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題名：投資人情緒與新上市公司股票績效之研究
作者：王朝仕 引用關係
作者(外文)：Chao-Shi Wang
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：陳振遠
學位類別：博士
出版日期：2006
主題關鍵詞：狂熱；長期績效；資訊不對稱；新上市公司股票；情緒；information asymmetry.；fads；investors’sentiment；long-term performance；initial public offerings
原始連結：連回原系統網址new window
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中文摘要
本文以投資人行為觀點檢視IPOs 績效，並區分為二個主題討論之。第一個主題討論投資人情緒因素。本主題根據心理學的論述，首次建立投資人情緒風險因子的衡量方法，並進而探討投資人情緒是否能解釋IPOs 績效的異常現象。實證結果顯示，就短期而言，投資人在承擔情緒變化而可能導致獲利水準產生大幅波動的情況下，其是能獲得補償的；然而在長期下，投資人因已無須承擔因情緒變化所導致的風險，則亦無法獲得風險溢酬的補償。再者，若能於Fama-French 三因子模式中另加入投資人情緒風險因子，則能更完整地解釋IPOs 短期正向超額報酬，但卻無助於解釋其長期績效。由上述結果可知，投資人情緒對IPOs 績效之影響為暫時性的。
第二個主題討論投資人狂熱因素。本主題嘗試建構投資人狂熱的衡量指標，以檢測狂熱行為與IPOs 績效的關係。實證結果顯示，狂熱投資人會在IPOs 上市首日開盤時積極追價，但卻將面對收盤績效表現不如開盤的情況。其次，投資人愈狂熱的IPOs，雖然其上市初期績效表現較佳，但此類股票較不利長期持有；相對的，上市首日開盤表現不佳的IPOs，持有較長期間始有獲利機會。進一步探討投資人對IPOs 產生狂熱行為的原因，結果發現市場時機與中籤率對投資人狂熱皆具有顯著影響。此外，IPOs 上市初期的市場資訊不對稱程度頗高；在此情況下，亦可能導致投資人錯誤評估IPOs 績效而產生狂熱行為。關鍵字：新上市公司股票，長期績效，情緒，狂熱，資訊不對稱。
ABSTRACT
This research investigates IPOs performance through the aspect of investor behavior and analyzes in two parts. The first part discusses investors’sentiment.Combining the psychology theory, this paper firstly sets up a measure of sentiment risk for the investor then probes the relation of abnormal returns on IPOs performance and investors’sentiment. The empirical results show that investors get compensated returns for taking the volatility risk of short-term fluctuation in profit. In the long-term,on the contrary, the risk premium does not necessarily exist ecause investors no longer suffer from such fluctuation. To add the measure of sentiment risk in the Fama-French three factors model can construct a more completed picture to explain the abnormal initial return on IPOs performance but still fail to solve the puzzle of poor long-term return on IPOs. Grounded on above concept, the effect of investors’sentiment on IPO performance maintains momentary.
The second part discusses fads. I try to develop a measure of fads to evaluate the relation between such passion and the performance of IPOs. The empirical results indicate that those investors will chase high opening price on the first day of IPO but fall victim to low closing price. Additionally, some hot issues perform better in the initial period but underperform in the long-term. ositely, other IPOs with relatively low initial returns perform superior in the long-term. Deconstructing the reasons of fads for IPOs, this research reveals that market timing and the allotment of shares play essential role in vestor’s fad. Furthermore, misevaluation resulting from high degree of information asymmetry in the initial period of IPO may lead to such fads.
Keywords: initial public offerings, long-term performance, investors’sentiment,fads, information asymmetry.
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