臺灣博碩士論文加值系統

本研究主要是探討在資訊不對稱下，首次公開發行偏低定價之因素，並分析盈餘管理與首次公開發行後之初期/長期績效表現之關係，以民國八十七年至九十四年間共135家新上市公司，運用多元迴歸模式為實證分析基礎。實證結論如下：

一、台灣首次公開發行市場普遍存在初期異常報酬，平均為9.606%，長期異常報酬為8.343%，較初期為低。

二、在初期異常報酬迴歸分析中，公司規模、負債比率及承銷規模等變數呈顯著相關，支持資訊不對稱及訊息傳遞理論；另外中籤率與期初異常報酬呈顯著負相關，中籤率愈低，表示投資者看好未來上漲的前景，初期報酬愈高，即承銷價格低估的程度愈大。在長期異常報酬部分，裁量性應計項目、公司規模、會計師品質及多/空頭期比較是影響其變化的重要因素。

三、證實公司在上市前，確會利用盈餘管理的手段影響承銷價，導致日後長期績效嚴重的低落。

This paper tests what factors affecting underpricing on the IPOs in information asymmetric attribute. And to examine the relationship between earnings management before the offering and initial/long-run market performance of initial public offerings. The samples of research come from 135 firms on the TSEC market from 1998 to 2005, using multiple regression models to provide evidence and analyze. The empirical findings of this research are as follows:

1.Initial abnormal returns commonly exist in Taiwan’s stock market. On average, the initial abnormal return listed on the TSEC is 9.606%, and the long-turn abnormal return is 8.343%. The initial abnormal return is apparently higher than long-turn abnormal return.

2.Our result shows that the Initial abnormal return is negatively related to the firm’s size, and postively related to liability ratio and underwriter’s size. This result is supporting the information asymmetric and the signaling hypothesis. Besides, the Initial abnormal return is apparently negative with odds of lottery. In the respect of the IPOs’ long-run abnormal phenomenon, our empirical result shows that the long-run performance is positively related to the discretional accrual and firm’s size, slightly negatively related to the market and the auditor’s quality.

3.This paper provides evidence that managers of issuing firms before the offering have incentive to take advantage of earning management to impact the offering price. Issuers with unusually high discretional accruals in the IPO year experience poor stock return performance in the years thereafter.

第一章 序論...................................................1
第一節 研究動機...........................................1
第二節 研究目的...........................................2
第三節 研究架構...........................................3
第四節 研究流程...........................................4

第二章 文獻探討...............................................5
第一節 首次公開發行後之初期異常報酬.......................6
第二節 首次公開發行後之長期異常報酬......................11
第三節 盈餘管理與首次公開發行後之初期/長期績效表現.......15
第四節 總結..............................................18

第三章 研究方法與設計........................................20
第一節 研究假說..........................................20
第二節 變數及模型的操作性定義............................27
第三節 迴歸模式之建立....................................35
第四節 資料來源及樣本期間................................37

第四章 實證結果與分析........................................39
第一節 迴歸樣本敘述性統計................................39
第二節 迴歸結果之實證分析................................41
第三節 小結..............................................46

第五章 結論..................................................50
第一節 研究結論..........................................50
第二節 研究建議..........................................51
第三節 研究限制..........................................52

參考文獻.................................................... 53

英文期刊

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中文期刊：

林象山，「承銷商信譽對新上市股票之影響」，中國財務學刊，第3 卷 第1 期（民國84年），119-143。
李建然，「新上市公司上市後營運績效衰退原因之探討」，財務金融學刊，第十卷 第1期（民國91年），23-52。
金成隆、林修葳、洪郁珊，「無形資產、新股折價與內部人士持股關係之研究」，會計評論，第36 卷（民國92年），23-53。
陳安琳，「系統風險變動下新上市公司股票的長期報酬行為：遞迴迴歸之應用」，管理學報，第16卷 第3期（民國88年），535-556。
陳軒基、葉秀娟、陳右超，「承銷制度與折價幅度：台灣初次上市櫃股票之實證研究」，證券市場發展季刊，第14 卷 第4 期（民國92年），175-198。
顧廣平，「台灣新上市股票短期與長期績效之再探討」，證券市場發展季刊，第15卷 第1期（民國92年），1-39。

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