臺灣博碩士論文加值系統

過去文獻指出，上市當年時盈餘管理程度愈高，有較高的短期報酬及較差的長期績效；而公司選擇在熱發行市場狀態上市時，也有類似的結果，出現短期為正，長期為負的情況。而多數研究皆以分開探討為主，若將此兩類情況同時納入考慮，是否將產生不同的結果，似為一值得探討之議題。故此，本研究將連結市場狀態與盈餘管理，藉此探討對IPO公司後續績效之影響，以幫助一般投資人了解其後續股票走勢，做出正確的投資決策。

研究結果顯示，上市當年進行盈餘管理的IPO公司，其初始報酬、短期績效與長期績效皆相對較為不佳，而選擇在市場狀態熱絡時上市的IPO公司，初始報酬並無顯著不佳的情況，但短期績效與長期績效仍然有較差的表現。而倘若結合兩者，原本積極盈餘管理的IPO公司，在加入熱發行狀態下，初始報酬不佳的情況已不復見，而長期績效仍有顯著不佳的現象。而無積極盈餘管理再加上熱發行狀態的IPO公司初始報酬並無顯著較佳的情況。另外，發行市場狀態對IPO公司績效有顯著負相關，但無法持續至上市後第三年。而上市當年盈餘管理程度的高低對長期報酬存在顯著負面的影響。

This paper investigates the links between earnings management and market conditions in the Taiwan using a unique sample of 454 IPOs for the 1987-2002 periods. Previous studies show that IPO with hot-issue markets and earnings management have short-run abnormal return and long-run underperformance. The empirical result show that it finds no evidence for long run underperformance for full sample but does find significant underperformance during hot-issue markets and positive earnings management in short-run and long-run for each sample. In order to know the mix effect for hot-issue markets and earnings management, we test the short-run and long-run performance, the result show that IPO with cold-issue markets and negative earnings management have better aftermarket performance. In addition, market conditions and earnings management have negative relation to IPO aftermarket performance

摘要 i
Abstract ii
致謝 iii
目錄 iv
表目錄 vi
圖目錄 vii
壹、 緒論 1
一、 研究背景與動機 1
二、 研究目的 4
三、 研究架構與流程 5
貳、 文獻回顧 7
一、 IPO公司盈餘管理之相關文獻 7
二、 應計項目之估計方法 9
三、 IPO公司發行熱季之相關文獻 18
四、 市場狀態的判定 20
參、 研究方法 25
一、 研究假說 25
二、 變數定義與衡量 27
一、 後續績效衡量 27
二、 盈餘管理程度衡量 29
三、 發行市場狀態區分 29
四、 其他控制變數 31
肆、 資料來源與敘述性統計量 32
一、 資料來源 32
二、 敘述性統計量 33
伍、 實證結果 37
一、 IPO公司後續績效 37
二、 盈餘管理程度與IPO公司後續績效 39
三、 市場狀態與IPO公司後續績效 40
四、 IPO公司盈餘管理、市場狀態與後續績效 43
(一.) 冷發行無盈餘管理與熱發行有盈餘管理 43
(二.) 冷發行有盈餘管理及熱發行無盈餘管理 44
五、 迴歸分析 47
陸、 研究結論 49
柒、 研究限制與建議 50
參考文獻 50
附錄一 54

表目錄

表1：研究樣本產業分類與上市所屬年度 33
表2：研究樣本主要敘述性統計量 35
表3：樣本公司之應計項目與盈餘績效指標 36
表4：樣本公司後續績效狀況 38
表5：盈餘管理與IPO後續績效 41
表6：市場狀態與IPO後續績效 42
表7：冷發行無盈餘管理、熱發行有盈餘管理與IPO後續績效 45
表8：冷發行有盈餘管理、熱發行無盈餘管理與IPO後續績效 46
表9：IPO公司長短期績效迴歸分析表 48

