臺灣博碩士論文加值系統

本篇研究中主要探討新上市股票在有無創投支持下的日內價格行為。藉由檢視有無創投投資的新上市公司之微市場 (microstructure) 交易特性，找出創投的參與是否能減少資訊不對稱的現象，以降低折價(underpricing)發行的程度。並藉由買賣價差的組成成分，來更進一步的檢驗。希望能藉此更明瞭創投的參與投資是否確實為被投資公司帶來實質的貢獻。
本研究採用民國八十八年四月至八十九年十二月間，新上市及新上櫃的公司資料為研究對象，共計有34家上市櫃公司，其中上市佔8家，上櫃佔26家。首先，將全體樣本分為有創投參與(VC-back)及無創投參與(NVC-back)兩個群體，再依照Schultz & Zaman(1994)所使用之方式將兩組樣本依上市期初時點的報酬區分為兩群，稱之為價格低估1之新上市股票( Underpriced IPOs )與價格充分表露2之新上市股票( Fullypriced IPOs )，描述其平均每日交易次數、平均每日交易量等變項之敘述性統計，再以t檢定及中位數無母數檢定法來探討有無創投支持在交易活動上有無差異。
最後，再利用迴歸分析，來做更進一步驗證。其實證結果發現：創投的認證效果並不顯著，也就是說創業投資的存在並無法對被投資公司產生顯著的影響。

This paper investigates intradaily price behaviors of IPOs with venture capital support on the Taiwan stock market. Firstly, we contrast venture-capital-backed firms with companies that have no venture-capital-backed. Then we divide the subsample into two groups according to whether their underwriting prices are underpriced or not.
Then we analyze and compare the price behaviors of these two groups using intradaily trading volumes and prices. Also, the bid-ask spread components are calculated and studied. The empirical results of this study provide that there is no difference between VC-backed IPOs and NVC-backed IPOs.

第一章緒論……………………………………………….……………………1
第一節 研究動機………………………………..………………………..1
第二節 研究目的…………………………………..……………………..2
第三節 研究架構………………………………………………..………..2
第二章文獻探討…………………………..……………………………………3
第一節 IPO折價發行理論…………………..……………………………3
第二節 創業投資公司的貢獻……………………..………………………6
第三節 買賣價差……………………………………..……………………8
第三章研究方法…………………………...…………………..………………10
第一節 資料來源與資料處理……...……………….……………………10
第二節 研究假說…………...…………………………………….………11
第三節 研究變數的操作性定義……………………………....…………13
第四節 研究方法……………………………...………………………...15
第四章實證結果分析…………………………...……………..………………18
第一節 比較有無創投投資之新上市公司的特性………………....……18
第二節 比較有無創投投資之新上市公司的短期績效……………....…24
第三節 發行公司上市後相對有效價差的複迴歸分析………………....30
第四節 創投投資對被投資公司相對有效價差影響之複迴歸分析……..34
第五節 實證結果說明……………………………………………………..39
第五章結論與建議….………………………...……………..……………..…44
第一節 結論………………………………………...……………....……44
第二節 建議……………..……………………………………………...…47
參考文獻…………..………….………………………………..……………………48
表 次
表 1-1 有無創投投資之新上市公司特性 (上市後第1-10日)………………20
表 1-2 有無創投投資之新上市公司特性 (上市後第11-20日)…..…………21
表 1-3 有無創投投資之新上市公司特性 (上市後第21-30日)……..………22
表 1-4 有無創投投資之新上市公司特性 (上市後第1-30日)………………23
表 2 有無創投投資之有效價差與相對有效價差之差異…..………………25
表 2 有無創投投資之有效價差與相對有效價差之差異(續)………………26
表 3 有無創投投資之新上市公司之週轉率波動狀況….…..………………27
表 4 有無創投投資之新上市公司上市後報酬狀況…….…..………………28
表 5 有無創投投資之新上市公司上市後報酬波動性狀況…………………29
表 6-1 以相對有效價差為應變數之迴歸分析(上市後第1-10日)……………30
表 6-2 以相對有效價差為應變數之迴歸分析(上市後第11-20日)…………..31
表 6-3 以相對有效價差為應變數之迴歸分析(上市後第21-30日)……..……32
表 6-4 以相對有效價差為應變數之迴歸分析(上市後第1-30日)……………33
表 7-1 以相對有效價差為應變數之迴歸分析…………………….……………35
表 7-2 以相對有效價差為應變數之迴歸分析(上市後第1-30日)……………36
表 8-1 交易活動彙整表…………………………………………….……………40
表 8-2 研究假說實證結果..……………………………………….……………41

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王恕, 1999, 台灣新上市股票安定操作行為之研究, 中山大學企業管理研究所碩士論文
詹靖怡, 1999, 新上市股票長期績效~有無創投公司投資之實證研究, 政治大學企業管理研究所碩士論文
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