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題名：媒體報導對初次上櫃股票的長期績效影響
作者：林芳宇
作者(外文)：Fang-Yu Lin
校院名稱：國立中央大學
系所名稱：財務金融學系
指導教授：沈信漢
學位類別：博士
出版日期：2016
主題關鍵詞：初次上市櫃；媒體報導；資訊不對稱
原始連結：連回原系統網址new window
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在初次上櫃之前，企業與投資者存在資訊不對稱問題，這時媒體扮演極為重要的資訊傳遞角色。然而，資訊傳遞是否有效一直是被廣泛討論的議題。本文以報導次數作為衡量媒體報導強度的指標，並運用2007年至2013年從興櫃市場轉至櫃買市場的個股，透過一年期長期績效驗證媒體在企業上櫃前的資訊傳遞是否有效。本文發現報導次數與長期績效的關聯性為負相關，而短期報酬與長期績效亦呈現負相關，隱含在上櫃前媒體報導會過度推升股價，促使個股股價會偏離基本價值。然而，欲強化報導次數與長期績效的關聯性，運用Amihud反流動性比率證實個股是因為嚴重的資訊不對稱因而造成報導次數與長期績效的負向關係。
Information asymmetry problem shows between issuing companies and investors before an enterprise lists in the over-the-counter market. However, it is widely discussed by researchers that whether information is disseminated efficiently or not. This paper takes coverage times as the strength of media coverage, and selects stocks which was registering on over-the-counter market from emerging stock market between 2007 and 2013, then uses one year long term return to confirm whether information can be conveyed by media effectively. This paper finds that both of the relation between coverage times and long term performance as well as the relation between short term return and long term performance were negative, it implies that media coverage will rise stock price sharply when stock was preparing to offer initial public offering (IPO) to public, then inducing stock price deviated far from fundamental value. Nevertheless, in order to verify relation between coverage times and long term performance, this paper use Amihud illiquidity ratio to affirm negative relation is due to serious information asymmetry.
參考文獻
﹝1﹞ Amiyatosh K. Purnanandam, Bhaskaran Swaminathan, “Are IPOs Really Underpriced?”, The Society for Financial Studies, 17(3), 811-848, 2004.
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﹝4﹞ David H. Solomon, “Selective Publicity and Stock Prices”, The Journal of Finance, 67(2), 599-637, 2012.
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﹝7﹞ Jay R. Ritter, Ivo Welch, “A Review of IPO Activity, Pricing, and Allocations”, The Journal of Finance, 57(4), 1795-1828, 2002.
﹝8﹞ Kevin ROCK, “Why New Issues Are Underpriced*”, Journal of Financial Economics, 15, 187-212, 1986.
﹝9﹞ Kenneth R. Ahern, Denis Sosyura, “Who Writes the News? Corporate Press Releases During Merger Negotiations”, Journal of Finance, 69(1), 241-291, 2014.
﹝10﹞ Lily Fang, Joel Peress, “Media Coverage and the Cross-section of Stock Returns”, The Journal of Finance, 64(5), 2023-2052, 2009.
﹝11﹞ Laura Xiaolei Liu, Ann E. Sherman, Yong Zhang, “The Long-Run Role of the Media: Evidence from Initial Public Offerings”, 2013.
﹝12﹞ Paul M. Healy, Krishna G. Palepu, “Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature”, Journal of Accounting and Economics, 31, 405–440, 2001.
﹝13﹞ Paul C. Tetlock, Maytal Saar-Tsechansky, Sofus Macskassy, “More Than Words: Quantifying Language to Measure Firms’ Fundamentals”, Journal of Finance, 63(3), 1437-1467, 2008.
﹝14﹞ Stijn Van Nieuwerburgh, Laura Veldkamp, “Information Immobility and the Home Bias Puzzle”, Journal of Finance, 64(3), 1187-1215, 2009.
﹝15﹞ Tim Loughran, Jay Ritter, “Why Has IPO Underpricing Changed Over Time?”, Financial Management, 5-37, 2004.
﹝16﹞ Utpal Bhattacharya, Neal Galpin, Rina Ray, Xiaoyun Yu, “The Role of the Media in the Internet IPO Bubble”, Journal of Financial and Quantitative analysis, 44(3), 657-682, 2009.
﹝17﹞ Yakov Amihud, “Illiquidity and stock returns: cross-section and time-series effects”, Journal of Financial Markets, 5, 31-56, 2002.

 
 
 
 
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