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  • 學位論文

台股IPO無漲跌幅限制下之市場效率性與超額報酬

Excess Returns and Efficiency without Price Limitation for Taiwanese IPO Market

指導教授 : 高一誠
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摘要


近來年台灣金融商品漸趨多元,但不少金融商品的受限於進入門檻,規模難以擴張,台灣一般投資人還是將證券市場作為主要關注的目標。而面對各種形形色色的證券標的,投資人最關心的兩項要素風險與報酬無非是證券市場長期的研究重點。其中初次公開發行市場(IPOs)在過去的研究中顯示普遍存在超額報酬,與較高的期初報酬(initial return),對於謀求穩定與短期獲利投資管道的投資人而言初次公開發行新股極具吸引力。自2005年3月1日金管會宣布初次公開上市首五日無漲跌幅限制以來,為了因應投資人申購的熱潮金管會已於近年擴大公開申購的比例,卻仍無法應付投資人的需求。然而在申購成功率如此低的情況下,是否未中籤的投資人就無法參與IPO行情呢?故本研究嘗試以新股承銷價與掛牌首日開盤價來探討IPO期初報酬率,並檢視上市首五日無漲跌幅限制此政策是否讓IPO具備效率市場。研究結果發現新股掛牌期初往往因投資人或有心人士對股價的追捧,導致容易出現高估股價的情況而無法完全反應合理股價。而投資人如在掛牌當天以開盤價購入新股,根據本研究統計,新股平均首日報酬率為3.13%,後續周、半月、月平均報酬率皆小於3.13%。故投資人在未能以承銷價認購新股時,在期初投資新股容易出現短線上的虧損。而以承銷價計算新股首日平均報酬率為40.72%,後續短期平均報酬率皆未能超越首日報酬率,故IPO新股相對穩健的賣點為掛牌首日。

並列摘要


Over the past few years, financial products in Taiwan have become pluralistic. But some derivative financial products, so their scales are hard to expand. Most investors in Taiwan still pay close attention to stock markets. Faced with all kinds of, investors show much concern to two elements-risks and returns which are long-term key research areas in stock markets. From a past research, IPO show apparent excess returns and higher initial returns. IPO has great attention for investors who want stable and short-term returns. The research tries to discuss IPO initial returns with offer prices and opening prices, and examine the efficiency of the policy of no first-five-days price limits on Taiwan IPOs. The research finds that new stocks tend to be overestimated and cannot reflect their real prices because investors or investors pursue the prices. Statistics show that if investors buy new stocks with opening prices on their debut, the average rate of return of new stocks is 3.13 percent on the first day, and under 3.13 percent the following whole week, and still under 3.13 after two weeks and even under 3.13 after a month. Therefore, if investors can't buy new stocks with offer prices, they tend to have short-term losses at the beginning. On the other hand, if investors buy with offer prices, the average rate of return of new stocks is 40.72 percent on the first day, and the average short-term rate of return the following days is lower than that on the first day. The research concludes that appropriate selling point of IPOs is their debut.

並列關鍵字

IPO no price limit efficient market excess return

參考文獻


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