淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1607201011030100
中文論文名稱 投資人情緒與初次上市櫃公司承銷價及長短期績效之關連性
英文論文名稱 The Relationship Among Investor Sentiment, Offer Price, Initial Return, and Long-Run Performance of IPOs.
校院名稱 淡江大學
系所名稱(中) 會計學系碩士班
系所名稱(英) Department of Accounting
學年度 98
學期 2
出版年 99
研究生中文姓名 林子敬
研究生英文姓名 Zih-Jing Lin
學號 697600624
學位類別 碩士
語文別 中文
口試日期 2010-06-14
論文頁數 63頁
口試委員 指導教授-陳薇如
委員-戴維芯
委員-蔡湘萍
中文關鍵字 投資人情緒  初次上市櫃公司  主成份分析  承銷價  期初報酬  長期績效 
英文關鍵字 Investor sentiment  IPO  offer price  initial return  Long-Run Performance 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 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

參考文獻 參考文獻
中文文獻
古金尚,2003,「台灣股票市場投資者心理情緒影響因素之實證研究」,朝陽科技大學財務金融系碩士論文。
吳訂宜,2002,「台灣股價能否被預測?-以每日之價、量、個用交易及外資買賣超」,未出版碩士論文,私立朝陽科技大學財務金融研究所。
林晏竹,2006,「台灣散戶投資人情緒對股票報酬的影響」,國立政治大學財務管理研究所碩士論文。
洪培元,2004,「市場情緒指標與股價報酬關係之研究」,未出版碩士論文,朝陽科技大學財務金融研究所。
張宇志,2004,「投資者情緒與市場報酬」,未出版碩士論文,國立中央大學財務金融所。
許銘傑,2002,「市場情緒與基本面對短期股價影響之比較」,國立政治大學國際貿易學系碩士論文。
郭敏華、李謙,2005,「陽光影響投資情緒?以台灣股票市場為例」,台灣金融財務季刊,第6 輯,第2 期,pp.35-51。
陳安琳,2001,「各種衡量模型下新上市公司股票的長期報酬」,中國財務學刊,第九卷第三期,1-20。
陳達勳,2001,「市場情緒與股票報酬之研究」,國立政治大學國際貿易系碩士論文。
顧廣平,2003,「台灣新上市股票短期與長期績效之再探討」,證券市場發展季刊,第十五卷第一期,1-40。

英文文獻
Aggarwal, R. and P. Rivoli. 1990. Fads in the initial public offering market. Financial Management 19(4): 45-57.
Allen, F., and G. R. Faulhaber. 1989. Signaling by underpricing in the IPO market. Journal of Financial Economics, 23(2): 303-323
Baker, M., and J. C. Stein. 2004. Market liquidity as a sentiment indicator. Journal of Financial Economics 7(3): 271-299.
Baker, M., and J. Wurgler. 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21(2): 129-151.
Barber, B. M., and J. D. Lyon. 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics 43: 341-372.
Baron, D. P. 1982. A model of the demand for investment banking advising and distribution services for new issues. Journal of Finance 37(4): 955-976
Barry, C. B. and S. J., Brown. 1985. Differential information and security market equilibrium. The Journal of Financial & Quantitative Analysis 20 (4): 407-422.
Beatty, R.P. and J. R. Ritter. 1986. Investment banking, reputation and the underpricing of initial public offerings. Journal of Financial Economics. 15(1-2): 213-232.
Benveniste, L. M., and P. A. Spindt. 1989. How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics 24(2): 343–361.
Benveniste, L. M., W. Y. Busaba, and W. Jr. Wilhelm. 2002. Information externalities and the role of underwriters in primary equity markets. Journal of Financial Intermediation 11: 61–86.
Benveniste, L. M., A. Ljungqvist, W. J. Wilhelm, Jr., and X. Yu. 2003. Evidence of information spillovers in the production of investment banking services. Journal of Finance 58(2): 577–608.
Brown, G. W. and M. T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11(1): 1–27.
Campbell, Y., S. Grossman, and J. Wang. 1994. Trading volume and serial correlation in stock returns. The Quarterly Journal of Economics 108(4): 905-939.
Carter, R. B. and S. Manaster. 1990. Initial public offerings and underwriter reputation. Journal of Finance 45(4): 1045-1067.
Carter, R. B. and F. H. Dark. 1993. Effects of differential information on the aftermarket valuation of initial public offerings. Journal of Economics Business 45(5): 375-392.
Conrad, J., A. Hameed and C. Niden. 1994. Volume and autocovariances in short-horizon individual security returns. Journal of Finance 49(4): 1305-1329.
De Long, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98(4): 703-738.
Downes, D. H., and R. Heinkel. 1982. Signaling and the valuation of unseasoned new issues. The Journal of Finance 37(1): 1-10.
Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25(2): 383–417.
Fisher, K. L. and M. Statman. 2000. Investor sentiment and stock returns. Financial Analysts Journal 56(2): 16–23.
Gervais, S., R. Kaniel and D. Mingelgrin. 2001. The high-volume return premium. Journal of Finance 56(3): 877-919.
Hirshleifer, D. and T. Shumway, 2001. Good day sunshine: stock returns and the weather. Journal of Finance 58(3) 1009-1032.
Ibbotson, R. G. and J. F. Jaffe. 1975. Hot issue market. Journal of Finance 30(4): 235-275.
Kahneman, D. and A. Tversky. 1979. Prospect theory:An analysis of decision under risk. Econometrica 47(2): 263-291.

