臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：漲跌停限制與新上市股票長期績效：異象或模型設定不當
作者：邱素麗 引用關係
作者(外文)：Sue L.Chiou
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：2003
主題關鍵詞：新上市股票；長期績效；漲跌停限制；long-run performance；IPO；price limits
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(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:49
摘要
本文採用1991年至1998 年間在台灣股票市場新上市的普通股做為樣本，分析新上市股票市場的理性行為。採用兩種市場效率假說： 效率市場假說（efficient markets hypothesis）及有效學習市場（efficiently learning market )假說。風險評價分別採用市場投資組合報酬，市場模型(market model)，及三因子模型。當收盤價遇到漲停或跌停時，採用 Tobit model 估計沒有漲跌停限制下的均衡價格。
除了檢驗市場效率性假說外，本文亦分析新上市股票在橫斷面及縱斷面的報酬型態。 包括引入競價拍賣對市場效率的影響、現金增資在新上市股票長期績效中扮演的角色、在發行旺季上市的股票報酬型態所代表的意涵、及檢驗是否存在momentum和mean reversion的現象。
研究結果顯示，當採用市場模型或三因子模型評價風險時，新上市股票樣本符合有效學習市場假說的理性學習要求。橫斷面與時間數列的報酬型態顯示市場並沒有過度反應，而是循序漸進且保守的學習。因此，當模型定義恰當時，新上市股票並沒有異常現象。
Abstract
By using Tobit model to remove price limit regulation from the limited price data, this study analyzes the IPO aftermarket’s rationality using a sample of 362 stocks which conducted IPO between 1991 and 1998 in Taiwan stock markets. Two market efficiency hypotheses were examined: the efficient markets hypothesis (EMH) and the hypothesis of efficiently learning market (ELM). The later relaxed EMH by letting prior beliefs to be unspecified. Risk was valued by market portfolio return, market model, and an alteration of Fama-French three-factor model. Tobit model is used to remove price limits in case of limit-move day. In addition to examining the hypotheses of market efficiency, this study also explores cross-section and time-series return patterns. We are interested in the effect of competitive bidding on market efficiency, the role of SEO on IPOs long-run performance, the implication of heavy issuance return pattern, and momentum and mean reversion. The results show that our IPO sample does learn rationally from information in the sense of ELM in conjunction with market model or thee-factor model. The cross-section and time-series results indicate that market is not ‘overreaction’ or ‘fad’, but learning sequentially and cautiously. Thus, the IPOs long-run anomalies disappear in our sample if model is properly defined.
Allen , F. and G. R. Faulhaber, 1989, Signaling by underpricing in the IPO market, Journal of Financial Economics 23, 303-323.
Amihud, Y. and H. Mendelson, 1991, Volatility, efficiency, and trading: evidence from the Japanese stock market, Journal of Finance 46, 1765-89.
Barber, B. and J. Lyon, 1997, Detecting long-run abnormal stock returns: the empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.new window
Benveniste, L. M., W. Y. Busaba, and W. J. Wilhelm, 1996, Price stabilization as a bonding mechanism in new equity issues, Journal of Financial Economics 42, 223-255.
Bossaerts, P. and P. Hillion, 2001, IPO post-issue markets: Questionable predilections but diligent learners? Review of Economics and Statistics 83, 333-347.
Bossaerts, P., 1998a, The dynamics of equity in fallible markets, working paper, California Institute of Technology.
Bossaerts, P., 1998b, On rationality in financial markets, working paper, California Institute of Technology.
Bossaerts, P., 2000, Filtering returns for unspecified biased in priors when testing asset pricing theory, working paper, California Institute of Technology.
Bossaerts, P., 2002, The Paradox of Asset Pricing, Princeton University Press.
Brav, A. and P. A. Gompers, 1997, Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies, Journal of Finance 52, 1791-1821.
Brav, A., C. Geczy, and P. A. Gompers, 2000, Is the abnormal return following equity issuances anomalous, Journal of Financial Economics 56, 209-249.
Carhart, M. 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
Chen, Anlin, 1999, The long-run performance of initial public offerings with changing beta: a rolling regression approach, Journal of Management 16, 535-556. (in mandarin)
Chen, Anlin, Roger C. Y. Chen, and Kuei-Ling Pan, 2002, The performance of initial public offerings conditioning on issue information: the case of Taiwan, Asia Pacific Management Review 7, 167-190.
Chen, Chao and Jau-Lian Jeng, 1996, The impact of price limits on foreign currency futures’ price volatility and market efficiency, Global Finance Journal 7, 13-25.
Chen, H., 1998, Price limits, overreaction, and price resolution in futures markets, Journal of Financial Services Research 12, 5-20.
