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題名:Examination the Long-Run Performance of Taiwanese Initial Public Offerings
書刊名:International Journal of Information and Management Sciences
作者:Cheng,Shuenn-renShiu,Cheng-yi
出版日期:2005
卷期:16:2
頁次:頁17-34
主題關鍵詞:Initial public offeringsIPOsLong-run performanceEvent-time analysisCalendar-time analysis
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:52
  • 點閱點閱:21
Previous works have documented that the Taiwanese initial public offerings do not have long-run underperformance. This study demonstrates that the failure of existing studies to detect underperformance is attributed to the use of daily data, which leads to the systematic risk being underestimated, and also to the right-skewed distribution of returns. This study employs monthly trimmed return to calculate the buy-and-hold excess return and cumulative abnormal return, and finds a negative three-year abnormal return. Moreover, the calendar-time analyses of one-factor and three-factor models suggest that investors holding Taiwanese IPO shares suffer a 19% loss relative to their benchmark performance of the Taiwan stock market. This study concludes that Taiwanese IPOs suffer long-run underperformance.
期刊論文
1.Brav, Alon、Geczy, Christopher、Gompers, Paul A.(2000)。Is the Abnormal Return Following Equity Issuances Anomalous?。Journal of Financial Economics,56(2),209-249。  new window
2.陳安琳(19990900)。系統風險變動下新上市公司股票的長期報酬行為:遞迴迴歸之應用。管理學報,16(3),535-556。new window  延伸查詢new window
3.Gompers, Paul A.、Lerner, Josh(2003)。The Really Long-run Performance of Initial Public Offerings: The Pre-NASDAQ Evidence。Journal of Finance,58(4),1355-1392。  new window
4.夏侯欣榮(19970400)。新上市股票長期績效之實證研究。Proceedings of the National Science Council. Part C, Humanities and Social Sciences,7(2),260-275。  延伸查詢new window
5.Ljungqvist, A. P.、Wilhelm, W. J.(2003)。IPO pricing in the Dot--com Bubble: Complacency or Incentives?。The Journal of Finance,58,723-752。  new window
6.陳安琳(20011200)。The Long-Run Performance Puzzle of Initial Public Offerings in Taiwan: Empirical Findings from Various Models。財務金融學刊,9(3),1-20。new window  new window
7.Loughran, Tim、Ritter, Jay R.(2000)。Uniformly Least Powerful Tests of Market Efficiency。Journal of Financial Economics,55(3),361-390。  new window
8.Fama, Eugene F.、French, K. R.(1998)。Market Efficiency, Long-Term Returns, and Behavioral Finance。Journal of Financial Economics,49(3),283-306。  new window
9.顧廣平(20030400)。臺灣新上市股票短期與長期績效之再探討。證券市場發展,15(1)=57,1-39。new window  延伸查詢new window
10.Brav, A.、Gompers, P. A.(1997)。Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies。Journal of Finance,52(5),1791-1821。  new window
11.Loughran, Tim、Ritter, Jay R.(1995)。The New Issues Puzzle。The Journal of Finance,50(1),23-51。  new window
12.Ritter, Jay R.(1991)。The Long-run Performance of Initial Public Offerings。Journal of Finance,46(1),3-27。  new window
13.Lyon, John D.、Barber, Brad M.、Tsai, Chih-Ling(1999)。Improved Methods for Tests of Long-Run Abnormal Stock Returns。Journal of Finance,54(1),165-201。  new window
14.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
15.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
16.Levy, H.、Levhari, D.(1977)。The Capital Asset Pricing Model and the Investment Horizon。The Review of Economics and Statistics,59,92-104。  new window
17.Handa, P.、Wasley, C.、Kothari, S. P.(1989)。The Relation between the Return Interval and Betas: Implications for the Size Effect。Journal of Financial Economics,23,79-100。  new window
18.Schultz, Paul(2003)。Pseudo Market Timing and the Long-run Underperformance of IPOs。Journal of Finance,58(2),483-518。  new window
研究報告
1.Lu, Yicheng、楊美玉、徐燕山、徐政義(2003)。The Effects of Public Information on IPO Underpricing and the Long-run Performance。  new window
 
 
 
 
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