投資人情緒與初次上市櫃公司承銷價及長短期績效之關連性

The Relationship Among Investor Sentiment, Offer Price, Initial Return, and Long-Run Performance of IPOs.

林子敬(Zih-Jing Lin)

指導教授 ： 陳薇如

淡江大學/管理學院/會計學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00417

摘要

本研究探討投資人情緒如何影響初次上市櫃（IPO）公司之承銷價與長短期績效。過去多數學者認為投資人情緒會影響股價報酬，本研究將透過行為財務學的觀點，探討投資人情緒是否會影響台灣IPO公司承銷價訂定及長短期績效的表現。
本研究利用直接與間接性情緒衡量指標衡量散戶投資人情緒，而投資人情緒影響IPO公司承銷價訂定與長短期績效表現的時間點，則是分為承銷價訂定日前情緒與初次上市櫃日前情緒，我們將國內直接投資人情緒變數與學者常使用的間接性投資人情緒變數以主成份分析法建構投資人情緒之總指標，將此總指標與承銷價及長短期報酬進行OLS迴歸分析，以了解承銷價的訂定及上市後的長短期報酬是否受到投資人情緒影響。實證結果顯示，投資人情緒與IPO公司承銷價訂定與期初報酬均呈正向關係，都說明了兩者都可被投資人情緒所解釋，使IPO公司在政策制定上有所依據。而在長期績效部份，研究結果顯示長期績效無法受到投資人情緒影響。

關鍵字

投資人情緒 ； 初次上市櫃公司 ； 主成份分析 ； 承銷價 ； 期初報酬 ； 長期績效

並列摘要

In this paper, we examine the relationship among investor sentiment, offer Price, initial return, and long-run performance of IPOs in Taiwan. Most prior studies considered investor sentiment would affect stock return. We will refer to the view of Behavior Finance to explore the effect of IPO price, initial return and long-run performance on investor sentiment.
We use direct and indirect sentiment proxy variables to measure individual investor sentiment and use Principal Component Analysis to build two indicators. One is investors’ sentiment index before setting of offer price date; another is investors’ sentiment index before IPO date to discuss the connection among individual investor sentiment, offer Price, initial return, and long-run performance of IPOs. The empirical results show that the relation among individual investor sentiment, offer price, and IPO initial return are positive. The investors’ sentiment can explain the offer price and IPO initial return. This result can offer IPO firm to make a strategic decision. In term of the long-run performance of IPO, the empirical results showed that long run performance were not affected by individual investor sentiment.

並列關鍵字

Investor sentiment ； IPO ； offer price ； initial return ； Long-Run Performance

參考文獻

陳安琳，2001，「各種衡量模型下新上市公司股票的長期報酬」，中國財務學刊，第九卷第三期，1-20。

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