圖目錄

圖1：研究流程圖 6
圖2： 每月IPO公司3個月移動平均時間趨勢 31

參考文獻
1.李建然、羅元銘（2002）。新上市公司上市後營運績效衰退原因之探討。財務金融學刊。10（1）。23-52
2.吳桂燕（2006）。IPO時機與異常報酬之關聯性。交大管理評論。26（1），39-67。
3.馬黛、胡德中（2003）。承銷配售機制之決定及其對IPO折價之影響：競價拍賣、詢價圈購與公開申購，財務金融學刊，11（1）， 1-40。
4.陳安琳（1997）。台灣IPO公司股票長期績效之實證研究。管理學報，14（3），403-436。
5.陳安琳（2001）。各種衡量模型下IPO公司股票之長期報酬。中國財務學刊，9（3），535-556。
6.陳振遠、王朝仕（2008）。熱發行與IPO公司股票績效。台灣金融財務季刊 9（2），33-68。
7.陳振遠、王朝仕、湯惠雯（2006）。資訊、雜訊與新上市公司股票績效。中山管理評論，14（3），605-637。
8.戴欣怡（2001）。IPO公司上市前之盈餘管理與上市後長期股票報酬之關聯性研究。臺灣大學會計學研究所所未出版碩士論文，台北市。
9.顧廣平（2003）。台灣IPO股票短期與長期績效之再探討。證券市場發展季刊，15（1），1-40。
10.Aggarwal, R. and P. Rivoli (1990), “Fads in the Initial Public Offering Market?” Financial Management, 19, 45-57.
11.Aharony, J., C-J.Lin, and M.P.Loeb (1993). “Initial public offerings, accounting choices, and earnings management”, Contemporary Accounting Research, 10, 61-81.
12.Ahmad Zaluki, N.A., K. Campbell and A. Goodacre (2009). “Earnings management in Malaysian IPOs: the East Asian crisis, ownership control and post-IPO performance”, Working paper, Universiti Utara Malaysia.
13.Alti, A. (2006), “How Persistent Is the Impact of Market Timing on Capital Structure?” Journal of Finance, 61(4), 1681-1710.
14.Bayless, M. and S. Chaplinsky (1996), “Is There a Window of Opportunity for Seasoned Equity Issuance”, Journal of Finance, 51(1), 253-278.
15.Benveniste, Lawrence M.,WalidY. Busaba, andWilliam J.Wilhelm,(2002), “Information externalities and the role of underwriters in primary markets”, Journal of Financial Intermediation 11, 61–86.
16.Benveniste, Lawrence M., Alexander Ljungqvist, William J. Wilhelm, and Xiaoyun Yu, (2003), “Evidence of information spillovers in the production of investment banking services”, Journal of Finance 58, 577–608
17.Booth, J. R., and Chua, L. (1996). “Ownership dispersion, costly information, and IPO underpricing”. Journal of Financial Economics, 41(2), 291-310.
18.Chen, K.Y., Lin, K-L., & Zhou, J. (2005). “Audit quality and earnings management for Taiwan IPO firms”. Managerial Auditing Journal, 20, 86-104.
19.Choe, H., R. Masulis, and V. Nanda (1993), “Common stock offerings across the business cycle: Theory and evidence”, Journal of Empirical Finance ,1, 3-33
20.Coakley, J., L. Hadass, A. Wood (2008), “Hot IPOs can damage your long-run wealth!”Applied Financial Economics, Taylor and Francis Journals, 18(14), 1111-1120.
21.Cook, D.O., S.L. Jarrell, and R. Kieschnick (2003), “Investor sentiment and IPO cycles ” ,Unpublished working paper, University of Texas at Dallas
22.Davidson III, W. N., P. Jiraporn, and P. DaDalt（2006）, “Causes and Consequences of Audit Shopping: An Analysis of Auditor Opinions, Earnings Management, and Auditor Changes”, Quarterly Journal of Business and Economics, 45, 69-87.
23.DeAngelo, L. (1986), “Accounting numbers as market valuation substitutes: A study of management buyouts of public stockholders”, Accounting Review, 61 (3), 400-420
24.Dechow, P. M., R. G. Sloan, and A. P. Sweeney, (1995), “Detecting earnings management”, Accounting Review, 70(2), 193-225.
25.DuCharme, L.L., P.H. Malatesta, S.E. Sefcik (2004). “Earnings management, stock issues, and shareholder lawsuits”, Journal of Financial Economics, 71, 27-49.
26.Firth, M. (1997), “An Analysis of the Stock Market Performance of New Issues in New Zealand,”Pacific-Basin Finance Journal, 5, 63-85.
