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引文資料
題名:
解讀臺灣IPOs發行熱季之迷思
書刊名:
管理學報
作者:
陳安琳
/
盧正壽
/
高蘭芬
作者(外文):
Chen, An-lin
/
Lu, Cheng-shou
/
Kao, Lan-feng
出版日期:
2006
卷期:
23:6
頁次:
頁711-738
主題關鍵詞:
發行熱季
;
新公開發行公司股票
;
公開申購
;
Hot-issue anomaly
;
Initial public offerings
;
Fixed-priced offerings
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
6
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
6
共同引用:
113
點閱:49
IPOs發行家數及每個月IPOs平均初始報酬都出現顯著的自我相關,這是所謂IPOs發行熱季的異象。許多公司當觀察到最近市場上的IPOs,有高初始報酬後,也會跟隨著上市。本文研究發現,申請時市場上任何IPOs的初始報酬,與隨後申請的IPOs其未來上市或上櫃後的初始報酬無關。當申請IPOs發行前,市場報酬爲負時,則發行公司會將市場資訊完全反應在定價上,此時大部分的初始報酬,可由IPOs從申請到正式發行期間的資訊來解釋。這段時間中,如果市場報酬增加或投資人有超額需求時,IPOs的初始報酬也隨著增加。此外計畫發行IPOs的公司,會認爲市場對於最近的IPOs有好的評價,而選擇趕快申請上市上櫃,但卻無法預測到折價的程度。這就是爲什麽存在高IPOs初始報酬後,IPOs發行量也增加的原因。
以文找文
Ibbotson and Ritter (1995) indicate that there are three anomalies in IPO markets: IPO underpricing, IPO long-run underperformance, and hot-issue market. Contrary to most of the previous studies which focus on IPO underpricing or IPO long-run performance, this paper examines the existence of hot-issue phenomenon in Taiwan IPO markets. ”Hot-Issue anomaly” means that cycle exists in the both the IPO volume and IPO underpricing. Consequently, issuers tend to issue new equity to the public when faced with high average initial returns of IPOs. Ritter (1984) argues that IPOs in hot markets experience higher initial returns. Moreover, young IPOs experience more underpricing in hot markets. A possible explanation for hot-issue phenomenon is the positive feedback hypothesis: market investors positively react to IPO underpricing. When investors earn initial returns from IPOs, they are more likely to subscribe to future IPOs leading to the fact that issuers tend to issue when previous IPOs are more underpriced. Hot-issue is considered as an anomaly because underpricing or initial return is referred as an indirect cost of issuance. Issuers should try to reduce the extent of underpricing to raise IPO proceeds. From the point of view of maximizing proceeds, previous studies fail to explain the hot-issue anomaly in IPO markets. Ibbotson, Sindelar and Ritter (1994) show that IPO hot-issue phenomenon exists not only in U.S. market but also in Germany, South Korea, and U.K. markets. To make up this gap, this paper first tests if there exists hot-issue anomaly in Taiwan and then examines why hot-issue anomaly exists to provide an explanation to the anomaly. We find that IPO initial return leads IPO issuance. However, issuance of IPOs does not reduce the extent of underpricing of the followed up IPOs. We further show that IPO initial return is not related to the initial return of the followed up ones. The issuance of IPOs cannot be attributed to the information of initial returns of preceding IPOs. Rather, the market information between IPO filing date and IPO issuance date is the cause for the lead-lag relation between IPO initial return and IPO issuance. IPO offer price willfully reflect to the negative recent market return but simply partially to the recent positive market return. Most of the IPO initial return can be explained by the information revealed after offer price has been set implying that the offer price is set efficiently. The large amount of IPO volume following high IPO initial return can be attributed to the positive market reaction to the preceding IPOs instead of the filed IPO pricing of preceding IPOs. Our findings explain the hot-issue anomaly. During hot markets, investors' excess demand on IPOs leads to high initial returns of IPOs. Faced with investors' excess demand, issuers attempt to issue IPOs to take advantage of investors' sentiments to maximize IPO proceeds.
