台灣地區新上市股票短期與長期價格行為

全文

(1)

(2)

(3) The Short-Run and Long-Run Returns of Initial Public Offerings in Taiwan

(4) !"#$ %&'()*+,-./01230456

(5) !"#

(6) $%& ' !"(

(7) $%)*+,-./0 $%

(8) 123 45

(9) 67

(10) 89 :;<& => ?@ ABC )/0 ' $%

(11) 12DE.FGHIJK L

(12) 67M3NOP- QRSTUVWXYZ[&\ ]^0_`abc d<

(13) ef ). returns for long-run performance. The reasons causing IPOs’ long-run poor performance are still developing, but two explanations, namely the investors are too optimistic for the future earnings of IPOs’ firms and the managers successfully use the opportunity of overpricing to go public, has been proposed... ghijk=*+lmno pqrs tuv=wxy Cz){|}~

(14) zrs`. $%=02

(15) ' ). Keywords: initial public offerings(IPOs) short-run abnormal returns long-run abnormal returns.. : Ə $%. $%'. Abstract Researches related to the study of initial public offerings pointed out two abnormal phenomenon: 1. There is significantly positive abnormal returns for shot-run price behavior. Two possible explanations to cause IPOs’ short-run abnormal retruns: IPOs are underpricing and initial prices of IPOs are not true prices. 2. There is significantly negative abnormal. We will propose hypotheses that are suitable for description of the characteristics of Taiwan stock market by referring related studies and do empirical study. We intend to achieve the following two objectives: the reasons of IPOs’ short-run abnormal returns will be systematically searched. The IPOs’ long-run price behavior in Taiwan will be tested..

(16) Vo,

(17) Cz ! #

(18) $ %^lm]6 7).

(19) Cz M! #

(20) $%-

(21) 12¡¢K }~

(22) £]¤z)2g¥¦h§¨ $% 02=*+©{ª£ijk=*+ «mpqrs tuv=wx yCz).

(23) ¬czC #

(24) $%®^¯° ' eM& ±--² ' (

(25) $%³´ . µ

(26) ' NO¶·!"¸¢

(27) )¹º» ¼ ½ Loughran and Ritter(1995)

(28) ,Z ¾ ²D¿ À Á³)JKÂÃ

(29) 67Ä2.NOP S

(30) ÅVWXYÆQRa b d<

(31) ef Z[). D¡¢2gÇÈ zrs`

(32) ¿É½Ê Ë

(33) ' 67Ì) Íqg*

(34) Î

(35) n}~

(36) zrs $%

(37) 0 2n ' )yJÏÐZÑÒÓ.-rs. t

(38) Ô6) g*ÕƋ

(39) k*+,£] moÖÀpqrs tuv

(40) wx ×Ø½Ù wx 1 $%¤89 Ú

(41) ÛÜ Ý( k(cf.Carter and Manaster(1990))) À w x ¿ j Þ ß à (adverse-selection)

(42) YáâJ{ÙãÀ wxä¿Õåæ(signaling model),ç m) wx 2 $%¤Q R W

(43) TU¶·Ý#k ) wx 3 $%¤Q R W

(44) aèéÝ#k ) wx 4 $%¤Q R ê ë ì Ý # k (cf. Grinblatt and Hwang(1989))). &j. k-.. J¾íKî=QRJí ·ïðñòîí óKd=$ %ôõö÷ø=ò£$%Dù )2í·ïÆúÓ.67. = $%wx½Ù wx 5 $%¤Q RíÝ(k)(cf.ûü ýþú(1995)) gª*+,Zlm 4567 $%

(45) wx ½Ù wx 6 $%¤Q R Ý(k)(cf.Carter & Manaster(1990), Affleck-raves, Hegde , Miller, Reilly (1993)) wx 7 $%¤ 89 Ý(k) (cf. Affleck-Graves, Hegde, Miller and Reilly(1993)Drake and Vetsuypens(1993) Michaely and Shaw(1994)) .67 '

(46) wxgä

(47) b Aggarwal and Rivoli(1990)

(48) NOPVWXYwx - 'þ

(49) y ) wx 8 1$%¤' $ % Ý ( k ) (cf. Aggarwal and Rivoli(1990)) J\]^0_ßà d< ef =wxä wx 9

(50) 89 ¤. tÖÝ#k)(cf. Loughran, Ritter and Rydqvist(1994)) wx 10

(51) 89 ¤. µ=' $%Ý(k ) (cf. Ritter(1991), Loughran, Ritter and Rydqvist (1994)).

