臺灣博碩士論文加值系統

過去有關公司特性對初次發行公司後績效研究大部分只探討單一特性，本文不同於之前的研究是同時分析多種公司特性對公司績效之影響，並利用公司特性建構投資組合提供給投資人進行投資決策。
本文資料選取1993年到2005年上市櫃公司為樣本，樣本處理上將盈餘管理程度、承銷商聲譽、創投支持與否、會計師聲譽和初始報酬大小等五種公司特性進行績效配對建構公司特性組合，公司績效的估算採用四因子模型。實證結果顯示在個別公司特性下，贏家特性與輸家特性在平均公司績效是有顯著差異，而考慮多種公司特性建構的贏家組合與輸家組合在平均公司績效上也是有顯著差異。且公司特性的聯合影響所產生的平均公司績效差異是比個別公司特性所產生的平均差異還大，這也代表在公司績效的研究中結合多種公司特性的作法是有其必要性。

In the past, researches on the relationship between firm characteristics and initial public offerings (IPO) which usually analyzed one characteristic. This paper is different from the past researches; we simultaneously discussed many characteristics to IPO long term abnormal return, and used firm characteristics to construct portfolios to provide for investors some investment advices.
The present study sample collection is during 1993-2005, the measure of long term abnormal return is four-factor model. We classify five characteristics earnings management、underwriter ranks、venture capital backed、auditor ranks and initial returns, using performance match to construct characteristic portfolio. The empirical results show in each characteristic, the winner and loser set is significant difference in average abnormal return, and so is in joint characteristics. Beside, the characteristic joint effect in IPO long term abnormal is more than single effect, so research in IPO long term abnormal return considers joint characteristics is an essential method.

目錄
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構與流程 5
第貳章 文獻回顧與假說建立 6
第一節 初次上市櫃公司長期異常報酬相關研究 7
第二節 個別公司特性與初次上市櫃公司長期異常報酬 9
第三節 公司特性組合與初次上市櫃公司長期異常報酬 16
第參章 研究方法與設計 18
第一節 資料來源與研究期間 18
第二節 變數定義 19
第三節 研究設計 32
第肆章 實證結果與分析 37
第一節 敘述性統計 37
第二節 個別公司特性與初次上市櫃公司異常報酬之關聯性 39
第三節 公司特性聯合影響差異性檢定 54
第伍章 結論 59
參考文獻 62

表次
表 3-1 變數彙整表 28
表 3-2 贏家組合表 36
表 4-1 敘述性統計 38
表 4-2 贏家特性與長期異常報酬迴歸結果 41
表 4-3 盈餘管理程度對異常報酬之差異性檢定 44
表 4-4 承銷商聲譽對異常報酬之差異性檢定 46
表 4-5 創投介入與否對異常報酬之差異性檢定 48
表 4-6 會計師聲譽對異常報酬之差異性檢定 50
表 4-7 初始報酬大小對異常報酬之差異性檢定 52
表 4-8 贏家組合與輸家組合對異常報酬之差異性檢定 56
PANEL A：低盈餘管理、高承銷商聲譽與創投支持 56
PANEL B：低盈餘管理、高承銷商聲譽與高會計師聲譽 56
PANEL C：低盈餘管理、高承銷商聲譽與低初始報酬 56
PANEL D：低盈餘管理、創投支持與高會計師聲譽 56
PANEL E：低盈餘管理、創投支持與與低初始報酬 57
PANEL F：低盈餘管理、高會計師聲譽與低初始報酬 57
PANEL G：高承銷商聲譽、創投支持與高會計師聲譽 57
PANEL H：高承銷商聲譽、高會計師聲譽與低初始報酬 57
PANEL I：高承銷商聲譽、創投支持與低初始報酬 58
PANEL J：創投支持、高會計師聲譽與低初始報酬 58

一、中文部份
吳桂燕，2006，新上市時機與異常報酬之關聯性，交大管理學報，第2卷，第1期，39-67.
邱正仁、周庭楷與陳育如，2007，創投聲譽對初次上市櫃公司長期股價即營運績效影響之研究，交大管理學報，第27卷，第1期， 115-167.
施光訓、許志豪，2009，IPO價格變動特性之研究，會計與財金研究，第2卷，第1期，1-18.
陳安琳、盧正壽與高蘭芬，2006，解讀台灣IPOs熱季發行之迷思，管理學報，第23卷，第6期，711-738.
楊朝旭、吳幸蓁，2003，總經理薪酬績效敏感性、績效門檻與盈餘管理關聯性之研究，會計評論，第36期，55-87.
顧廣平，2003，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，1-40.