以文找文
期刊論文
1.
吳欽杉、許月瑜(20040900)。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。中山管理評論,12(3),535-572。
延伸查詢
2.
林象山、許清華(19970700)。新上市股承銷方式的選擇。中國財務學刊,5(1),19-41。
延伸查詢
3.
Grinblatt, Mark、Hwang, Chuan-Yang(1989)。Signaling and the Pricing of New Issues。The Journal of Finance,44(2),393-421。
4.
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。
延伸查詢
5.
Lowry, Michelle、Schwert, G. William(2002)。IPO Market Cycles: Bubbles or Sequential Learning?。The Journal of Finance,57(3),1171-1200。
6.
Stoughton, N. M.、Wong, K. P.、Zechner, J.(2001)。IPOs and Product Quality。The Journal of Business,74(3),375-408。
7.
Granger, C. W. J.(1969)。Investigation Causal Relations by Econometric Models and Cross-spectral Methods。Econometrica,37(3),424-438。
8.
Michaely, Roni、Shaw, Wayne H.(1994)。The Pricing of Initial Public Offerings: Tests of Adverse-Selection and Signaling Theories。Review of Financial Studies,7(2),279-319。
9.
Benveniste, L. M.、Ljungqvist, A. P.、Wilhelm, W. J.、Yu, X.(2003)。Evidence of Information Spillovers in the Production of Investment Banking Services。Journal of Finance,58(2),577-608。
10.
洪振虔、吳欽杉、陳安琳(20020400)。非理性投資行為對新上市股票價格績效之影響。管理評論,21(2),53-79。
延伸查詢
11.
Amihud, Yakov、Hauser, S.、Kirsh, A.(2003)。Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange。Journal of Financial Economics,68(1),137-158。
12.
Lowry, Michelle(2003)。Why does IPO volume fluctuate so much?。Journal of Financial Economics,67(1),3-40。
13.
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
14.
Ibbotson, Roger G.、Sindelar, Jody L.、Ritter, Jay R.(1994)。The Market's Problems with the Pricing of Initial Public Offerings。Journal of Applied Corporate Finance,7(1),66-74。
15.
胡德中、馬黛(20040300)。由承銷價低估、市價高估與股權結構觀點分析最適釋股策略與IPO折價。經濟論文,32(1),227-272。
延伸查詢
16.
Beatty, R. P.、Ritter, J. R.(1986)。Investment banking, reputation, and the underpricing of initial public offerings。Journal of Financial Economics,15(1/2),213-232。
17.
Carter, R. B.、Dark, F. H.、Singh, A. K.(1998)。Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks。Journal of Finance,53(1),285-311。
18.
Welch, Ivo(1992)。Sequential Sales, Learning, and Cascades。The Journal of Finance,47(2),695-732。
19.
馬黛、胡德中(20030400)。承銷配售機制之決定及其對IPO折價之影響:競價拍賣、詢價圈購與公開申購。財務金融學刊,11(1),1-40。
延伸查詢
20.
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。
21.
洪振虔、吳欽杉、陳安琳(20030200)。新上市公司股票刻意偏低定價之影響因素--隨機前緣模式的運用。管理學報,20(1),113-141。
延伸查詢
22.
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。
延伸查詢
23.
陳軒基、葉秀娟、陳右超(20030100)。承銷制度與折價幅度:臺灣初次上市櫃股票之實證分析(1980-2000)。證券市場發展,14(4)=56,175-198。
延伸查詢
24.
Aggarwal, Reena、Rivoli, Pietra(1990)。Fads in the initial public offering market?。Financial Management,19(4),45-57。
25.
Allen, Franklin、Faulhaber, Gerald R.(1989)。Signalling by Underpricing in the IPO Market。Journal of Financial Economics,23(2),303-323。
26.
Benveniste, Lawrence M.、Spindt, Paul A.(1989)。How Investment Bankers Determine the Offer Price and Allocation of New Issues。Journal of Financial Economics,24(2),343-361。
27.
