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研究生(外文):Yujen Chen
論文名稱(外文):Sunny Effect: Does Sunshine intensify the degree of IPOs underpricing?
指導教授(外文):Shao-Chi Chang
外文關鍵詞:Initial public offeringSunny effectAsymmetri
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  Whether weather influences the financial market or not is still a puzzle. Although Hirshleifer and Shumway in 2003 show some empirical evidence to support the argument that weather is related to the stock market, other research do not always show the consistency. In the study, we investigate IPO events to test the sunny effect: “do firms go public in sunny days have higher first-day returns than those in cloudy days?” We examine data from New York Stock Exchange (NYSE) between 1980 and 2003 to see how New York City weather is associated with IPOs’ performance in NYSE. Our hypothesis is based on Psychology that human’s judgment is affected by sunshine and tends to be overoptimistic in sunny days which leads to higher IPOs first-day return. However, our samples do not support our hypothesis that IPO’s initial return is related to sunshine.
序論 1
第Ⅰ章:陽光、心情、判斷與行為 4
A. 陽光、行為與心情 4
B. 心情、判斷與行為 5
C. 過度自信與決策判斷 6

第Ⅱ章:IPOs折價發行 7
A. IPOs折價現象與理論 7
B. IPOs折價、資訊、心情與判斷 9

第Ⅲ章:資料介紹 11
A. 首次公開發行資料 11
B. 紐約市天氣資料 13

第Ⅳ章:統計資料分析 14
A. 簡單線性迴歸模型 15
B. 複線性迴歸模型 16
C. 類別型陽光的統計分析 19
D. 虛擬變數型陽光的統計分析 24
E. 發行公司風險分組下,陽光對IPOs的影響 24

第Ⅴ章:結論 28
附錄 30
參考文獻 33
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