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研究生:邱寶桂
研究生(外文):Pao-Kuei Chui
論文名稱:IPOs公司掛牌後股價表現影響因素之研究
論文名稱(外文):A study on the affect of IPOs after-market price performance
指導教授:林景春林景春引用關係
指導教授(外文):Gin-Chung Lin
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士在職專班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
中文關鍵詞:股權結構折價發行股價公司治理初次公開發行初期報酬
外文關鍵詞:ownership structureunderpricingstock pricecorporate governanceinitial public offeringsinitial return
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本研究旨在探討影響IPOs公司掛牌後股價表現之因素。針對民國89年至92年初之間於台灣IPOs公司,經過篩選後,共計取得樣本274家公司進行實証分析。
首先將以單元迴歸模型分別探討董監事持股比例、內部人持股比例、法人持股比例、本益比、股價淨值比、銷貨毛利率、股東權益報酬率、資本額、資產總額、負債比率、承銷張數、中籤率與掛牌後漲幅之關聯性。之後再進行多元迴歸分析。除了以掛牌後漲幅為應變數外,另以本益比、股東權益報酬率為應變數,同樣地,先以單元迴歸模型分別探討,再進行多元迴歸分析。
實證結果發現,IPOs公司掛牌後普遍存在原始報酬。董監事持股比例對掛牌後股價表現的影響不顯著,而本文實證結果與本文所提之假說不符
。可能的原因是台灣名譽董監事人數氾濫及人頭戶充斥所致。
法人機構持股比例高之IPOs公司,與掛牌後股價表現呈現顯著負相關
,而本文實證結果與本文所提之假說不符,可能的解釋如下:法人持股比例高之公司多為財團投資,一開始成立即規劃上市,資本額大且多數皆未獲利。或IPOs公司過度規劃,成立投資公司節稅、避開股票遭集中保管及規避內部人移轉股票須公告申報,希望從資本市場獲取報酬,但投資人卻步。
此外,單元迴歸模型實證支持承銷張數、中籤率、資本額、資產總額
、與掛牌後漲幅之間存在顯著負相關;ROE則與掛牌後漲幅之間存在顯著正相關,但多元迴歸模型中,僅有中籤率與股價淨值比維持負相關、負債比率是正相關。
另外,實證結果亦支持公司擁有較高的銷貨毛利率,可議價到比較高的承銷價,亦即IPOs承銷價倍數愈高,代表公司治理機制愈佳。
The objective of this thesis is to research other factors which affect the IPOs after-market price performance. After screening Taiwan’s IPO firms from 2000 to 2003, we selected 274 samples to analyze.
First, we used a unit regression model to find the relations between the percentage of post-issue stock price rising range and 12 control variables, which are ownership percentage of the directors, of the internal people, of the corporations. and the underwriting amount, drawing probability, capital amount, P/E ratio, liabilities-to-equity ratio, ROE, total asset, price-to-net value ratio, gross profit rate. We used a regression model to investigate them individually and then use a multi-regression model.
Identically we took the percentage of stock price rising range, P/E ratio, ROE, and perspective EPS as the variables, and used a unit regression model to investigate them first and then use multi-regression analysis.
According to the result of empirical research, the original return of post- issue generally exists among IPO firms. Ownership percentage of the directors apparently doesn’t affect the post-issue price performance, and the empirical results of this paper did not fit the hypothesis. The reason might be that there are too many honorary directors and titular heads in Taiwan.
The ownership percentage of corporations apparently has a negative relationship with post-issue price performance, which doesn’t fit the paper’s hypothesis. The possible explanations are as below. Most enterprises, which have high ownership percentage of corporations are invested in by consortiums. They are created to be IPO firms with huge capital but without profit. Another reason might be that they are over-planned to establish investment companies to save tax, avoid centralized bookkeeping and evade the necessary declaration of stock transference by internal personnel. They hoped to get a return in the capital market but investors retreated.
In addition, the empirical results of the unit regression model support the apparent negative relations between the percentage of post-issue price rising range and underwriting amount, drawing probability, capital amount, total asset. ROE has apparent positive relations with post-issue price rising range. In the multi-regression model, only drawing probability and price-to-net value have negative relations, but the liabilities-to-equity ratio has positive relations.
Furthermore, empirical results also support the hypothesis that companies which have a higher gross profit rate can negotiate higher underwriting prices. This means that the higher the IPO underwriting price a company can get, the better the corporate governance it has.
第一章 緒 論 …………………………………………………………1
第一節 研究背景與動機 ……………………………………………1
第二節 研究目的 ……………………………………………………8
第三節 研究架構 ……………………………………………………9
第四節 研究流程 …………………………………………………10
第二章 文獻回顧………………………………………………………11
第一節 股權結構及公司治理之文獻探討…………………………11
第二節 公司治理概述………………………………………………18
第三節 IPOs公司股票超額報酬現象及影響因素之研究…………28
第四節 相關變數定義與衡量之文獻整理…………………………40
第三章 基本理論與模型………………………………………………46
第一節 效率資本市場理論…………………………………………46
第二節 資本資產定價模型(CAPM)…………………………………47
第三節 承銷價格之訂定……………………………………………48
第四章 研究假說與實證方法 …………………………………………50
第一節 研究架構與研究假設………………………………………50
第二節 實證模型……………………………………………………54
第三節 研究對象、期間、樣本與資料來源………………………56
第四節 研究方法……………………………………………………56
第五章 實證結果分析…………………………………………………63
第一節 樣本變數之敘述性統計 ………………………………… 63
第二節 單變量迴歸結果與分析……………………………………70
第三節 複迴歸結果與分析…………………………………………78
第四節 實證結果之彙總比較………………………………………84
第六章 結論與建議……………………………………………………91
第一節 結論…………………………………………………………91
第二節 管理意涵……………………………………………………93
第三節 研究限制……………………………………………………95
第四節 未來研究建議………………………………………………96
參考文獻 …………………………………………………………………97
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