- 學位論文
承銷商包銷現金增資股票的操作績效
The Trading Performance of Underwriters in the SEO Aftermarket
若您是本文的作者，可授權文章由華藝線上圖書館中協助推廣。
摘要
此篇文章研究台灣2000年到2003年間，有關承銷商包銷現金增資股票的交易行為與操作績效。與前人文獻不同的地方在於，我們是以承銷商的觀點來探討其操作報酬而不是個股本身的報酬。研究發現主辦承銷商相對於協辦承銷商有較大的影響力，且在增資新股後的前幾週有較佳的操作績效。不管怎樣類型的承銷商，只有前幾週的利潤與報酬顯著大於0，顯示增資新股當日的報酬是影響承銷商獲利的主要原因。此外，我們發現承銷商的操作績效明顯優於原始個股的表現，顯示承銷商有較佳的擇時能力。期初報酬與每股盈餘 (EPS) 可以用來解釋承銷商的操作績效；主辦承銷商與愈高的認購比率將會使承銷商持有承銷股票較長的期間。
並列摘要
This study examines the relationship between the aftermarket trading behavior and operating achievements of underwriters, by using the seasoned equity offerings issued in Taiwan from 2000 to 2003. Strong evidence reveals that lead underwriters have larger influence than co-managers. In addition, lead underwriters have better trading performance than co-managers only for the first several weeks. No matter what kinds of underwriters’ cumulative profits, buy-and-hold return, and wealth relative are significantly positive in the first several weeks. The first several weeks’ superior performance seems to be in virtue of underpricing. We find that EPS and initial return can interpret the cumulative profits. We find out that only initial return could explain the buy-and-hold returns and wealth relative. Lead underwriters, higher syndicate retention rate, and higher turnover rate can lead to the longer holding periods.
參考文獻
Barber, Brad and Terrance Odean, 2000, Trading is hazardous to your wealth: the common stock investment performance of individual investors, the Journal of Finance55, 773-806
Carter, Richard, Frederick Dark, and Ajai Singh, 1998, Underwriter reputation, initial returns, and the long-run performance of IPO stocks, the Journal of Finance 53, 285-311
Corwin Shane, and Paul Schultz, 2005, The role of IPO underwriting syndicates: pricing, information production, and underwriter competition, the Journal of Finance 60, 443-487
Ellis, Katrina, Roni Michaely, and Maureen O’Hara, 2000, When the underwriters is the market maker: an examination of trading in the IPO aftermarket, the Journal of Finance 55, 1039-1074
Kahneman, Daniel and Amos Tversky, 1979, Prospect theory: an analysis of decision under risk, Econometrica 47, 263-291