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研究生:林建宏
研究生(外文):Jian-hung Lin
論文名稱:資訊不對稱下影響首次公開發行偏低定價因素之探討
論文名稱(外文):A Study on the Factors Affecting Underpricing on the IPOs:Analysis from Information Asymmetric Attribute
指導教授:許月瑜許月瑜引用關係
指導教授(外文):Yueh-Yu Hsu
學位類別:碩士
校院名稱:靜宜大學
系所名稱:會計學系研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:57
中文關鍵詞:盈餘管理資訊不對稱偏低定價
外文關鍵詞:underpricinginformation asymmetricearning managemet
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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

Aboody, D., and B. Lev, 2000, “Information Asymmetry, R&D and Insider Gains,” The Journal of finance 55, 2747-2766.
Aggarwal, R., and R. Pietra, 1990, “Fads in the initial public offering market?,” Financial Management 19, 45-57.
Aharony, J., C. J. Lin, and M. Loeb, 1993, “Initial public offerings, accounting choices, and earnings management,” Contemporary Accounting Research 38, 61-81.
A1-Horani, A., P. F. Hope and A. W. Stark, 2003, “Research and Development Activity and Expected Returns in the United Kingdom,” European Finance Review 7, 27-46.
Baron, D. P., 1982, “A model of the demand for investment banking advising and distribution services for new issues, ” The Journal of finance 37, 955-976.
Rock, K., 1986, “Why new issues are underpriced,” Journal of financial Economics 15, 187-212.
Beatty, R. and J. Ritter, 1986, “Investment banking, reputation, and the underpricing of initial public offerings,” Journal of Financial Economics 15, 213-232.
Carter, Richard, F. Dark and A. Singh, 1998, “Underwriter reputation, initial returns and the long-run performance of IPO stocks,” The Journal of finance 53, 285–311.
DeAngelo, L. E., 1986, “Accounting numbers as market valuation substitutes: a study of management buyouts of public stockholders,” The Accounting Review 61, 400-420.
Derrien, F. and K. Womack, 2003, “Auctions versus book-building and the control of underpricing in hot markets,” Review of Financial Studies 16, 31-61.
Eberhart, A. C., W. F. Maxwell, and A. R. Siddique, 2004, “An Examination of Long-tern Abnormal Stock Returns and Operating Performance Following R&D Increases,” Journal of Finance 59, 623-650.
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Ibbotson, R. G., 1975, “Price performance of common stock new isues,” Journal of Financial Economics 2, 235-271.
Friedlan, J., 1994, “Accounting choices by issuers of initial public offerings,” Contemporary Accounting Research 11, 1-31.
Guo, R., B. Lev, and C. Shi, 2006, “Explaining the Short- and Long-Term IPO Anomalies by R&D,” Journal of Business Finance and Accounting 33, 550-579.
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Jones, J. J., 1991, “Earnings management during import relief investigations,” Journal of Accounting Research 29(2), 193-228.
Koh, F. and T. Walter, 1989, “A direct test on Rock’s model of the pricing of unseasoned issues,” Journal of Financial Economics 23, 251-272.
Leland, Hayne E. and H. Pyle David, 1977, “Information asymmetries, financial structure, and financial intermediation,” Journal of Finance 32, 371-87.
Loughran, Tim, and Jay R. Ritter, 1995, “The new issues puzzle,” The Journal of finance 50, 23-51.
Loughran, T., J. Ritter and K. Rydqvist, 1994, “Initial Public Offerings: International Insights,” Pacific-Basin Finance Journal 2, 165-199.
Loughran, T. and J. R. Ritter, 2000, “Uniformly least powerful tests of marketefficiency, ” Journal of Financial Economics 55, 361-389.
Muscarella, C. and M. R. Vetsuypens, 1989, “A simple test of Baron’s Model of IPO underpricing,” Journal of Financial Economics 24, 125-135.
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Ross, S., 1978, “Some Notes on Financial Incentive-Signaling Models, Activity Choice and Risk Preferences,” Journal of Finance (June), 777-792.
Schrand, C. and R. E. Verrecchial, 2004, “Disclosure Choice and Cost of Capital: Evidence from Underpricing in Initial Public Offerings,” Working Paper, The Wharton School, University of Pennsylvania, Philadelphia, Pennslvania.
Tinic, S., 1988, “Anatomy of initial public offerings of common stock,” The Journal of finance 43, 789-822.
Teoh S. H., Ivo Welch, and T. J. Wong, 1998, “Earnings management and the long-run market performance of initial public offerings,” The Journal of Finance 6, 1935-1974.
Titman, S. and B. Trueman, 1986, “Information Quality and the Valution of New Issues,” Journal of Accounting and Economics 8, 159-172.
Welch, l., 1989, “Seasoned offering, imitation costs, and the underpricing of initial public offerings,” The Journal of finance 44, 421-449.

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。

未出版碩士論文:

江建政,「新上市股票承銷價故意低估與期初異常報酬之研究」,碩士論文,朝陽科技大學財務金融研究所,民國87年。
李韻梅,「改進模型檢定力之新上市股票長期價格行為之研究」,碩士論文,國立中山大學企業管理研究所,民國89年。
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陳志榮,「新上市股票長期報酬行為及其影響因素之實證研究」,碩士論文,國立中正大學財務金融研究所,民國89年。
陳育如,「投聲譽與被投資公司上市(櫃)後績效之關聯性研究」,碩士論文,國立成功大學財務金融研究所,民國93年。
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陳家齊,「我國新上市公司實質盈餘管理之研究」,碩士論文,國立政治大學會計研究所,民國86年。
陳盛得,「新上市股票長期報酬之研究」,碩士論文,國立中正大學財務金融研究所,民國83年。
連靜仙,「新上市公司盈餘管理之研究」,碩士論文,國立政治大學會計學研究所,民國82年。
鄭佩青,「不同市場狀況下新上市、上櫃股票初期超額報酬之研究」,碩士論文,大同大學事業經營研究所,民國89年。
謝冠冕,「新上市公司短期超額報酬之研究」,碩士論文,淡江大學管理科學研究所,民國84年。
戴欣怡,「新上市公司上市前之盈餘管理與上市後長期股票報酬之關聯性研究」,碩士論文,國立台灣大學會計學研究所,民國89年。
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