臺灣博碩士論文加值系統

探討股票初次上市（櫃）（IPO；Initial Public Offering）折價的影響因素，一直是財務經濟領域的重要研究議題之ㄧ，本文探討1997年8月至2004年12月間，台灣上市公司IPO折價的影響因素，但與以往的文獻有下述不同之處：首先，在「IPO股票折價的影響因素」方面，嘗試探討「設立獨立董監事」與「台灣首次政黨輪替」對台灣IPO股票折價程度的影響。其次，本文以「變數遞迴最小平方迴歸分析」，探討隨著公司規模的遞增，對IPO折價的影響方式是否產生結構性的改變，而後再以「變數門檻模型」來加以估計。第三，本文提出IPO股票報酬率相對已上市股票平均報酬率的「淨期初報酬率」，作為衡量期初報酬率之一種新的計算方法。
結果發現：當公司規模在以承銷價計價之公司市場價值達新台幣69（90）億時，其對毛（淨）期初報酬率的影響將發生結構性轉變。不同於過去之文獻的結論，在公司規模較小時，市場動能對淨期初報酬率有負的顯著影響，這表示股市呈上升趨勢時，持有較小公司規模之IPO股票的報酬率小於已上市股票的平均報酬率。另外，無論公司規模大小，是否設立獨立董監事對毛（淨）期初報酬率有正向顯著影響，而第一次政黨輪替對台灣公司規模較小的IPO股票有正的顯著影響。

This paper investigates the factors influencing IPO underpricing of the firms listed in Taiwan Stock Exchange corporation from August, 1997 to December, 2004. There are several features of this paper. First, we study two new factors, independent board directors and supervisors and first political party transition in Taiwan. Then, we study whether there is structure change in the influencing pattern as the firm size increases.
Furthermore, we construct the “net initial return,” which we take the average return rate of listed companies into account, to measure the extent of IPO underpricing.
Our foundational findings as following: First, there is a structure change of influencing gross (net) initial return when firm size is 6,900 (9,000) million NT dollar. Distinct from other literatures, we find that the relationship between market momentum and net initial return of the IPO stock of smaller firm is significantly negative, and this phenomenon implies that the return holding the IPO stock of smaller firm will be less than the average return holding listed companies as a bull market. In addition, whether smaller or larger firm size, IPO firms with independent board directors and supervisors will have more gross (net) initial return, and first political party transition has positive influence on gross (net) initial return of smaller firm.

第一章 緒論
第一節 研究動機與目的1
第二節 研究流程5
第三節 論文架構6
第四節 研究限制7
第二章 文獻回顧
第一節 IPO折價程度8
第二節 折價發行之相關假說19
第三節 近年影響IPO折價程度之實證研究27
第四節 小結50
第三章 研究設計與方法
第一節 模型之建立53
第二節 變數說明54
第三節 研究方法64
第四節 研究資料68
第四章 實證結果分析
第一節 樣本統計分析69
第二節 最小平方迴歸分析實證結果74
第三節 變數遞迴最小平方迴歸分析實證結果77
第四節 門檻模型實證結果79
第五章 結論
第一節 研究結論84
第二節 後續研究建議86
參考文獻
中文文獻87
英文文獻89
附錄A 近年影響IPO折價程度之實證研究結果96
表目錄
表1-1 承銷價訂定日至上市日間的天數3
表1-2 承銷價訂定日至漲（跌）停打開日之天數3
表2-1 近年影響IPO折價程度之實證文獻27
表3-1 承銷價訂定日至上市日間的天數55
表3 2 承銷價訂定日至漲（跌）停打開日之天數55
表3-3 各年度申請並成奶W市之家數68
表4-1 承銷價訂定日至上市日間的天數69
表4-2 承銷價訂定日至漲（跌）停打開日之天數69
表4-3 各年度毛期初報酬率、淨期初報酬率分佈情況70
表4-4 內部人持股比例、市場動能、公司規模、毛期初報酬率以及淨期初報酬率敘述性統計73
表4-5 解釋變數之相關係數74
表4-6 最小平方迴歸分析實證結果75
表4-7 最小平方分析法實證結果與預期結果匯總表75
表4-8 變數遞迴最小平方迴歸分析實證結果77
表4-9 門檻模型實證結果79
表4-10 門檻模型實證結果80
表4-11 門檻模型實證結果匯總表80
圖目錄
圖1-1 申請上市流程圖2
圖1-2 研究流程圖5
圖3-1 申請上市流程57
圖4-1 1997年至2004年股價指數趨勢圖71
圖4-2 毛期初報酬率與上市當天股價指數之關係71
圖4-3 毛期初報酬率與上市當天股價指數之關係71
圖4-4 淨期初報酬率與上市當天股價指數之關係72
圖4-5 淨期初報酬率與漲（跌）停打開日當天股價指數之關係72
圖4-6 公司規模對毛期初報酬率之影響：遞迴T值78
圖4-7 公司規模對淨期初報酬率之影響：遞迴T值78

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