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研究生:王國俊
研究生(外文):Kuo-Chun Wang
論文名稱:上市閉鎖期對績效衰退程度的影響
論文名稱(外文):The Effect of Lockup on Post-IPO Underperformance
指導教授:黃志仁黃志仁引用關係
指導教授(外文):Chih-Jen Hung
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融研究所
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:2007/07/
畢業學年度:95
語文別:中文
論文頁數:54
中文關鍵詞:績效下滑績效閉鎖期首次上市投資者情緒
外文關鍵詞:LockupUnderperformancePerformanceInitial public offering
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公司首次上市後績效衰退下滑(其中包括價格績效與營業績效),此現象已由許多研究證實。本文以1998-2004年初次上市公司(Initial Public Offering; IPO)美國樣本為資料,驗證閉鎖期限制與閉鎖期間長短對績效下滑的解釋能力。其中,本文以市場模型與四因子模型衡量價格績效,以營業資產報酬率、營業權益報酬率衡量營業績效。研究結果顯示,閉鎖公司在閉鎖期間受公司盈餘管理影響,使其在閉鎖期間績效表現優於無閉鎖公司,而解鎖當季迴轉效果影響使其績效下滑程度高於無閉鎖公司,此外閉鎖期間較長公司,因為盈餘管理期間延長,造成解鎖當季迴轉效果加重,進而產生績效下滑程度高於閉鎖期間較短的公司。此外,本研究以因素分析法求取投資者情緒指標,進而驗證投資者情緒與績效下滑的關聯,結果發現投資人情緒確實會加強績效下滑的表現。
Initial public offering (IPO) lockup agreements prevent insider sale of shares for specified period of time(often 180 days). This study we investigates the lockup and the lockup periods of IPO underperformance (including price performance and operating performance).In this paper we estimate the long-run performance of USA initial public offering (IPO) from 1998 to 2004.

To examine the long-run performance of USA IPO, we compute price performance on Four-Factor-Model Returns (FFMR) and CAR, operating performance on Shiah-Hou(2005) Operating Return on Assets (OPROA), and Operating Return on Equity (OPROE). Results indicate statistically significant negative abnormal returns and negative correlation in lockup, lockup period, and sentiment. This results support our hypotheses. In addition, multivariate analysis identifies several variables that help explain these abnormal returns.
Key words: Initial public offering, Lockup, Performance, Underperformance.
目錄
中文摘要...................................................................................................................Ⅰ
Abstract....................................................................................................................Ⅱ
研究架構...................................................................................................................Ⅲ
目錄...........................................................................................................................Ⅳ
表目錄.......................................................................................................................Ⅵ
第一章 緒論...............................................................................................................1
第二章 文獻探討與假說...........................................................................................4
第三章 研究設計與方法...........................................................................................8
第一節 績效衡量.................................................................................................8
第二節 迴歸模型...............................................................................................12
第三節 情緒指標的選取...................................................................................13
第四節 研究期間、選樣標準與資料來源.......................................................16
第四章 實證結果與分析.......................................................................................18
第一節 樣本T檢定及敘述性統計....................................................................18
第二節 迴歸方程式各項變數之相關係數.......................................................22
第三節 迴歸方程式之實證結果與分析...........................................................29
第四節 獨立性檢定...........................................................................................35
第五章 結論...........................................................................................................40
參考文獻...................................................................................................................42










表目錄
表4-1迴歸模型(3)敘述性統計................................................................................19
表4-2迴歸模型(4)敘述性統計................................................................................20
表4-3閉鎖期事件下之樣本T檢定.........................................................................21
表4-4迴歸方程式之Pearson與Spearman相關係數...........................................23
表4-5迴歸方程式之Pearson與Spearman相關係數...........................................25
表4-6迴歸方程式之Pearson與Spearman相關係數...........................................26
表4-7迴歸方程式之Pearson與Spearman相關係數...........................................28
表4-8迴歸方程式(3)之估計分析結果—價格績效、營業績效..............................31
表4-9迴歸方程式(4)之估計分析結果—價格績效、營業績效..............................33
表4-10敏感性分析迴歸方程式(4)之估計分析結果—價格績效、營業績效........36
表4-11敏感性分析迴歸方程式(4)之估計分析結果—價格績效、營業績效........38
壹、中文部份
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徐俊明,財務管理理論與實務,初版,台北:新陸,2000。
陳妙如,”公司上市前後財務狀況及經營績效變動與盈餘操縱之研究”,國立台灣大學會計研究所碩士論文,1996。
陳育如,”創投聲譽與投資公司上市(櫃)後績效之關連性研究” ,國立成功大學財務金融研究所碩士論文,2004。
陳達勳,”市場情緒與股票報酬之研究”,國立政治大學國際貿易所碩士班,2000。
潘梧仁,”現金增資長期之價格與經營績效”,國立中正大學財務金融研究所碩士論文,1996。
劉宏彥,”上市公司現金增資前後經營績效改變之實證研究”,國立台灣大學會計研究所碩士論文,1998。

貳、英文部分
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