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題名:台灣地區新上市股票價格績效與獲利績效之研究
作者:洪振虔 引用關係
作者(外文):Chen-Chein Hong
校院名稱:國立中山大學
系所名稱:企業管理學系研究所
指導教授:吳欽杉
陳安琳
學位類別:博士
出版日期:2000
主題關鍵詞:隨機前緣模式雜訊交易行為財務新上市股票獲利績效偏低定價價格績效noise tradingbehavioral financeIPOoperating performanceprice performancestochastic frontier model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:29
摘 要
本研究分別以(1)偏低定價及其影響因素之驗證,(2)上市前後獲利績效變動之分析,(3)長期價格績效低落成因之探討等三項主題來探討與新上市股票相關的異常現象。
由於上市初期報酬的形成,除了是發行價的偏低定價外,尚可能是上市初期投資人錯誤評價或是承銷商進行價格穩定操作等原因的個別或同時存在,因此,以上市初期超常報酬將無法有效地驗證偏低定價現象的存在。本文利用隨機前緣模式,以上市前與合理發行價之訂定有關的情報將可個別驗證偏低定價現象,結果證實偏低定價現象的存在。經進一步藉此模式估計各樣本股票偏低定價程度以檢驗其影響因素,結果確認風險及資訊不對稱程度等因素對偏低定價程度有影響。
上市後的獲利績效無論有無調整產業水準,均較上市前的獲利績效為差;不過,如以產業調整後之獲利績效來分析,則上市前獲利績效顯著較同業佳,而上市後的獲利績效與同業水準相當。至於上市後獲利績效相較於上市前呈現衰退的現象,經由採單變量分析與多變量分析的結果,其原因與新上市公司選擇獲利最佳時期上市有關,其餘的可能原因包括上市後代理成本提高、上市前獲利績效的窗飾等,並未獲得實證上的支持。
對於長期價格績效低落的現象,本文以投資人非理性投資行為的論點來驗證。研究結果證實上市初期的雜訊交易或是投資人的過度反應等投資人的錯誤評價,除了是促使上市初期超常報酬產生的原因之外,亦是長期價格績效低落的重要成因。此外,長期價格績效的低落也某種程度的反應上市後獲利績效衰退的現象。
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