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研究生:方怡婷
研究生(外文):Yi-tyng Fang
論文名稱:會計師聲譽對IPO期初報酬率影響之探討:分量迴歸分析法
論文名稱(外文):The Auditor Reputation of IPO Initial Return: Application of Quantile Regression
指導教授:林文祥林文祥引用關係李建興李建興引用關係
學位類別:碩士
校院名稱:義守大學
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:2008
畢業學年度:96
語文別:中文
論文頁數:49
中文關鍵詞:會計師聲譽折價分量迴歸
外文關鍵詞:underpricingauditor reputationquantile regression
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初次公開發行公司在申請上市(櫃)前,公司最近三個年度的財務報告需經由會計師查核簽證。而過去國內顯少探討會計師聲譽與IPO期初報酬率間的關係,且多半將會計師聲譽視為外生變數。本文考量會計師事務所選擇可能與公司特徵因素有關情況下,會計師聲譽存在內生性問題。因此,本文先採用工具變數法來建立會計師聲譽的代理變數,進而探討會計師聲譽與IPO期初報酬率間的關係。
本文研究期間為1997年2月至2006年12月,共326家IPO公司。此外,相對過去文獻,本文具有下列特色:首先,在衡量會計師聲譽方法上,本文分別採用前四大會計師事務所設立虛擬變數以及IPO市場之市占率做為代理變數,結果發現在不同衡量方法下,會計師聲譽對IPO期初報酬率的影響會有所差異。第二,基於樣本有嚴重右偏的現象,為了避免估計的偏誤,本文嘗試採用分量迴歸分析法,結果發現分量迴歸之實證結果與傳統最小平方法之實證結果,確實存在著許多差異,這表示過去文獻所採用的傳統最小平方法之實證結果可能產生估計的偏誤。最後,本文發現,2005年上市(櫃)首五交易日取消漲跌幅限制,將使IPO公司的期初報酬率提高。
The initial public offering companies need to provide a prospectus that includes audited financial statements before they go public. This paper examines the effect of auditor reputation on IPO initial return. In Taiwan, there are fewer literatures about the effect of auditor reputation on IPO initial return, and most of them regard auditor reputation as exogenous variable. Considering the relationship between CPA firm choice and company characteristics, we think auditor reputation has endogenous problem. Therefore, we adopt instrument variable to build auditor reputation variable.
The research sample includes 326 IPO companies in Taiwan from 1997 to 2006. Compared to the past literature, this paper has the following contribution. First, we use dummy variable and market share to proxy the auditor reputation. Second, because the sample distribution has serious skewed-right, in order to avoid estimation bias, we use quantile regression to substitutes for OLS. The empirical result shows the different proxy variables for auditor reputation have dissimilar effect on IPO initial return. In addition, the analysis results with quantile regression and OLS have many differences. This conclusion shows that the prior literatures using OLS maybe exist estimation bias. Finally, we find that new trading system that cancel daily price movement limit in the first five days of IPO will make IPO initial return higher.
1. 前言 1
2. 文獻回顧 4
2.1. IPO折價的國際經驗 4
2.2. 主要國內外文獻 5
2.3. 會計師聲譽 6
2.4. 分量迴歸及其應用 7
3. 研究方法 9
3.1. 實證模型(OLS模型) 9
3.2. 解釋變數定義與影響 9
3.3. 會計師選擇 15
3.4. 分量迴歸模型 16
4. 資料來源與敘述性統計 18
4.1. 資料來源 18
4.2. 敘述性統計 19
4.3. 散佈圖 20
4.4. 相關係數 21
5. 實證結果與分析 21
5.1. OLS與QR實證結果差異 21
5.2. 會計師聲譽採虛擬變數法之實證結果分析 23
5.3. 會計師聲譽採市占率法之實證結果分析 24
6. 結論與建議 25
參考文獻 38
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