臺灣博碩士論文加值系統

本研究乃在探討台灣新上市上櫃公司承銷價低估和蜜月期結束日起一年後的報酬績效表現情形，以2002年到2005年間之新上市公司59家，新上櫃公司190家，共計249家公司為研究對象，並建構配對公司投資組合做為比較基準報酬，輔以平均數t檢定和複迴歸分析等統計計量工具，探究本論文所選擇之研究對象是否存在承銷價低估，和影響承銷價低估的因素為何，並比較新上市上櫃公司蜜月期間的報酬率和蜜月期結束日起一年後的報酬率之間的關聯性，研究結果發現新上市上櫃公司的確存在承銷價低現象，其中顯著影響承銷價低估的因素有中籤率和市場景氣。而蜜月期結束後一年的報酬和配對公 司比較下呈現明顯的衰退現象且和蜜月期間的報酬率呈顯著的負相關。

This study analyses the underpricing phenomenon of initial public offerings and the returns performance after one year from the finishing day of honeymoon. 59 firms on the TSEC and 190 firms on the OTC market are chosen as the sample and those companies all went public in Taiwan during the period from 2002 to 2005.This study also compare it to a benchmark portfolio of non-IPOs.
T-test and multiple regression model are constructed to find out if underprcing exists in initial public offering and the factors which influence the underpricing of initial public offerings. The study is also designed to find out the relationship between the returns of honeymoon and the returns after one year from the finishing day. The empirical results show that underpricing exists in IPOs market and the factors that influence the underpricing of IPOs are lottery and recent historical market conditions.
Finally, the returns after the one year from the finishing day of honeymoon significantly decline and there is a negative-correlation between the returns of honeymoon and the returns after one year from the finishing day of honeymoon.

第一章 緒論
第一節 研究背景與動機-----------------------------1
第二節 研究目的-----------------------------------3
第三節 研究架構-----------------------------------4
第二章 文獻探討
第一節 新上市股票超額報酬之實證文獻---------------5
第二節 新上市股票承銷價低估之理論文獻-------------6
第三節 新上市公司長期股價績效之理論與實證文獻-----17
第三章 研究方法
第一節 樣本選擇與資料來選-------------------------19
第二節 承銷價低估相關研究假說---------------------20
第三節 變數定義-----------------------------------24
第四節 實證模型和統計方法-------------------------27
第四章 實證結果與分析
第一節 基本資料分析-------------------------------33
第二節 影響承銷價低估因素之分析-------------------38
第三節 上市新股的一年績效-------------------------42

第五章 結論
參考文獻-----------------------------------------------49

吳振生，2002，不同交易制度對新上市股票承銷價低估影響之研究，東吳大學企業管理研究所碩士論文。
許石睦，2003，我國新上市櫃股票定價效率性之研究-以興櫃制度實施後為例，台北大學企業管理研究所碩士論文。
黃志強，1997，影響臺灣新股上市上櫃蜜月期因素之研究，國立成功大學會計學系未出版碩士論文。
程文萱，1998，我國承銷制度與新上市櫃公司股價行為關連性之研究，政治大學會計研究所碩士論文。
魏恒祥，1996，台灣地區新上市股票承銷價格低估及其影響因素之實證研究，淡江大學管理科學研究所碩士論文。
Affleck, G. J., Hegde , H. P., Miller, R. E.,and. Reilly, F. k , 1993,“The Effect Of The Trading System On The Underpricing Of Initial Public Offerings.” Financial Management(Spring) , pp.99-108.
Allen, F. and G. P. Faulhaber, 1989,“Signaling by Underpricing in the IPO Market”,Journal of Financial Economics, 23, pp.303-323.
Aggarwal, R. and P. Rivoli, 1990,“Fads in the Initial Public Offering Market?”Financial Management(Winter), pp.45-57.
Baron, D. P.,1982,“A model of the Demand for Investment Bank Advising and Distribution Services for New Issues”, Journal of Finance 31, pp.955-976.

Beatty, R. P. and Ritter, J. R., 1986,“Investment Banking, Reputation, and the Underpricing of Initial Public Offerings,” Journal of Financial Economics 15, pp.213-232.
Carter, R.and S. Manaster, 1990,“Initial Public Offerings and Underwriter Reputation”, Journal of Finance 45, No.4, pp.1045-1067.
Downes, D. H. and R. Heinkel, 1982,“Signaling and the Valuation of Unseasoned New Issues”, Journal of Finance 37, No.1, pp.1-10.
Ibbotson, R. G., 1975,“Price Performance of Common Stock New Issues”, Journal of Financial Economics(September), pp.235-272.
Ibbotson, R. G. and J. F. Jaffe, 1975, “Hot Issue Market,” Journal of Finance 30, pp.235-275.
Koh, F. and T. Walter, 1989,“A Direct Test of Rock’s Model of the Pricing of Unseasoned Issues”, Journal of Financial Economics 23, pp.251-272.
Leland, H. E. and D. H. Pyle, 1977,“Information Asymmetries,Financial Structure and Financial Intermediation”, Journal of Finance 32, pp.371-387.
Lin, T. H. And Robert C. W., 1997, “The Information Content Of IPO Price Adjustment.” International Journal of Finance 52, pp.650-667.
Logue, D. E., 1973,“On the Pricing of Unseasoned Equity Offerings: 1965-1969”, Journal of Financial and Quantitative Analysis 8, pp.91- 103.
Loughran, T.,and Ritter, J. R., 1995, “The New Issues Puzzle,” Journal of Financial 50,pp23-51.
Loughran, T.,and Ritter, J. R., 2000, “Uniformly Least Powerful Tests of Market Efficiency”, Journal of Financial Economics 55,pp361-389.
Neuberger, B. M. and C. A. La Chapelle, 1983,“Unseasoned New Issue Price Performance on Three Tiers: 1975-1980”, Financial Management(Autumn), pp.23-28.
Ritter, J. R., 1984,“The Hot Issue Market of 1980”, Journal of Business 57(April), pp.215-240.
Ritter, J.R., 1991,“The Long-Run Performance of Initial Public Offerings”, Journal of Finance 46, No.1, pp.3-27.
Rock, K., 1986,“Why New Issues are Underpriced?”, Journal of Financial Economics 15, pp.187-212.
Teoh, S. H. ,Welch, I. and Wong, T. J.,1998, “Earnings Management and the Long-Run Market performance of Initial Public Offerings” Journal of Finance 6,(December),pp1935-1974.
Tinic, S. M.,1988,“Anatomy of Initial Public Offerings of Common Stock”, Journal of Finance(September), pp.789-822.
Welch, I.,1989,“Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings”, Journal of Finance 44, pp.421-449.
Welch, I., 1992, “Sequential Sales, Learning and Cascades,” Journal of Finance 47, pp.695-732.