承銷新制對台灣新上市櫃股票長短期績效之影響

An influence of the new underwriting system on the long-term and short-term performance {Evidence from IPOs in Taiwan}

吳穎明(Ying-Ming Wu)

指導教授 ： 顧廣平

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00425

摘要

本研究係以2003年1月至2006年12月間初次上市櫃的股票為研究對象，運用各種不同的績效衡量方法來探討台灣地區首次公開發行新股(initial public offerings, IPOs)之長短期股價報酬績效。此外，本研究亦針對承銷制度、折價發行、發行市場以及產業別，進行時間序列及橫斷面分析。
研究結果顯示：台灣地區初次上市櫃股票於首次公開發行後確實存在有短期正的異常報酬績效；長期則並未存在顯著異常的績效。
進一步探討控制承銷制度變革、折價發行、發行市場及產業別等因素後之新股績效表現，發現絕大多數的初次上市櫃股票於上市櫃初期仍具有短期正的異常報酬；至於長期的報酬績效，則普遍而言並未發現有傾向異常高或低的情形，顯見台灣新股的長期投資績效並不因承銷制度、折價發行、發行市場或產業別不同而有所影響。此外，從實證結果亦得知，台灣地區新上市股票的報酬績效較新上櫃股票為佳，而電子產業股的績效表現亦優於非電子產業股。

關鍵字

承銷新制 ； 上市櫃股票

並列摘要

The long run and the short run stock price performance of the IPOs of common stock listed on Taiwan-stock-exchange and the Over-the-counter market in Taiwan was studied, the period was from January 2003 to December 2006. Different performance measurement methods were discussed in the study. Also, the sample of this study was divided by the new underwriting system, the issuance discount, the market of issuance, and the industries to proceed the time-series and cross-sectional analysis.
The empirical results show that the abnormal returns in the short run were existed of the IPOs of common stock on Taiwan-stock-exchange and on Over-the-counter. However, the abnormal returns were not showed up in the long run.
Moreover, after controlling the factors of the new underwriting system, the issu-ance discount, the market of issuance, and the industries of issuance, it is discovered that most of the common stocks listed on Taiwan-stock-exchange and Over-the-counter market possesses short run positive abnormal returns in the initial stage. For the long run performance, the abnormal returns were not detected. It is showed that the long run investment performance of the IPOs in Taiwan were not affected by the new underwrit-ing system, issuance discount, issuance markets, and the industry factor. In addition, the performance of the common stock listed on Taiwan-stock-exchange is better than the common stock listed on Over-the-counter, and the performance of the IPOs of the elec-tronic industry is better than the IPOs of the non-electronic industry.

並列關鍵字

New underwriting system ； IPOs

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