二、英文部分
Agarwal, S., Liu, C. L., Rhee, S. G.. (2008). Investor demand for IPOs and aftermarket performance:Evidence from the Hong Kong stock market. Journal of International Financial Markets , Institutions and Money, 18, 176-190.
Baron, D. P. and Holmstrom, B. (1980). The investment banking contract for new issues under asymmetric information: delegation and the incentive problem. Journal of Finance, 35, 1115–1138.
Barber, B. and Lyon, J. (1996). Detecting abnormal operating performance: the empirical power and specification of test statistics. Journal of Financial Economics, 41, 359–399.
Brav, A. and Gompers, P. A. (1997). Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture Capital and Nonventure Capital-Backed Companies. Journal of Finance, 52, 1791-1822.
Brav, A., Geczy, C., Gompers, P.A. (2000). Is the Abnormal Return Following Equity Issuances Anomalous? Journal of Financial Economics, 56, 403-416.
Bradshaw, M., Richardson, S., Sloan, S. (2001). Do Analysts and Auditors Use Information in Accruals? Journal of Accounting Research, 39, 45-74.
Bouresli, A.K., Davidson III, W. N., Abdulsalam, F. A. (2002). Role of Venture Capitalists in IPO Corporate Governance and Operating Performance. Quarterly Journal of Business & Economics, 41, 71-82.
Brav, A., Michaely, R., Zarutskie, R. (2006). Evidence on the Tradeoff Between Risk and Return for IPO and SEO Firms. Working Paper.
Carhart, M. M., (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52, 57-82.
Carter. R. B., Dark, F.H., Singh, A. K. (1998). Underwriter Reputation. Initial Returns, and the Long-Run Pertormance of IPO Stocks. Journal of Finance, 53, 285-311.
Chan, K., Cooney,Jr., J. W., Kim, Joonghyuk, Singh, A. K. (2008). The IPO Derby: Are There Consistent Losers and Winners on This Track? Financial Management, 37, 45-79.
Deangelo, L. E. (1986). Accounting Numbers as Market Valuation Substitutes: A Study of Management Buyouts of Public Stockholders. The Accounting Review, 61, 4-20.
Derrin, F. (2005). IPO Pricing in“Hot” Market Conditions: Who Leaves Money on the Table? Journal of Finance, 60, 487-521.
Fama, E. F. and French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Finance, 33, 3-56.
Fama, E. F. (1998). Market Efficiency, Long-Term Returns, and Behavioral Finance. Journal of Financial Economics, 49, 283-306.
Healy, P. (1985). The Impact of Bonus Schemes on the Selection of Accounting Principles. Journal of Accounting and Economics, 7, 85-10.
Hamao, Y., Packer, F., Ritter, J. R. (2000). Institutional affiliation and the role of venture capital: evidence from initial public offerings in Japan. Pacific-Basin Finance Journal, 8, 529–558.
Ibbotson, R. G., Sindelar, J. L., Ritter, J. R. (1988). Initial Public Offerings. Journal of Applied Corporate Finance, 1, 37-45.
Kothari, S.P., Leone, A. J., Wasley, C. E. (2005). Performance Matched Discretionary Accrual Measures. Journal Accounting and Economics, 39, 163-197.
Kutsuna, K., Smith, J. K., Smith, R. L. (2009). Public Informantion , IPO Price Formation , and Long-Run Ruturn：Japanese Evidence. Journal of Finance, 64, 505-546.
Loughran, T., Ritter, J. R., Rydqvist, K. (1994). Initial public offerings: international insights. Pacific-Basin Finance Journal, 2, 165–199.
Loughran, T. and Ritter, J. R. (1995). The new issue puzzle. Journal of Finance, 50, 23-51.
Lyon. J. D., Barher, B.D., Tsai, C. L.(1999). Improved Methods for Test of Long-Run Abnormal Stock Returns. Journal of Finance, 54, 165-201.
McNichols, M. and Wilson, G. P. (1988). Evidence of Earnings Management from the Provision for Bad Debts. Journal of Accounting Research, 26, 1-31.
Megginson, W. and Weiss, K. (1991). Venture capitalist certification in initial public offerings. Journal of Finance, 46, 879-904.
Menon, K. and Willams, D. D., (1991). Auditor Credibility and Initial Public Offerings. The Accounting Review, 66, 313-332.
Michaely, R. and Shaw, W.H. (1995). Does the Choice of Auditor Convey Quality in an Initial Public Offering? Financial Management, 24, 15-30.
Paudyal, K., Saadouni, B., Briston, R. J. (1998). Privatization initial public offerings in Malaysia: initial premium and longterm performance. Pacific-Basin Finance Journal, 6, 427–451.
Purnanandam, A. K. and Swaminathan, B. (2004). Are IPOs really under-priced? The Review of Financial Studies, 17, 811–848.
Rock, K. (1986). Why new issues are underpriced. Journal of Financial Economics, 15, 187-212.
Ritter, J. R. (1991). The long-run performance of initial public offerings. Journal of Finance, 46, 3–27.
Titman, S. and Trueman, B. (1986) Information quality and the valuation of new Issues. Journal of Accounting and Economics, 8, 159-172.
Teoh, S. H., Welch, I., Wong, T.J. (1998). Earnings Management and the Long-Run Market Performance of Initial Public Offerings. Journal of Finance, 53, 1935-1974.
Teoh, S. H. and Wong, T. J. (2002). Why New Issues and High-Accrual Firms Underperform; The Role of Analysts Creduhly. Review of Financial Studies, 15, 869-900.
Weber, J. and Willenborg, M. (2003). Do Expert Informational Intermediaries Add Value? Evidence from Auditors in Microcap Initial Public Offerings. Journal of Accounting Research, 41, 681-720.