(52) *+,4567' $%

(53) 12½89ÚÛÜþTU ¶·þ aèéþQRëìþí·ïþ QR ¤89 kwx½Ù. ./05567¿»4·ï8Æ¿ 9·ï:ù);<^ä4y»4=

(54) >K;µ^ä4y?=

(55) >K). wx 11 ' $%¤8 9 Ú ÛÜ Ý# k ) (cf. Aggarwal and Rivoli(1990)). . $%

(56) 12¯° wxCz,)%4{ * +. @89ÚÛÜ¤89

(57) C zÒï¤*+

(58) A kÊÛÜKB

(59) 89ÚZ89

(60) = $%!";.jÛÜKCµ

(61) 89Ú 89=

(62) D $%) E½ W

(63) TU¶·(CzÒï (k)þ aè é(CzÒï (k )þê ëì(CzÒï(k)þQR í(CzÒï#k)¤QR (Cz Òï#k)

(64) CzÒïF¤*+

(65) A k1-#!", W

(66) TU¶·þ aèé¤ê ëì

(67) C zÒï=Z{.45G2. 89

(68) HIQ¤ØJ.ÖK .QRíþQR

(69) CzÒï =Z{.ä45¿»4·ï

(70) L). wx 12 ' $%¤Q R W

(71) TU¶·Ý# k) wx 13 ' $%¤Q R W

(72) aèéÝ# k) wx 14 ' $%¤Q Rê ëìÝ#k wx 15 ' $%¤Q RíÝ(k)(cf.ûüýþ úþ(1995)) wx 16 ' $%¤Q R Ý # k ) (cf. Ritter(1991), Loughran and Ritter(1995), Spiess and Affeck-Graves(1995)) wx 17 ' $%¤

(73) 89 Ý ( k )(cf.Ritter(1991), Spiess and Affeck-Graves(1995)) .(lawsuit avoidance hypothesis) þ ò £

(74) (partial adjustment phenomenon){89Ú ! "

(75) 672#pb.HIrs t=?@íä¤uv$gShÌ %ß&.wx=,) ÕCzÒï'(,)%4{ *+. , þ' - !"#

(76) $%, $%

(77) ./0¤ kÊJ' $%

(78) ./0ä¤ k1)' $%¹ºm#Ê

(79) ./02 3ij¯»4

(80) ' $%. &' $%

(81) 12¯° wxCz,)%4{ * +. ,89ÚÛÜMÛÜKB

(82) 89ÚZ89

(83) =D' $%!"d.jÛÜKCµ

(84) 89 Ú89=

(85) D $ %Nþ W

(86) TU¶·(CzÒï( k)þ aèé(CzÒï(k)þê. ëì(CzÒï(k)þQRí(C zÒï(k)þQR (CzÒï# k)¤89 (CzÒï(k)

(87) C zÒï-¤*+

(88) A kÊD -#!"! *+. õù º»4·ï' J¾ »4·ïºOP2' Qº RÄS) ,*.

