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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-shunHsu, 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 offeringsAbnormal returnsAuctionFixed-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:69
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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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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