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研究生:邱淑萍
研究生(外文):Chiu Shu Ping
論文名稱:IPO期初報酬之資訊性-以台灣股票市場為例
指導教授:林子綾林子綾引用關係
指導教授(外文):Lin Tzu Ling
口試委員:馮立功李佩璇
口試委員(外文):Feng Li KungLi Pei Hsuan
口試日期:2014-06-03
學位類別:碩士
校院名稱:國立中正大學
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:2014
畢業學年度:102
語文別:中文
論文頁數:45
中文關鍵詞:資訊不對稱IPO期初報酬波動度初次公開發行
外文關鍵詞:asymmetric informationvolatility of IPO initial returnsinitial public offering
相關次數:
  • 被引用被引用:4
  • 點閱點閱:605
  • 評分評分:
  • 下載下載:153
  • 收藏至我的研究室書目清單書目收藏:0
本文旨在探討1985至2013年在台灣上市及上櫃的公司,其IPO期初報酬之波動度與公司資訊不對稱程度的關係。本文以公司特性及承銷規模作為資訊不對稱之代理變數,探討是否影響期初報酬與期初報酬波動度,並進而分析當資訊不對稱程度越高時,期初報酬與期初報酬波動度兩者之間的關係為何。實證結果顯示當公司在櫃買中心初次公開上櫃、成立日至發行日期間越短時會有較高的期初報酬波動度,由此推論當公司資訊不對稱程度較高時,投資者及承銷商較難以去評價,因此期初報酬波動度相對來說也較高。且從整體樣本趨勢來看,台灣IPO股票期初報酬與期初報酬波動度之間存在一正向關係。
This study discusses the relation between volatility of initial returns and degree of asymmetric information of IPOs in Taiwan during 1985~2013. We use the firm and offering-specific characteristics as proxies for asymmetric information to analyze whether they affect initial returns and volatility of initial returns. Furthermore, what the relation between initial returns and volatility of initial returns is when the higher degree of asymmetric information. Empirical results indicate that if an IPO firm is traded on the OTC market and young, it would have higher volatility of initial returns. Therefore, a firm with higher degree of asymmetric information, because it is more difficult for investors and underwriters to value the IPO stock, its volatility of initial returns would be higher. And there exists a positive relation between initial returns and volatility of initial returns from the overall sample trend.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 5
第二章 文獻回顧 7
第一節 效率市場假說 7
第二節 影響IPO期初報酬率因素之探討 8
第三節 IPO期初報酬波動度之概念 13
第三章 研究方法 16
第一節 研究假說 16
第二節 樣本說明與資料來源 18
第三節 變數定義 19
第四節 模型設計 24
第四章 實證結果 26
第一節 敘述性統計與相關係數 26
第二節 多元迴歸分析 34
第五章 結論與建議 39
第一節 結論 39
第二節 建議 40
參考文獻 44
表目錄
表一 1985~2013年間發行IPO公司家數、期初報酬平均數與標準差 22
表二全樣本期間與剔除金融海嘯期間之樣本敘述性統計 26
表三1985~2013、1985~2013(剔除金融海嘯時期)、2005~2013樣本敘述 29
表四1985~2013、1985~2013(剔除金融海嘯時期)、2005~2013自變數、期初報酬敘述與期初報酬標準差樣本敘述 30
表五IPO期初報酬和IPO公司特性、發行規模間的相關性 31
表六公司特性、發行規模與IPO期初報酬和期初報酬波動度間迴歸關係式 35
圖目錄
圖一 1985~2013年間發行IPO公司家數、期初報酬平均數與標準差趨勢圖 23
圖二1985~2013 IPO期初月報酬次數分配圖 27

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