臺灣博碩士論文加值系統

本研究主要探討台灣的新上市股票的長期報酬，研究樣本涵蓋1987年1月至2011年12月，共713家樣本公司。新上市股票短期有正的異常報酬，長期有負的異常報酬，已普遍獲得國外實證研究上的支持。本研究發現台灣的新上市股票在控制市場報酬、產業報酬與配對公司報酬後，其短期與長期報酬績效仍然顯著為正。本研究也考慮在不同產業之IPOs長期績效是否會有不同的表現，結果發現不同的產業在IPOs的長期績效會有所差異，其中非金電產業的長期績效表現最佳，金融產業次之，而電子產業則相對較低。另外，本研究亦探討發行公司知名度不同其長期績效是否會有差異，並以新上市股票的中籤率作為公司知名度之代理變數，研究結果顯示知名度高的發行公司，其長期績效表現較為優異。

This study investigates the long-run return of the new-issue stocks in Taiwan market. The research contains 713 sample companies and the study period covered from January 1987 to December 2011. The existing studies demonstrate that the IPOs have positive abnormal return in the short period and the negative abnormal return in terms of long-term investment, and this has been empirically supported internationally. The finding determines that IPOs in Taiwan still have significantly positive return both in the short-term return and in the long term return after controlling the market return, industry return and the matched-company return. Comparing with return performances in different industries, other industry (financial industry and electronics industry excluded) has the best long-term performance and the financial industry is the second best, the last being electronic industry. In addition, the study explores that whether different popularity of the company has different performance in the long-term return, taking the allotment probability of the new-issue stocks as proxy variables of the company’s popularity. The finding determines that the higher the popularity of IPOs, the better the performance in the long run.

中文摘要 i
Abstract ii
誌謝 iii
目錄 iv
圖目錄 v
表目錄 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 4
第三節 研究範圍 5
第四節 研究內容與流程 6
第二章 文獻探討 7
第一節 短期的折價現象 7
第二節 長期報酬不佳現象 8
第三章 研究設計 10
第一節 研究架構 10
第二節 研究方法 12
第三節 資料來源與樣本選擇 13
第四章 實證結果分析 14
第一節 樣本敘述 14
第二節 原始報酬與調整報酬估計 17
第三節 不同產業長期報酬估計 25
第四節 發行公司知名度之長期績效估計 29
第五章 結論與建議 32
參考文獻 34
附錄 37

圖目錄
【圖1】研究流程圖 6
【圖2】研究架構圖 11
【圖3】台灣加權股價指數與成交值趨勢圖 16
【圖4】1987年至2011年的新上市股票異常報酬(配對公司調整) 24
【圖5】低中籤率與非低中籤率累積配對公司調整報酬之趨勢圖 31

表目錄
【表1】1987年至2011年新上市股票家數分佈 15
【表2】1987年至2011年的新上市股票平均報酬及累積報酬 18
【表3】1987年至2011年的新上市股票異常報酬(市場調整) 19
【表4】1987年至2011年的新上市股票異常報酬(產業調整) 22
【表5】1987年至2011年的新上市股票異常報酬(配對公司調整) 23
【表6】1987年至2011年電子產業新上市股票異常報酬(配對公司調整) 26
【表7】1987年至2011年非金電產業新上市股票異常報酬(配對公司調整) 27
【表8】1987年至2011年金融產業新上市股票異常報酬(配對公司調整) 28
【表9】1987年至2011年低中籤率非金電產業新上市股票異常報酬(配對公司調整) 30

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