Chen, J.R. 2001, Return behavior and the influential factors of IPOs, working paper, National Chung Cheng University. (in mandarin)
Clarke, J., C. Dunbar, and K. M. Kahle, 2001, Long-run performance and insider trading in completed and canceled seasoned equity offerings, Journal of Financial and Quantitative Analysis 36, 415-430.
Cochrane, J. H., 1999, New facts in finance, Economic Perspectives 23, 36-58.
Daniel, Kent and Sheridan Titman, 1999, Market efficiency in an irrational world, Financial Analysts Journal 55, 28-40.
DeBondt, W. F. M. and R. H. Thaler, 1985, Does the stock market overreact? Journal of Finance 40, 793-805.
Durlauf, Steven N., 1991, Spectral based testing of the martingale hypothesis, Journal of Econometrics 50, 355-378.
Fama, E. F. and K. R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
Fama, E. F. and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, E. F., 1970, Efficient capital market: A review of theory and empirical work, Journal of Finance 25, 383-417.
Fama, E. F., 1976, Foundations of Finance, New York: Basic Books.
Fama, E. F., 1989, Perspectives on October 1987, or what did we learn from the crash?, in Robert W. Kamphuis, Jr., Roger C. Kormendi, and J. W. Henry Watson, (Eds.): Black Monday and the Future of the Financial Markets , Homewood, Ill.: Irwin.
Fama, E. F., 1998, Determining the number of priced state variables in the ICAPM, Journal of Financial and Quantitative Analysis 33, 217-231.
Fama, F. F., 1991, Efficient capital market: II, Journal of Finance 46, 1575-1617.
French, K. R. and R. Roll, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26.
Glassman, D., 1987, The efficiency of foreign exchange futures markets in turbulent and non-turbulent periods, Journal of Futures Markets 7, 245-267.
Goldenberg, D. H., 1988, Trading frictions and futures price movements, Journal of Financial and Quantitative Analysis 23, 465-481.
Gompers, P. A. and J. Lerner, 2000, The really long-run performance of initial public offerings: The pre-NASDAQ evidence, working paper, Harvard University.
Hall, Anthony D. and Paul Kofman, 2001, Limits to linear price behavior: Futures prices regulated by limits, Journal of Futures Markets 21, 463-488.
Heaton, J. and D. Lucas, 2000, Portfolio choice and asset prices: The importance of entrepreneurial risk, Journal of Finance 55, 1163-98.
Hodrick, R. and Srivastava S., 1987, Foreign currency futures, Journal of International Economics 22, 1-24.
Hsu, Wei-Ying, 1996, The post-listing return performance of unseasoned issues of common stock in Taiwan, working paper, National Cheng Chi University. (in mandarin)
Huang, Yen-Sheng, 1999, The price behavior of initial public offerings on the Taiwan stock exchange, Applied Financial Economics 9, 201- 208.
Hung, Chen Chein, Chin-Shun Wu, and Anlin Chen, 2002, The effect of irrational investments on the price performance of initial public offerings, Management Review 21, 53-79. (in mandarin)
Ibbotson, R. G. and J. J. Jaffe, 1975, “Hot issue” markets, Journal of Finance 30, 1027-42.
Jegadeesh, N. and S. Titman, 1993, Returns to buying winners and selling losers: Implication for stock market efficiency, Journal of Finance 48, 65-91.
Jegadeesh, N., 2000, Long-term performance of seasoned equity offerings: Benchmark errors and biases in expectations, Financial Management 29, 5-30.
Kao, W. G., and Ma, C. K., 1992, Memories, heteroscedasticity, and price limit in currency futures market, Journal of Futures Markets 12, 679-692.
Keloharju, M., 1996, The winner’s curse, legal liability, and the long-run performance of initial public offerings in Finland, Journal of Financial Economics 34, 251-277.
Kim, K. A. and S. G. Rhee, 1997, Price limit performance: evidence from the Tokyo stock exchange, Journal of Finance 52, 885-901.
Kodres, L. E., 1988, Tests of unbiasedness in foreign exchange futures markets: The effects of price limits, Review of Futures Markets 7, 139-175.
Kodres, L. E., 1993, Tests of unbiasedness in the foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity, Journal of Business 66, 463-490.
Kothari, S.P. and J. B. Warner, 1997, Measuring long horizon security price performance, Journal of Financial Economics 43, 301-339.