(89) 1. TU;jº¥V¥Yá). =WxX 79 4 Y). 13. ) $%= mn ZSm[\] *X 79 1 Y). 2. Zyrs` NO $%=rsÚZS m[\]*X 68 6 Y). . 3. ^_`rs $%=C zèaº¥ZSm[\ ]*X 85 6 Y). 1. 2.Aggarwal, Reena and Pietra Rivoli, 1990, Fads in the initial public offering market? Financial management 19,45-57.. 4. ûüýþú(1995)²r s bcdí·ï?e"b

(90) 6(³

(91) 5:173f82). *. 2.. 5. ghirs t NO $%¤ t·v=èa j4\]ZSm[\]*X 68 6 Y). 3.Affleck-Graves, John, Shantaram P. Hegde, Robert E. Miller, and Frank K. Reilly, 1993, The effect of the trading system on the underpricing of initial public offerings, Financial management 22., 99-108.. 3.. 6. k]l) QR ¶· =mn\]oZSm [\]*X 81 6 Y). 4.Allen, F., and G. Faulhaber, 1989, Signaling by underpricing in the IPO market, Journal of Financial Economics 23, 303-323.. 4.. 7. pqrrs $%=¯ °èaj4\]ZSm[\ ]*X 78 6 Y). 5.Baron, David P., 1982, A model of the demand for investment banking advising and distribution services for new issues, Journal of Finance 37,955-976.. 5.. 6.Carter, R., and S. Manaster, 1990, Initial public offering and underwriter reputation, Journal of Finance 45, 1045-1067.. 6.. 7.Conrad, Jennifer, and Gautan Kaul, 1993, Long-term market overreaction or biases in computed returns? Journal of Finance 48, 39-63.. 7.. 8.Dimson, Elroy, and Paul Marsh, 1986, Event study methodologies and the size effect: The case of U.K. press recommendations, Journal of Financial Economics 17, 113-142.. 11. * $%=?ó \] o ZS m[ \ ] *X 76 6 Y). 8.. 9.Dharan, Bala G., and David L. Ikenberry, 1995, The long-run negative drift of post-listing stock returns, Journal of Finance 50, 1547-1574.. 12. {|}]vA ])89~ Wèaº¥ZSm[\] *X 83 7 Y). 9. 10.Drake, Philip D., and Michael R. Vetsuypens, 1993, IPO underpricing and insurance against legal liability, Financial Management 22, 64-73.. 8. stu) ¤' ¶·=èaº¥ZS m[\]*X 85 6 Y) 9. vwxþy*z{|}. 89~W

(92) q]v¤q]íz tÅ 23 X 83 7 Y) 10. y ¯°, »4öZSm[\] *X 76 6 Y).

(93) 10. 11.Grinblatt, M., and C. Hwang, 1989, Signaling and the pricing of new issues, Journal of Finance 44, 393-420. 11. 12.Hanley, Kathleen Weiss, 1993, The underpricing of initial public offerings and the partial adjustment phenomenon, Journal of Financial Economics 34, 231-250. 12. 13.Ikenberry David, Josef Lakonishok, and Theo Vermaelen, 1995, Makret underreaction to open market share repurchases, Journal of Financial Economics 39, 181-208. 13. 14.Jain, Bharat A., and Omesh Kini, 1994, The post-issue operating performacne of IPO firms, Journal of Finance 49, 1699-1726. 14. 15.Jegadeesh, N., Mark Weinstein, and Ivo Welch, 1993, A empirical investigation of IPO returns and subsequent equity offerings, Journal of Financial Economics 34, 153-175. 15. 16.Loughran, Tim, and Jay R. Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-51. 16. 17.Loughran, Tim, Jay R. Ritter, and Kristian Rydqvist, 1994, Initial public offerings: International insights, Pacific-Basin Finance Journal 2, 165-199. 17. 18.Michaely, Roni, and Wayne H. Shaw, 1994, The pricing of initial public offerings: Tests of adverse-selection and signaling theories, The Review of Financial Studies 7, 279-319. 18. 19.Ritter, Jay R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3-27. 19. 20.Rock, K., 1986 Why new issues are underpriced, Journal of Financial Economics 15, 187-212 20. 21.Ruud, Judith S., 1993., Underwriter price support and the IPO underpricing puzzle, Journal of Financial Economics 34, 135-151.. 21. 22.Spiess, D. Katherine, and John Affeck-Graves, 1995, Underperformacne in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243-267. 22. 23.Welch, Ivo, 1989, Seasoned offerings, imitation costs and the underpricing of initial public offerings, Journal of Finance 44, 421-449. 23..

(94)