Bradley, D. J.、Jordan, B. D.(2002)。Partial Adjustment to Public Information and IPO Underpricing。Journal of Financial and Quantitative Analysis,37(4),595-616。
28.
Carter, Richard R.、Manaster, Steven(1990)。Initial Public Offerings and Underwriter Reputation。The Journal of Finance,45(4),1045-1067。
29.
Tinic, Seha M.(1988)。Anatomy of Initial Public Offerings of Common Stock。Journal of Finance,43(4),789-822。
30.
Dickey, D. A.、Hasza, D. P.、Fuller, W. A.(1984)。Testing for Unit Roots in Seasonal Time Series。Journal of the American Statistical Association,79(386),355-367。
31.
Rock, Kevin(1986)。Why New Issues Are Underpriced?。Journal of Financial Economics,15(1/2),187-212。
32.
Hanley, Kathleen Weiss(1993)。The underpricing of initial public offerings and the partial adjustment phenomenon。Journal of Financial Economics,34(2),231-250。
33.
Ibbotson, Roger G.、Jaffe, Jeffrey F.(1975)。"Hot Issue" Markets。Journal of Finance,30(3),1027-1042。
34.
Ibbotson, Roger G.、Sindelar, Jody L.、Ritter, Jay R.(1988)。Initial public offerings。Journal of Applied Corporate Finance,1(2),37-45。
35.
Koh, Francis、Walter, Terry(1989)。A Direct Test of Rock's Model of the Pricing of Unseasoned Issues。Journal of Financial Economics,23(2),251-272。
36.
Logue, Dennis E.(1973)。On the Pricing of Unseasoned Equity Issues: 1965-1969。Journal of Financial and Quantitative Analysis,8(1),91-103。
37.
Loughran, Tim、Ritter, Jay R.(2002)。Why Don't Issuers Get Upset about Leaving Money on the Table in IPOs?。Review of Financial Studies,15(2),413-444。
38.
Rajan, Raghuram G.、Servaes, Henri(1997)。Analyst Following of Initial Public Offerings。The Journal of Finance,52(2),507-529。
39.
Lowry, Michelle B.、Schwert, G. William(2004)。Is the IPO Pricing Process Efficient?。Journal of Financial Economics,71(1),3-26。
40.
Pagano, Marco、Panetta, Fabio、Zingales, Luigi(1998)。Why do companies go public? An empirical analysis。Journal of Finance,53(1),27-64。
41.
Persons, John C.、Warther, Vincent A.(1997)。Boom and Bust Patterns in the Adoption of Financial Innovations。The Review of Financial Studies,10(4),939-967。
42.
Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1991)。Investor Sentiment and the Closed-End Fund Puzzle。The Journal of Finance,46(1),75-109。
43.
林象山(19950700)。承銷商信譽對新上市股票之影響。中國財務學刊,3(1),119-143。
延伸查詢
44.
Megginson, William L.、Weiss, Kathleen A.(1991)。Venture capitalist certification in initial public offerings。Journal of Finance,46(3),879-903。
45.
Ritter, Jay R.(1991)。The Long-run Performance of Initial Public Offerings。Journal of Finance,46(1),3-27。
46.
Baron, D. P.(1982)。A model of the demand for investment banking advising and distribution services for new issues。Journal of Finance,37(4),955-976。
47.
Ritter, Jay R.(1984)。The "Hot Issue" Market of 1980。Journal of Business,57(2),215-240。
48.
Welch, Ivo(1989)。Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings。Journal of Finance,44(2),421-449。
49.
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研究報告
1.
Agarwal, S.、Liu, C.、Rhee, S. G.(2004)。Investor Demand for IPOs and Aftermarket Performance: Evidence from the Hong Kong Stock Market。The University of Hawaii。
2.
Lin, J. C.、Lee, Y. T.、Liu, Y. J.(2003)。What Is IPO Auctions' Weakness?。The Louisiana State University。
圖書
1.
Ibbotson, R. G.、Ritter, J. R.(1995)。Initial Public Offerings。Handbooks of Operations Research and Management Science。沒有紀錄。
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