近年來隨著我國資本市場的不斷成長，社會大眾逐漸以股票投資為主要理財工具，承銷市場亦受到一般大眾的關注，一般來說於公司新上市之後，股價通常會有一段持續上漲多日的行情，此現象即股市投資人所稱的「蜜月期」，由於新上市公司的股票會有蜜月期間之股價連續漲停現象，使得只要稍具規模的公司便想盡辦法將其股票上市，對投資人而言，也願意趕搭此申購之熱潮，因此造成了承銷市場的空前熱絡，這也使得首次公開發行（Initial Public Offerings; IPOs）
的研究領域逐漸受到重視。
本研究的主要目的在於試圖瞭解台灣IPOs初始報酬的股價表現，特別是初始報酬與週一效應及月內效應等的關係；並試圖探討國內IPOs是否存在規模效應及產業別差異。本研究結果發現，台灣IPOs的初始報酬確實存在週一報酬偏低的現象，這是所謂的週一效應。因為週末休市給予投資人較多的時間去進行資訊搜尋及分析，不至於過度反應、以及易做出偏理性的決策，而另一方面，發行公司在訂定承銷價時，往往以折價幅度來彌補資訊不足者所面對購買到承銷價高估所產生的風險，故在投資人有較多時間進行投資決策時，發行公司不需要採折價發行的方式，來促使資訊不足者參與申購。這就是為什麼週一報酬會偏低的原因。

Along with the growth of Taiwan’s capital markets, the public tend to serve stocks as the main investment tool. Underwriting markets are also monitored by investors. Generally, Taiwanese firms’ stocks possess “honeymoon periods” after they went public, in which the stocks kept gaining prices for consecutive days. Due to the phenomenon, companies tend to went public once the requirements are satisfied. On the other hand, investors are willing to purchase such stocks, thus let the underwriting market prosper. The aspect of initial public offerings (IPOs) is also gaining attention
of researchers.

This research aims at examining the relation between Taiwanese firms’ IPOs’ initial return and the Monday effect and Intra-month effect. This thesis also tried to discover that whether Taiwanese IPOs possess differences between size and industry groups. The results indicate that Taiwanese IPOs have lower return if issued in Mondays, which is the Monday effect. The reason may be that the closed market in weekends allowed investors to spend more time to search and to analyze information and to hinder themselves from overreaction. In addition, when issuing companies are determining underwriting prices, they tend to serve discount as a risk compensation for the uninformed investors, thus when investors have more time to analyze their investment decisions, the issuing companies need not to discount to induce investors.

誌謝 i
論文摘要 ii
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 7
第三節 預期貢獻 9
第四節 研究架構 10
第二章 文獻探討 12
第一節 IPOs初始報酬之相關文獻 12
第二節 週一效應之相關文獻 25
第三節 週一效應之可能成因探討 30
第三章 研究設計與方法 35
第一節 研究假說 35
第二節 樣本說明與資料來源 40
第三節 研究設計與相關變數定義 42
第四章 實證結果與分析 47
第一節 樣本敘述性統計分析 47
第二節 實證結果與分析 51
第五章 結論與建議 61
參考文獻 63

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