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題名：以修正投資組合再檢測新上市公司股票之長期績效
書刊名：經營管理論叢
作者：陳振遠 引用關係／王朝仕 引用關係／湯惠雯 引用關係
作者(外文)：Chen, Roger C. Y.／Wang, Chao-shi／Tang, Hui-wen
出版日期：2007
卷期：3:2
頁次：頁59-76
主題關鍵詞：新上市公司股票；長期績效；Fama-French三因子模式；動能；流動性；Initial public offerings；IPOs；Long-term performance；The Fama-French three factors model；Momentum；Liquidity
原始連結：連回原系統網址new window
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  • 共同引用共同引用:54
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過去對IPO公司股票長期績效之研究，大多採用市場調整模式或Fama-French三因子模式，但在其投資組合的建構過程中，並未排除IPO公司短期異常報酬的影響。因此，本研究為避免此一短期現象干擾IPO公司股票長期異常報酬之衡量，乃以修正後之投資組合建構模式，重新檢視其長期報酬之異常現象。實證結果發現，藉由長期投資組合在建構方法上之修正，明顯增加Fama-French三因子模式的解釋能力。此外，在控制動能因子與規模因子後，IPO公司之五年長期績效與配對公司相比，並無顯著低落的現象。
期刊論文
1.Brav, A.(2000)。Inferences in Long-horizon Event Studies: a Bayesian Approach with Applications to Initial Public Offerings。Journal of Finance，55(5)，1979-2016。  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.Hirshleifer, D.、Thakor, A.(1994)。Managerial Performance, Boards of Directors and Takeover Bidding。Journal of Corporate Finance，1，63-90。  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.Baron, D. P.(1982)。A Model of the Demand for Investment Bank Advising and Distribution Services for New Issues。Journal of Finance，37(4)，955-976。  new window
6.Brennan, M. J.、Chordia, T.、Subrahmanyam, A.(199809)。Alternative Factor Specifications, Securities Characteristics, and the Cross-section of Expected Stock Returns。Journal of Financial Economics，49(3)，345-373。  new window
7.Chen, Anlin、Chen, Roger C. Y.、Pan, Kuei-ling(20020600)。The Performance of Initial Public Offerings Conditioning on Issue Information: The Case of Taiwan。Asia Pacific Management Review，7(2)，167-189。new window  new window
8.Datar, V. T.、Naik, N. Y.、Radcliffe, R.(1998)。Liquidity and Stock Returns: An Alternative Test。Journal of Financial Markets，1(2)，203-219。  new window
9.Firth, M.(1997)。An analysis of the stock market performance of new issues in New Zealand。Pacific-Basin Finance Journal，5(1)，63-85。  new window
10.Ruud, Judith S.(1993)。Underwriter Price Support and the IPO Underpricing Puzzle。Journal of Financial Economics，34(2)，135-151。  new window
11.Barber, Brad M.、Lyon, John D.(1997)。Detecting long-run abnormal returns: The empirical power and specification of test statistic。Journal of Financial Economics，43，341-372。  new window
12.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies，1(1)，3-40。  new window
13.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
14.Loughran, Tim、Ritter, Jay R.(2000)。Uniformly Least Powerful Tests of Market Efficiency。Journal of Financial Economics，55(3)，361-390。  new window
15.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
16.Aggarwal, Reena、Rivoli, Pietra(1990)。Fads in the initial public offering market?。Financial Management，19(4)，45-57。  new window
17.Tinic, Seha M.(1988)。Anatomy of Initial Public Offerings of Common Stock。Journal of Finance，43(4)，789-822。  new window
18.Rock, Kevin(1986)。Why New Issues Are Underpriced?。Journal of Financial Economics，15(1/2)，187-212。  new window
19.Loughran, Tim、Ritter, Jay R.、Rydqvist, Kristian(1994)。Initial Public Offerings: International Insights。Pacific-Basin Finance Journal，2(2/3)，165-199。  new window
20.Brennan, Michael J.、Subrahmanyam, Avanidhar(1996)。Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns。Journal of Financial Economics，41(3)，441-464。  new window
21.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics，9(1)，3-18。  new window
22.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns of stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
23.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
24.Ibbotson, Roger G.(1975)。Price performance of common stock new issues。Journal of Financial Economics，2(3)，235-272。  new window
25.Loughran, Tim、Ritter, Jay R.(1995)。The New Issues Puzzle。The Journal of Finance，50(1)，23-51。  new window
26.Ritter, Jay R.(1991)。The Long-run Performance of Initial Public Offerings。Journal of Finance，46(1)，3-27。  new window
27.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。  new window
28.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
29.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。  new window
30.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance，40(3)，793-805。  new window
31.Crutchley, C. E.、Garner, J. L.、Marshall, B. B.(2002)。An Examination of Board Stability and the Long-term Performance of Initial Public Offerings。Financial Management，31(3)，63-90。  new window
研究報告
1.Berkowitz, J.(20000912)。Incorporating Liquidity Risk into Value-at-Risk Models。Irvine：Graduate School of Management, University of California。  new window
2.Eckbo, B. Espen、Norli, Oyvind(2002)。Liquidity Risk, Leverage and Long-Run IPO Returns。  new window
3.Cotter, J. F.(1996)。The Long-Run Efficiency of IPOs。University of Iowa。  new window
4.Mak, Y. T.、Ong, P. F.(1999)。Changes in Ownership Structure and Board Structure after an Initial Public Offering。National University of Singapore。  new window
學位論文
1.李韻梅(2001)。改進模型檢定力之新上市股票長期價格行為之研究(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.Basle Committee on Banking Supervision(1999)。Market Liquidity: Research Findings and Selected Policy Implications。CGFS Publications。  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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