Kamstra, M. J., L. A. Kramer and M. D. Levi. 2003. Winter blues: A SAD stock market cycle. The American Economic Review 93(1): 324-343.
Kumar, A. and C. M. C. Lee. 2006. Retail investor sentiment and return comovements. Journal of Finance 61(5): 2451-2486.
Lee, C. M. C., A. Shleifer and R. H. Thaler. 1991. Investor sentiment and the closed-end fund puzzle. The Journal of Finance 46(1): 75-109.
Lee, W. Y., C. X. Jiang and D. C. Indro. 2002. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance 26(12): 2277–2299.
Leland, H. E. and D. H. Pyle. 1977. Information asymmetries, financial structures, and financial intermediation. The Journal of Finance 32(2): 371-387.
Loughran, T., J. R. Ritter and K. Rydqvist, 1994. Initial public offerings:International insights. Pacific-Basin Finance Journal 2(2-3): 165-199.
Lowry, M. and G. W. Schwert. 2002. IPO market cycles: Bubbles or sequential learning? The Journal of Finance 57(3): 1171-1200.
Miller, E. M.. 1977. Risk, uncertainty, and the divergence of opinion. The Journal of Finance 32(4): 1151-1168.
Muscarella, C. J. and M. R. Vetsuypens, 1989. The underpricing of second initial public offering. Journal of Financial Research 12: 183-192
Neal, R. and S. M. Wheatley. 1998. Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33(4): 523-548.
Oehler, A., M. Rummer and P. N. Smith, 2005. IPO pricing and the relative importance of investor sentiment-evidence from Germany. Working paper, Bamberg University.
Otoo, M.W. 1999. Consumer sentiment and the stock market. Finance and Economics Discussion Series. 60.
Qiu, L. and I. Welch, 2004. Investor sentiment measures. Working paper, Brown Universiity.
Ritter, J. 1984. The 'Hot Issue' market of 1980. Journal of Business 57(2): 215-240.
Ritter, J. 1991. The long-run performance of initial public offerings. The Journal of Finance 46(1): 3-27.
Rock, K., 1986. Why new issues are underpriced. Journal of Financial Economics 15(1-2): 187-212.
Saunders, E. M. J. 1993. Stock prices and wall street weather. The American Economic Review 83(5): 1337-1345.
Shiller, R. J., Fumiko Kon-Ya and Yoshiro Tsutsui. 1996. Why did the Nikkei Crash? Expanding the scope of expectations data collection. The Review of Economics and Statistics 78(1): 156-64.
Spatt, C. and S. Srivastava. 1991. Preplay communication, participation restrictions, and efficiency in initial public offerings. The Review of Financial Studies 4(4): 709-726.
Tinic, S. M. 1998. Anatomy of initial public offerings of common stock. The Journal of Finance 43(4): 789-822.
Titman, S., and B. Truman. 1986. Information quality and the valuation of new issues. Journal of Accounting and Economics 8(2): 159-172.
Wang, Y. H., A. Keswani and S. J. Taylor. 2005. The relationships between sentiment, returns and volatility. Working paper, National Central University, Taiwan.
Welch, I. 1989. Seasoned offerings, Imitation costs, and the underpricing of initial public offerings. The Journal of Finance 44(2): 421-449.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2012-07-27公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-07-27起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信