本研究探討投資人情緒如何影響初次上市櫃（IPO）公司之承銷價與長短期績效。過去多數學者認為投資人情緒會影響股價報酬，本研究將透過行為財務學的觀點，探討投資人情緒是否會影響台灣IPO公司承銷價訂定及長短期績效的表現。
本研究利用直接與間接性情緒衡量指標衡量散戶投資人情緒，而投資人情緒影響IPO公司承銷價訂定與長短期績效表現的時間點，則是分為承銷價訂定日前情緒與初次上市櫃日前情緒，我們將國內直接投資人情緒變數與學者常使用的間接性投資人情緒變數以主成份分析法建構投資人情緒之總指標，將此總指標與承銷價及長短期報酬進行OLS迴歸分析，以了解承銷價的訂定及上市後的長短期報酬是否受到投資人情緒影響。實證結果顯示，投資人情緒與IPO公司承銷價訂定與期初報酬均呈正向關係，都說明了兩者都可被投資人情緒所解釋，使IPO公司在政策制定上有所依據。而在長期績效部份，研究結果顯示長期績效無法受到投資人情緒影響。

In this paper, we examine the relationship among investor sentiment, offer Price, initial return, and long-run performance of IPOs in Taiwan. Most prior studies considered investor sentiment would affect stock return. We will refer to the view of Behavior Finance to explore the effect of IPO price, initial return and long-run performance on investor sentiment.
We use direct and indirect sentiment proxy variables to measure individual investor sentiment and use Principal Component Analysis to build two indicators. One is investors’ sentiment index before setting of offer price date; another is investors’ sentiment index before IPO date to discuss the connection among individual investor sentiment, offer Price, initial return, and long-run performance of IPOs. The empirical results show that the relation among individual investor sentiment, offer price, and IPO initial return are positive. The investors’ sentiment can explain the offer price and IPO initial return. This result can offer IPO firm to make a strategic decision. In term of the long-run performance of IPO, the empirical results showed that long run performance were not affected by individual investor sentiment.

目錄
第一章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 6
第三節　研究架構 6
第二章　文獻探討 8
第一節　投資人情緒相關文獻 9
第二節　IPO短期績效 17
第三節　IPO長期績效 21
第三章　研究方法 22
第一節　資料說明 22
第二節　研究假說 23
第三節　統計方法與實證模型 25
第四節　變數定義 29
第四章　實證結果 38
第一節　敘述性統計 38
第二節　相關分析 41
第三節　投資人情緒指標 43
第四節　投資人情緒與承銷價之關連 46
第五節　投資人情緒與期初報S之關連 48
第六節　投資人情緒與長期績效之關連 50
第五章　結論與建議 53
第一節　研究結論 53
第二節　研究限制 54
第三節　建議 55
參考文獻 56
中文文獻 56
英文文獻 57
附錄　投資人情緒與長期績效之關連（非電子股） 61

表目錄
表1-1　45個國家平均期初報酬 4
表4-1　樣本敘述統計量 39
表4-2　承銷價訂定日前投資人情緒指標之Pearson相關係數 42
表4-3　初次上市（櫃）日前投資人情緒指標之Pearson相關係數 42
表4-4　承銷價訂定日前投資人情緒指標 44
表4-5　初次上市（櫃）日前投資人情緒指標 45
表4-6　投資人情緒與承銷價之關聯迴歸結果 47
表4-7　投資人情緒與期初報酬之關聯迴歸結果 49
表4-8　投資人情緒與長期績效（CR）之關聯迴歸結果 51
表4-9　投資人情緒與長期績效（BHR）之關聯迴歸結果 51
附表1　非電子股投資人情緒與長期績效（CR）之關聯迴歸結果 62
附表2　非電子股投資人情緒與長期績效（BHR）之關聯迴歸結果 62

圖目錄
圖1-1　論文架構 7

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