REIT IPOs的長短期績效：台灣市場的實證研究

The Initial and Long-Run Performance of REIT IPOs : Empirical Evidence from Taiwan

陳亭融(Ting-Jung Chen)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2010年)

摘要

初次公開發行(IPOs)在學術界是一項很熱門的議題。非普通股權益IPOs研究的篇數相對於普通股權益IPOs來說比較少。因此，本文將研究對象縮小集中在不動產投資信託(REITs)上，而非所有的IPOs。在台灣，不動產證券化條例在2003年通過，接著台灣第一檔REIT富邦一號在2005年發行。過去研究台灣REITs的文獻由於樣本時間的限制而無法衡量長期績效，因為在我們的樣本中，最後一檔REIT駿馬一號是在2007年5月發行。但是現在我們可以擴張樣本時間來衡量長期異常報酬。本篇論文研究REIT IPOs的初始和長期績效。研究發現，在整個樣本期間內，平均的initial run-up是1.1%，平均initial excess return是0.75%，這些數據都比先前在文獻上研究股票IPOs的初始報酬來的小很多。接著我們使用買進持有報酬法和累積異常報酬法來衡量長期績效，結果發現REIT IPOs的長期績效有負異常報酬。

關鍵字

初次公開發行 ； 不動產投資信託 ； 初始報酬 ； 買進持有報酬 ； 累積異常報酬

並列摘要

Initial public offerings (IPOs) are a popular issue in academic literature. In this paper, we focus on only the Real Estate Investment Trust (REIT) in Taiwan (T-REITs). The first REIT, “Fubon NO.1”, was issued in 2005. Previous studies on T-REITs were limited by the time period, because the last REIT in our sample, Gallop No.1, was issued in 2007. But now we could extend the time period in order to examine the long-run abnormal returns of REIT IPOs. We examine both the initial and long-run performance of REIT IPOs. For the entire sample period, we find an average initial run-up of 1.11% and an initial excess return of 0.75%. They are both smaller than the initial returns typically reported in the literature. Then, we used both BHAR and CAR to calculate the long-run abnormal returns, and the results show that they have negative abnormal returns.

並列關鍵字

Initial public offerings (IPOs) ； Real Estate Investment Trust (REIT) ； Initial return ； Buy-and-hold abnormal returns (BHAR) ； Cumulative abnormal returns (CAR)

參考文獻

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