臺灣IPO股票短期與長期異常報酬現象之研究

Study on the Short- and Long-Run Abnormal Return of Taiwanese IPO Stock

劉臻欣(Sean-Liu)

指導教授 ： 陳達新

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2011年)

摘要

首次公開發行在上市初期是否存在短期折價現象和長期低度績效一直是學者研究的課題。無論國內外的研究皆發現，從首次公開上市公司的股價到上櫃初期的股票確實有都異常報酬現象存在。而部分文獻指出IPO會有長期低度績效，但部分文獻亦指出長期低度績效的結果並不顯著。因此，本研究即檢驗了臺灣股票市場上首次公開發行公司是否存在短期折價效果和長期異常報酬現象。此次的研究樣本選取了2000年1月到2007年12月之間首次在臺灣證券交易所掛牌上市之公司。並以事件研究法研究IPO公司在首次公開發行第一年內的短期異常報酬和購買後持有前五年之長期股價績效來驗證IPO長期績效，其實證結果如下：
在短期折價效果方面，本研究發現無論公司淨值規模大小，IPO後一年的累積異常報酬均優於市場投資組合的報酬，而淨值大的公司一年內的累積股價異常報酬也有優於淨值小的公司累積異常報酬現象。當檢驗長期績效時，實證結果發現IPO長期下來績效的確較差。另外，規模較小的公司其IPO後五年之內的長期績效皆比規模較大的公司優異

關鍵字

IPO ； 異常報酬

並列摘要

The short-run underpricing and long-run underperformance following initial public offerings are the popular topic for research. Not only domestic papers but also foreigner papers find the existing of abnormal returns in the public listed firms exactly. Some of them say there is long-run underperformance following IPO, but some say not. As a result, this paper estimates the short-run underpricing and long-run performance after IPO announcements in Taiwan stock market. Our sample consists of IPO announced from January 1, 2000 to December 31, 2007 drawn from the Taiwan Economic Journal. The evidence of short-run underpricing shows that when controlling the size, firms have greater abnormal returns than market portfolios in the first year following IPO. The big-size firms have better cumulative abnormal returns than small ones. When examining the long-run underperformance, we find that long-run performances become worse subsequent to IPO announcement. On the other hand, the long-run performances of small-size firms are much better than big ones within five years after IPO announcement.

並列關鍵字

IPO ； Abnormal Return

參考文獻

張仕原，中國大陸首次公開發行折價因素之探討，國立成功大學會計研究所碩士論文，民國九十六年。

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Chang, E., Chen, C., Chi, J., and Young, M., (2008), IPO underpricing in China: New evidence from the primary and secondary markets, Emerging Markets Review, Vol. 9, pp. 1-16.

Chen, G., Firth, M., and Kim, J.B. (2004), IPO underpricing in China’s new stock markets, Journal of Multinational Financial Management, Vol. 14, pp. 283-302.