Lai, Po-You, 1993, The research is which reasons affect Taiwan IPOs pricing, working paper, National Chung Cheng University. (in mandarin)
Lee, C. J. 2000, The choice and influence of distribution method on new issues, working paper, National Chung Cheng University. (in mandarin)
Lee, Charles M. C., Mark J. Ready, and P. J. Seguin, 1994, Volume, volatility, and New York Stock Exchange trading halts, Journal of Finance 48, 1909-1925.
Lee, S. B. and J. S. Chung, 1996, Price limits and stock market efficiency, Journal of Business Finance and Accounting 23, 585-601.
Lee, Wayne, 1998, The reasonableness of underwriting price under different distribution method, working paper, National Cheng Kung University.
Lee, Yun-Mei, 2001, Uniformly least power test of long- run performance on IPO, working paper, National Sun Yat-sen University. (in mandarin)new window
Leland, Hayne E. and David H. Pyle, 1977, Informational asymmetries, financial structure, and financial intermediation, The Journal of Finance 32, 371- 387.
Lerner, J., 1994, Venture capitalists and the decision to go public, Journal of Financial Economics 35, 293-316.
Levis, M., 1993, The long-run performance of initial public offerings: The U.K. experience 1980-88, Financial Management 22, 28-41.
Lewellen J. and J. Shanken, 2002, Learning, asset-pricing tests, and market efficiency, Journal of Finance 57, 1113-45.
Lintner, J, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
Loughran, Tim and Jay Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-51.
Lowry, Michelle and G. William Schwert, 2002, Biases in the IPO pricing process, working paper, 1- 29, NBER.
Lucas, R, 1978, Asset prices in an exchange economy, Econometrica 46, 1429-45.
Malliaropulos, Dimitrios, 1996, Are long-horizon stock returns predictable? A bootstrap analysis, Journal of Business Finance & Accounting 23, 93-108.
McCurdy, T. and I.G., Morgan, 1987, Tests of the martingale hypothesis for foreign currency futures with time-varying volatility, International Journal of Forecasting 3, 131-148.
McQueen, Grant, 1992, Long-Horizon Mean-Reverting Stock Prices Revisited, Journal of Financial and Quantitative Analysis 27, 1-18.
Merton, R., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
Myers, S. C. and N. S. Majluf, 1984, Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 187-211.
Pan tzu-hui, 1994, The positive study of initial public offerings abnormal return and affecting factor, working paper, National Taiwan University. (in mandarin)
Ritter J. R. and I. Welch, 2002, A review of IPO activity, pricing, and allocations, Journal of Finance 57, 1795-1828.
Ritter, J. R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3-27.
Rock, Kevin F., 1986, Why new issues are underpriced, Journal of Financial Economics 15, 187-212.
Roll, R., 1988, The international crash of October 1987, Financial Analyst Journal 44, 19-35.
Rubinstein, M., 1976, The valuation of uncertain income streams and the pricing of options, Bell Journal of Economics 7, 407-425.
Ryoo, Hyun-Jung and Graham Smith, 2002, Korean stock prices under price limits: variance ratio tests of random walks, Applied Financial Economics 12, 545- 553.
Schlag, C. and A. Wodrich, 2000, Has there always been underpricing and long-run underperformance? IPOs in Germany before World War I, working paper, Goethe University.
Schultz, P., 2001, Pseudo market timing and the long-run underperformance of IPOs, working paper, University of Notre Dame.
Sharpe, W., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-42.
Shiah Hou, Shin-Rong, 1997, Empirical study of the IPO long run performance, Proceedings of the National Science Council, Republic of China: Humanities and Social Science 3, 260-275. (in mandarin)
Shiller, R. J., 1990, Speculative prices and popular models, Journal of Economic Perspectives 4, 55-65.
Spiess, D. K., and J. Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243-267.
Tobin, J., 1958, Estimation of relationships for limited dependent variables, Econometrica 26, 24-36.
Welch, I., 1989, Seasoned offerings imitation costs, and the underpricing of initial public offerings, Journal of Finance 44, 421-449.
Welch, I., 1996, Equity offerings following IPO: Theory and evidence, Journal of Corporate Finance 2, 27-259.
Yang, Hong-Wen, 1997, The return of initial public offerings, working paper, National Chiao Tung University. (in mandarin)
Yun, S. J., 2002, The comparison of Mainland China and Taiwan primary stock market, working paper, National Cheng Kung University.
Zhang, Yu-Shen, 1996, The long-run performance and causes of initial public offering, working paper, National Cheng Chi University. (in mandarin)
Zhou, Shi-yoan, 1992, The empirical research for the price performance of initial public offering in Taiwan, working paper, Tamkang University. (in mandarin)
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：661（臺灣：656，外國：5） ／ 本年度總使用人次：1855660 ／ 訪客人次（自102年09月）：67670271
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上