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研究生:蔡君宜
研究生(外文):Chun-Yi Tsai
論文名稱:初次公開發行之首日交易與那斯達克交易所之上市標準
論文名稱(外文):IPO first day trading and NASDAQ listing standards
指導教授:陳軒基陳軒基引用關係
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
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:2006
畢業學年度:94
語文別:英文
論文頁數:36
中文關鍵詞:初次公開發行首日交易那斯達克交易所
外文關鍵詞:IPOfirst day tradingNASDAQ listing standards
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本文探討1998年至2000年的網路泡沫化期間,初次公開發行之價格低估程度及首日交易情況是否會因初次公開發行之公司被提出訴訟而有所不同;另外,根據那斯達克交易所訂定的上市申請標準,探究初次公開發行之公司以不同的上市申請標準申請上市之下,是否其初次公開發行之價格低估程度及首日交易情況會有所差異。我們發現價格低估程度與公司被提起訴訟與否有顯著相關性,但價格低估程度與那斯達克交易所之上市申請標準的相關性則不明顯;雖然無法證明那斯達克交易所之上市申請標準與價格低估程度有關聯,但盈餘績效表現較差的公司,其價格低估程度較大是可被證實的;最後,首日交易情況會因初次公開發行之公司被提起訴訟及那斯達克交易所的上市申請標準的不同而出現異常的交易量值,此結果支持初次公開發行之公司受到操弄的假設。
The purpose in this paper is to investigate whether IPOs upderpricing and aftermarket trading affected by IPOs allegation or NASDAQ listing standards during the bubble period (1998-2000). To summary the empirical findings of this paper, there is a strong link between underpricing and the existence of IPOs allegation. But underpricing is not directly related to the NASDAQ initial listing standards. Secondly, although we cannot find NASDAQ initial listing standards have significant effect on underpricing, we can support that low-performing firms displayed serious underpricing. Finally, the abnormal aftermarket trading gives support to the manipulation hypothesis. In our estimation, controlling for the offer characteristics variables, alleged firms and market capitalization new listing firms have more number of trades and less average volume per trade in the aftermarket.
Content

I. Introduction 1
II. Literature review 4
A. Theoretical Explanations of Underpricing 4
B. Theories Focusing on the market microstructure 6
III. The data 8
A. Sample Selection 8
B. Classification of Firms 8
B.1. IPOs Allegation 8
B.2. NASDAQ Initial Listing Standards 9
C. Summary Statisitcs 10
IV. Empirical results 14
A. Regression of Underpricing on IPOs Allegation and NASDAQ Listing standards 15
B. Regression of Underpricing on Financial Variable 17
C. Regression of aftermarket trading 18
V. Conclusions 21
References 23





Table

Table I NASDAQ National Market Financial Requirements 25
Table II Characteristics of Sample IPOs 26
Table III Financial Characteristics of Firms Just Prior to the Time of Listing 27
Table IV Microstructure Characteristics of Firms on the First Trading Day 28
Table V Mann-Whitney U Test Results on Financial Variables 29
Table VI Mann-Whitney U Test Results on Microstructure Variables 30
Table Ⅶ Regression of Underpricing on IPOs Allegation and NASDAQ Listing Standards 31
Table Ⅷ Regression of Underpricing on Financial Variable 33
Table Ⅸ Regression of Microstructure Variable 35
References
Aggarwal, R., and Pat Conroy, 2000, Price discovery in initial public offerings and the role of the lead underwriter, Journal of Finance 55, 2903-2922.
Klein, A., and Partha S. Mohanram, 2005, Why did so many poor-performing firms come to market in the late 1990s?: Nasdaq listing standards and the bubble, working paper.
Brav, A., and P. A. Gompers, 1997, Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Non-venture Capital-Backed Companies, Journal of Finance 52, 1791-1821.
Chen, Hsuan-Chi, and Jay R. Ritter, 2000, The Seven Percent Solution, Journal of Finance 55, 1105-1131.
Chordia, T., and Bhaskaran Swaminathan, 2000, Trading volume and cross-atocorrelations in stock returns, Journal of Finance 50, 1147-1174.
Chordia, T., Roll, R., Subrahmanyam, A., 2002, Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111–130.
Chordia, T., and Avanidhar Subrahmanyam, 2004, Order imbalance and individual stock returns: Theory and evidence, Journal of Financial Economics 72, 485-518.
Ellis, K., R. Machaely and M. O’Hara, 2004, Who trades IPOs? A close look at the first days of trading, working paper, Cornell University.
George, J. T., G. Kaul and M. Nimalendran, 1991, Estimation of the bid-ask spread and its components: A new approach, The review of Financial studies 4, 623-656.
Ljungqvist, A. P. and W. J. Wilhelm, 2003, IPO pricing in the dot-com bubble, Journal of Finance 58, 723-225.
Loughran, T., and Jay R. Ritter, 2002, Why don’t issuers get upset about leaving money on the table in IPOs?, Review of Financial Studies 15, 413-443.
Loughran, T., and Jay R. Ritter, 2004, Why has IPO underpricing changed over time?, Financial Management, 33(3), 5-37.

Macey, J.R., and Maureen O’Hara, 2002, The economics of stock exchange listing fees and listing requirements, Journal of Financial Intermediation 11, 297-318.
Baker, M., and Jeremy C. Stein, 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.
Ofek, E., and Matthew Richardson, 2003, DotCom mania: The rise and fall of internet stock price, Journal of Finance 58, 1113-1137.
Aggarwal, R. K., Amiyatosh K. Purnanandam, and Guojun Wu, 2005, Underwriter manipulation in IPOs, working paper.
Ritter, Jay, 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3-27.
Ritter, J.R. and I. Welch, 2002, A review of IPO activity, pricing, and allocations, Journal of Finance 57, 1795-1828.
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