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研究生:楊璧華
研究生(外文):Yang, Pi Hua
論文名稱:興櫃轉上市櫃公司股票抑價與財經新聞情緒分析之關聯性研究
論文名稱(外文):THE ASSOCIATION BETWEEN IPO UNDERPRCING AND FINANCIAL NEWS – A SENTIMENT ANALYSIS APPROACH
指導教授:諶家蘭諶家蘭引用關係
指導教授(外文):Seng, Jia Lang
學位類別:碩士
校院名稱:國立政治大學
系所名稱:會計研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
畢業學年度:103
語文別:英文
論文頁數:72
中文關鍵詞:折價幅度媒體報導情緒分析
外文關鍵詞:IPO UnderpricingMedia CoverageSentiment Analysis
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本研究以民國99年至103年間於台灣證券交易所以及櫃買中心掛牌之新上市公司為樣本,並扣除由上櫃轉上市公司的部份,共計241間公司。由於投資人在公司上市前較難以取得公司相關資訊、或是取得資訊成本極高,因此大部分資訊來自新聞媒體的報導。因此本研究目的在於媒體報導的正負面情緒與興櫃轉上市櫃公司的期初報酬率的關聯性,並以實證進行研究,以了解媒體報導密集度及情緒程度影響期初報酬率(初次公開發行折價幅度)之關係。
本文以客觀量化之方式計算新聞內正向字詞與負向字詞,並據以計算為正向媒體情緒程度分數。本研究實證結果顯示,媒體報導帶給投資人之情緒越正向,期初報酬率越高。在上市日前一個月的正向新聞報導數量,對期初報酬率也有正面的影響;並將樣本區分為電子業及非電子業,電子業在上市日前一個月的正(負)向新聞報導數量,對期初報酬率有正(反)面的顯著影響;非電子業則與正向媒體情緒、正(負)向新聞報導數量數較無顯著相關,反而受大盤報酬率之影響。

This study focuses on the relationship between the sentiment of the media coverage and IPO underpricing based on the IPOs firm listing on TWSE corporations or GTSM corporations.
This study investigates whether the media were responsible for the phenomenal rise and fall in the market value of IPO shares from 2010 to 2014. We do not focus on what drives the media coverage of IPO firms, but we focus on the effect of pre-IPO media coverage on the first day's return.
Recently, sentiment approach have been a useful tool for extract the text information to the numeral data and would be easy to compare and calculate. To avoid the subjective judgment bias, we use sentiment dictionary-based approach to convert the qualitative news to quantitative measures. This study uses the positive and negative words to calculate positive sentiment score of the media, and use the positive and negative words to classify the news items into positive or negative news.
In summary, this positive sentiment of media is significantly related to initial return (IPO underpricing), and this study also indicates a significantly result that initial return is highly related to market return than sentiment of media in non-electronics industry. However, as our expected, the number of positive (negative) news reports has a positive (negative) influence on the initial return, in the electronics industry.

Table of Contents
1. INTRODUCTION 1
1.1 RESEARCH PURPOSE AND MOTIVATION 1
1.2 RESEARCH ISSUE 4
1.3 RESEARCH PROCESS 5
2. LITERATURE REVIEW 7
2.1 IPO UNDERPRICING AND ASYMMETRIC INFORMATION 7
2.2 IPO UNDERPRICING AND SIGNALING THEORIES 9
2.3 BOOK-BUILDING METHOD AND INFORMATION PRODUCTION THEORY 10
2.4 IPO UNDERPRICING AND OPTIMISTIC INVESTORS 12
2.5 LITERATURE REVIEW SUMMARY FOR THE THEORIES OF IPO UNDERPRICING 15
2.6 EMPIRICAL RESEARCHES ABOUT MEDIA COVERAGE AND IPO UNDERPRICING 20
2.7 SENTIMENT ANALYSIS 25
3. SENTIMENT ANALYSIS MODEL 27
3.1HYPOTHESES DEVELOPMENT 27
3.1.1 THE RELATIONSHIP BETWEEN IPO UNDERPRICING AND THE SENTIMENT OF MEDIA COVERAGE 27
3.1.2 THE RELATIONSHIP BETWEEN IPO UNDERPRICING AND THE NUMBER OF POSITIVE (NEGATIVE) NEWS REPORTS 28
3.2 DATA COLLECTION 30
3.2.1 SAMPLE SELECTION 30
3.2.2 SAMPLE DESCRIPTION 31
3.3 REASERCH METHOD 35
3.3.1 APPROACHES TO MEASURE THE SENTIMENT POLARITY IN NEWS ITEM 35
3.3.2 LYDIA SENTIMENT ANALYSIS 37
3.4 REGRESSION MODEL 38
3.4.1 DEPENDENT VARIABLE 41
3.4.2 INDEPENDENT VARIABLES 42
3.4.3 CONTROL VARIABLES 43
4. RESEARCH RESULTS AND ANALYSIS 44
4.1 DESCRIPTIVE STATISTICS 44
4.2 EMPIRICAL RESULTS 53
4.2.1 REGRESSION RESULTS FOR H1-MODEL (1) TO (4) 53
4.2.2 REGRESSION RESULTS FOR H2-MODEL (5) 58
5. CONCLUSION AND DISCUSSION 61
5.1 RESEARCH CONTRIBUTION AND CONCLUSION 61
5.2 LIMITATION AND FUTURE RESEARCH WORK 62
REFERENCES 64



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