初次公開發行股票實務面投資價值剖析

IPO Stocks Evaluation of the Performance

江前穎(Chien Yin Chiang)

指導教授 ： 李又剛

淡江大學/商管學院/國際企業學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.01163

摘要

於報章媒體的報導，常提及台灣IPO股票會有一段蜜月行情，但隨著股市益加成熟之後，跌破承銷價的事情時有所聞。本研究將利用台股各季公佈財報的時間點，架構出標的持有期別之設定，針對買入的時間點不同，設計出二日買進與六日買進投資策略；且依市場別、產業別、公司規模與發行價格高低作為選股準則，進而建構出十六種投資策略組合。在研究的各期間採用買進後持有的策略，透過研究期間的報酬率與集中市場或店頭市場來作績效比較，以嘗試為一般投資大眾找出簡單又實用的投資策略。本文所得到之實證結論如下：

一. 屬性相同但策略不同

(一) 相對績效
二日買進與六日買進投資策略於集中市場及店頭市場表現不分軒輊。
(二) 絕對績效
新上市公司宜採行二日買進投資策略，但新上櫃公司較適合六日買進投資策略；電子類股適合採用六日買進投資策略，但非電子股較適合二日買進投資策略；無論公司規模大小，六日買進投資策略組合報酬率表現最為傑出；高價股宜採用六日買進投資策略，但低價股較適用二日買進投資策略。

二. 策略相同但屬性不同

(一) 二日買進投資策略
就絕對績效而言，上市優於上櫃、非電子股遠優於電子股、小型股遠優於大型股且低價股優於高價股。
(二) 六日買進投資策略
從絕對績效的角度來看，上櫃優於上市、電子股優於非電子股、小型股遠優於大型股且低價股優於高價股。

關鍵字

二日買進 ； 六日買進 ； 相對績效 ； 絕對績效

並列摘要

IPO stocks in Taiwan stock market often have a honeymoon binge, but when market become more mature, the honeymoon binge stealthily muted. In this research, we utilize the deadline of quarterly financial reporting to set two investment strategies by different point of time for buying. (after IPO two days and six days to buy). Besides we base on market type、industry type、company size、IPO price to construct 16 investment portfolios. Furthermore, we evaluate the performance of buy and hold strategy whether can beat the market. According to our empirical study, we want to provide valuable investment strategy to investor. The main empirical findings as below：

1. Same attribute but different strategy

(1) Relative performance
There is no difference between two strategies for TSE and OTC IPO stocks.
(2) Absolute performance
TSE IPO stocks should use after IPO two days to buy strategy, but the OTC IPO stocks are more suited to use after IPO six days buying strategy. The electronic stocks are suitable for after IPO six-day buying strategy, but the non-electronic stocks should use after IPO two days to buy strategy. Regardless of company size, after IPO six days to buy strategy was the most outstanding. The IPO high-priced stocks should be adopted on the after IPO six days to buy strategy, but the IPO low-priced stocks are more applicable to the after IPO two days to buy strategy.

2. Same strategy but different attribute

(1) after IPO two days to buy
According to absolute performance, the TSE is better than OTC；the non-electronic stocks outperforms electronic stocks；the small companies outreachs big companies, and the low-priced stocks is better than IPO high-priced stocks to use after IPO two days to buy strategy.
(2) after IPO six days to buy
From absolute performance point of view, the OTC is better than the TSE；the electronic outreachs non-electronic stocks；the small companies outperforms big companies, and the low-priced stocks is better than high-priced stocks to use after IPO six days to buy strategy.

並列關鍵字

After IPO Two Days to Buy ； After IPO Six Days to Buy ； Relative Performance ； Absolute Performance

參考文獻

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