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研究生:蕭敬偉
研究生(外文):Hsiao-Ching Wei
論文名稱:投資決策、市場訊息回饋與長期股價報酬之關連性研究
論文名稱(外文):The Analysis of relationship investment decision and Market information feedback between IPO’s short-term hon-eymoon and long run performance.
指導教授:施光訓施光訓引用關係
指導教授(外文):Kuang-Hsun Shih
學位類別:碩士
校院名稱:中國文化大學
系所名稱:國際企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:101
中文關鍵詞:蜜月期現象初次公開發行長期報酬
外文關鍵詞:honeymoon effectIPOlong-run performance
相關次數:
  • 被引用被引用:1
  • 點閱點閱:397
  • 評分評分:
  • 下載下載:11
  • 收藏至我的研究室書目清單書目收藏:0
以往國內外相關研究均一致認為,初次公開發行市場存在上市初期蜜月期現象,以及後續長期績效報酬低落的情形。雖然蜜月期報酬以及長期績效報酬低落是世界各國證券市場一種普遍存在的現象但是其最主要的原因卻是眾說紛紜,莫衷一是。
本研究以經理人投資決策、市場訊息回饋兩構面探討蜜月期現象的成因及與後期長期股價報酬間的關係。投資決策是用資本支出率以及權益法認列長期股權投資率作為代理變數,而市場訊息則是用市場報酬來判斷,並以結構方程模式來進行路徑分析,進而驗證各項假說。
本研究以2000至2004年間初次公開發行公司為對象並將樣本分為電子產業以及非電子產業兩群,實證結果發現:電子產業在上市櫃前有資本支出率與市場報酬率越高時,會有較高的蜜月期報酬,但上市櫃前權益法認列長期股權投資率對蜜月期報酬則為不顯著影響,而在非電子產業只有在上市櫃前市場報酬率越高的公司,上市後蜜月期報酬才會越高,其他的變數皆為不顯著影響性。但就長期股價報酬而言,資本支出率、權益法認列長期股權投資率與長期股價報酬在電子產業與非電子產業皆呈不顯著影響,只有上市櫃前市場報酬率與長期股價報酬,在電子產業與非電子產業皆符合假說,呈現不顯著影響性。
Domestic and international relevant research showed that honeymoon existed on IPO issue stocks and the long-run performance at IPO stocks presents underperfor-mance.About honeymoon and long-run performance are general phenomenons at IPO stock, but the main reason stills unable to decide what is near correct.
This paper discusses the relation between honeymoon and long-run performance by investment decision and market information feedback. The ex-IPO capital expendi-ture and ex-IPO long term equity investment under equity method are the proxy for in-vestment decision. The ex-IPO market return rate is proxy for market information feed-back.This study uses Structural Equation Modeling (SEM) to run path analysis and test the hypothes.
The samples cover IPO firms from electronics and other industries in Taiwan stock exchange at year of 2000 and 2004. After testing and verifying, the following findings are resulted: when ex-IPO have high capital expenditure and more market return rate, the rate of return during honeymoon period will be enticing,but ex-IPO long term equity investment under equity method have no significant effect on honeymoon return in the electronics. In the other industries market return rate has a significantly positive effect on honeymoon return,but the other variables are no significant.The ex-IPO capital ex-penditure and ex-IPO long term equity investment under equity method are no signifi-cant on long-term performance in electronics and other industries.Only the ex-IPO market return rate with long-term performance is answer to hypothes.
中文摘要....................... iii
英文摘要....................... iv
誌謝辭........................ v
內容目錄....................... vi
表目錄........................ viii
圖目錄........................ ix
第一章  緒論.................... 1
  第一節  研究背景................ 1
  第二節  研究動機................ 2
  第三節  研究目的與問題............. 5
  第四節  論文架構與研究流程........... 5
第二章  文獻探討.................. 8
  第一節  影響新發行股票蜜月期績效報酬之因素... 8
  第二節  初次公開發行股票之股價變動....... 18
  第三節  資本支出宣告與股價報酬之關係...... 25
  第四節  多角化轉投資與股價報酬之關係...... 29
第三章  研究方法.................. 39
  第一節  研究假說與架構............. 39
  第二節 研究範圍及樣本............. 42
  第三節  研究變數之操作型定義.......... 43
  第四節  研究方法................ 48
第四章  實證結果與分析............... 55
  第一節  敘述性統計分析............. 55
  第二節  相關性分析............... 57
  第三節  路徑分析................ 60
第五章  結論與建議.................. 79
  第一節  研究結論................. 79
  第二節  研究建議................. 83
  第三節  研究限制................. 85
參考文獻........................ 86
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