27.Friedlan, J.M. (1994). “Accounting choices of issuers of initial public offerings”. Contemporary Accounting Research, 11, 1-31.
28.Healy, P. M., and J. M. Wahlen. 1999. “A review of the earnings management literature and its implications for standard setting”. Accounting Horizons 13 (4): 365–83
29.Gompers, P. and J. Lerner, (2003), “The really long-run performance of initial public offering”, Journal of Finance, 58, 1355-1392.
30.Gujarati, D.N, (2006), “Basic Econometrics”, The McGraw-Hill Companies, Inc, 4th edition, p362.
31.Helwege, J. and N. Liang, (2004), “Initial public offerings in hot and cold markets, Journal of Financial and Quantitative Analysis”, 39, 541-569.
32.Ibbotson, R.G. and J.F. Jaffe, (1975), “Hot issue markets”, Journal of Finance, 30, 1027–1042
33.Ibbotson, R. G. and J. R. Ritter, （1995）, “Initial Public Offerings”, Handbooks of Operations Research and Management Science edited by R. A. Jarrow, V. Maksimovic, and W. T. Ziemba, North-Holland
34.Jones (1991),“Earnings Management during Import Relief Investigation”, Journal of Accounting Research,193-228
35.Kothari, S. P., A. J. Leone, and C. E. Wasley, (2005), “Performance Matched Discretionary Accrual Measures”, Journal of Accounting and Economics, 39, 163-197
36.Ljungqvist, A., V. Nanda and R. Singh (2006), “Hot Markets, Investor Sentiment, and IPO Pricing”, Journal of Business, 79, 1667-1702
37.Loughran, T., and J.R. Ritter, (1995),“ The New Issues Puzzle”, Journal of Finance, 23-51
38.Loughran, T., and J.R. Ritter (2000),“ Uniformly lest powerful tests of market efficiency”, Journal of Financial Economics ,Vol.55, 361-390
39.Loughran, T., J.R. Ritter and K. Rydqvisy, (1994), “Initial Public Offerings: International Insights,” Pacific-Basin Finance Journal, 2, 165-199.
40.Lowry, M and G.W. Schwert, (2002), “IPO Market Cycle: Bubbles or Sequential Learning?” , Journal of Finance, 57, 1171-1200.
41.Neill, J.D., Porciau, S.G. and Schaefer, T.F. (1995). “Accounting method choice and IPO valuation”, Accounting Horizons, 9, 68-80.
42.Pastor-Llorca, M.J., and Poveda-Fuentes, F. (2006). “Earnings management and the long-run performance of Spanish initial public offerings. Initial Public Offerings: An International Perspective”, 81-112.
43.Rangan, S. (1998), “Earnings management and the performance of seasoned equity offerings”, Journal of Financial Economics, 50(1), 101-22.
44.Ritter, J.R. (1984), “The Hot Issue Market of 1980”, Journal of Business, 57, 215–240.
45.Ritter, J. R. (1991), “The Long-Run Performance of Initial Public Offerings,” Journal of Finance, 46, 3-27.
46.Roosenboom, P., T. van der Goot, G. Mertens (2003). “Earnings management and initial public offerings: evidence from the Netherlands”.,International Journal of Accounting, 38, 243-266.
47.Teoh, S.H., I. Welch, and T.J. Wong, (1998b), “Earnings management and the long-run market performance of initial public offerings”, Journal of Finance, 53, 1935-1974.
48.Welch, I, (1989), “Seasoned offerings, imitation costs, and the underpricing of initial public offerings”, Journal of Finance, 44, 421-448.
49.Yung, C., G. Colak, and W. Wang, (2008), “Cycles in the IPO market”, Journal of Financial Economics, 89, 192-208.