六個月為長期………………………………………… 118
表6-6a 上市初期過度反應對於長期報酬之影響…………………………………… 121
表6-6b 不同預期對於上市初期過度反應的影響…………………………………… 122
表 6-7 偏低定價對上市初期過度反應的影響(主持人假說之驗證)……… 123

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