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題名：新舊承銷制度下首次公開發行股票異常報酬率之比較研究
書刊名：中山管理評論
作者：吳欽杉／許月瑜 引用關係
作者(外文)：Wu, Chin-shun／Hsu, Yueh-yu
出版日期：2004
卷期：12:3
頁次：頁535-572
主題關鍵詞：首次公開發行；異常報酬率；競價拍賣；公開申購配售；Initial public offerings；Abnormal returns；Auction；Fixed-price
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(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:62
  • 點閱點閱:70
本研究以1989年11月起至2004年4月之間，在臺灣辦理首次公開發行股票，而後又獲准在臺灣證券交易所集中市場掛牌買賣的227家公司為對象，進行公開發行後掛牌買賣的價格表現。本研究發現，全部樣本、依不同配售制度而分組各子樣本的平均初期異常報酬率都顯著高於0。若持有新股滿280個營業日，長期異常報酬率經平減初期異常報酬率後則皆為負數。若再以掛牌年度或產業別加以比較，也普遍存在相似的現象。本研究還發現，臺灣發行市場並未出現所謂的熱賣市場，不過初期異常報酬率有逐年遞減的趨勢。以多元迴歸分析各種制度的初期異常報酬率，發現主要的影響因素包括後市系統風險系數、後市殘差風險，發行價格、中籤率、董監事持股比率等，同樣的解釋變數對於長期異常報酬率的解釋並不理想。在新制度適用期間部分採取競價拍賣的IPOs，初期異常報酬率顯著高於完全採取公開申購者；而舊制度適用期間採取公開申購的IPOs，初期異常報酬率也顯著高於新制度適用期間完全採取公開申購者。因此，本研究推論臺灣股票首次公開發行市場存在自我選擇效果。
期刊論文
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46.Barry, C. B.(1989)。Initial Public Offering Underpricing: The Issuer's View - A Comment。The Journal of Finance，44(4)，1099-1103。  new window
47.Chua, L.(1995)。A reexamination of the costs of Firm commitment and best efforts IPOs。Financial Review，30(2)，337-365。  new window
48.Finn, F. J.、Higham, R.(1988)。The Performance of Unseasoned New Equity-issues-cum-stock Exchange Listings in Australia。Journal of Banking & Finance，12(3)，333-351。  new window
49.Houge, T.、Loughran, T.(1999)。Growth fixation and the performance of bank initial public offerings, 1983-1991。Journal of Banking & Finance，23(8)，1277-1301。  new window
50.Kim, Jeong-Bon、Krinsky, I.、Lee, Jason(1995)。The role of financial variables in the pricing of Korean initial public offerings。Pacific-Basin Finance Journal，3(4)，449-464。  new window
51.Lam, Swee-Sum、Yap, Winnie(1998)。Pricing system and the initial public offerings market: A case of Singapore。International Review of Economics and Finance，7(3)，297-313。  new window
52.Lee, Philip J.、Taylor, S. L.、Walter, T. S.(1996)。Australian IPO pricing in the short and long run。Journal of Banking & Finance，20(7)，1189-1210。  new window
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學位論文
1.林博泰(1991)。股票新上市超額報酬持久性之研究(碩士論文)。國立台灣大學。  延伸查詢new window
圖書論文
1.顏吉利、劉恩棠(1994)。論新上市股票股東之報酬：短期現象乎？長期現象乎？。中國財務學會論文集。  延伸查詢new window
 
 
 
 
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