淡江大學覺生紀念圖書館 (TKU Library)

系統識別號 U0002-2306201211042900
中文論文名稱 影響股價漲跌停之因素分析
英文論文名稱 Factor analysis of the price limit
校院名稱 淡江大學
系所名稱(中) 管理科學學系碩士班
系所名稱(英) Master’s Program, Department of Management Sciences
學年度 100
學期 2
出版年 101
研究生中文姓名 陳儒萱
研究生英文姓名 Ju-Hsuan Chen
學號 699620117
學位類別 碩士
語文別 中文
口試日期 2012-05-23
論文頁數 45頁
口試委員 指導教授-倪衍森
中文關鍵字 IPO  公司治理  財務報表  股價表現  漲跌停板 
英文關鍵字 IPO  Corporate Governance  Financial Statement  Stock Performance  Price Limit 
中文摘要 漲跌停是反應股價表現的指標之一,其相當能影響投資人投資的情緒,並左右投資人選股的意願,此外股民對IPO的標的似乎也相當青睞,而本研究探討的課題乃是IPO是否會影響股價漲跌停。實證結果顯示當年IPO的公司與漲停與跌停比率呈相當顯著的正相關,似可推論不少IPO後的公司有拉抬股價的痕跡,然而當有不菲的資本利得時,股價則容易有跌停式的下滑。是以投資人要IPO的投資標的不要盲目的介入,才不致受到有心人士操控。此外本研究亦發現非董監事之大股東,若其持股比率高,其漲跌停的頻率並不低,似顯示其有操弄股價的痕跡。而流通在外股數高的公司比較容易跌停,此表示投資大眾可能較缺乏專業判斷,容易受到負面消息左右而拋售股份。
英文摘要 Price limit is one of important indices for stock price informaiveness, which would not only affect the investors’ sentiment, but also influence the investing stocks selected. In addition, the IPO stocks seem to be welcomed by investors. Thus, this study is to investigate whether IPO would affect the price limit, including price up limit, price down limit, or both. The results show that the subsequent performances of the IPO stocks have positive impacts on stock price limit significantly. We might infer that these companies might lift up the shares price to increase the capital gain, and then they would sell shares at their satisfactory price. Afterwards, the share prices might be decline sharply, even to the price limit down. Thus, investors should take the results revealed into account in order to prevent suffering losses caused by the people with manipulating power. In addition, our results disclose the shareholders with high shareholding instead of directors seem to prefer manipulating share prices as evidences shown by the stock price limit happened frequently. In addition, individual investors might own the shares for the companies with lots of shares outstanding. Thus, these individual investors lack of professional knowledge might sell these companies’ shares, even to price limit down, as bad news announced.
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 2
第三節 研究流程 5
第四節 研究架構 6
第二章 文獻探討 7
第一節 股價表現之相關文獻 7
第二節 公司治理、財務報表和股價表現有關之文獻 8
第三節 IPO和股價表現有關之文獻 11
第三章 研究假說與方法 14
第一節 研究資料與研究變數定義 14
第二節 研究假說 17
第三節 研究方法之簡述 21
第四節 研究模型 24
第四章 實證研究結果 26
第一節 敘述統計量 26
第二節 Panel Data模型之實證結果與分析 27
第三節 分量迴歸模型之實證結果與分析 31
第五章 結論與建議 34
第一節 研究結論 34
第二節 研究建議 36
參考文獻 38

表4-1 各變數之敘述統計表與VIF值 26
表4-2 Panel Data模型實證結果 27
表4-3 分量迴歸模型實證結果 31

圖1-1 研究流程圖 5

參考文獻 參考文獻
王祝三、莊雅雪、郭勁甫,2009,公司治理、投資與公司價值之關聯性,東吳經濟商學學報,第66期, 頁69-114。
方俊儒、李秀英、龍春伶,2008,獨立董監事對公司績效與盈餘品質之影響-控制股東之調節效果,會計與公司治理,第 5卷,第1期,頁 55-80。
林秀柑、方文碩、王冠閔,2009,集團核心企業董事會特性與經營績效之研究,臺灣企業績效學刊,第3 卷,第1期,頁25-48。
林郁翎、黃建華,2009,考慮公司治理之企業財務危機預警模型,東吳經濟商學學報,第64 期,頁23-56。
邱正仁、周庭楷、張慈媛,2007,新上市公司辦理首次現金增資時程之探討:原因與後果,管理評論,第26 卷,第3期,頁71-102。
高蘭芬、邱正仁,2002,董監事股權質押對會計盈餘與股票報酬相關性之影響,臺大管理論叢,第13 卷,第1期,頁127-162。
陳瓊蓉、沈純慧,2010,臺灣上市製造業公司的國際化程度與績效關係之再探:傳產業與資電業之比較,商管科技季刊,第11 卷,第4期,頁457-497。
廖秀梅、李建然、吳祥華,2006,董事會結構特性與公司績效關係之研究-兼論台灣家族企業因素的影響,東吳經濟商學學報,第54 期,頁117-160。
韓千山、孫嘉宏、陳儀嘉,2010,經理人持股、內線交易、監督與公司價值,經濟論文,第38 卷,第2期,頁245-291。

Abbott, Lawrence J., Susan Parker, and Gary F. Peters(2004) Audit committee characteristics and restatements, Auditing: A Journal of Practice and Theory 23(1):69-87.
Aboody, David, Nicole Bastian Johnson, and Ron Kasznik(2009) Employee stock options and future firm performance: Evidence from option repricings, Journal of Accounting and Economics 50(1):74-92.
Aggarwal, Reena and Pietra Rivoli(1990) Fads in the initial public offering market?, Financial Management 19:45-57.
Agrawal, Anup and Gershon N. Mandelker(1990) Large shareholders and the monitoring of managers: The case of antitakeover charter amendments, Journal of
Financial and Quantitative Analysis 25(2):143-161.
Beasley, Mark S.(1996) An empirical analysis of the relation between the board of director composition and financial statement fraud, Accounting Review 71(4):443-460.
Benninga, Simon, Mark Helmantel, and Oded Sarig(2005) The timing of initial public offerings, Journal of Financial Economics 75(1):115-132.
Benston, George J.(1985) The self-serving management hypothesis: Some evidence, Journal of Accounting and Economics 7:67-84.
Benveniste, Lawrence M. and Paul A. Spindt(1989) How investment bankers determine the offer price and allocation of new issues, Journal of Financial Economics 24(2):343-361.
Black, Bernard(2001) The corporate governance behavior and market value of Russian firms, Emerging Markets Review 2(2):89-108.
Boulton, Thomas J., Scott B. Smart, and Chad J. Zutter(2010) IPO underpricing and international corporate governance, Journal of International Business Studies 41(2):206-222.
Bradley, Daniel J. and Bradford D. Jordan(2002) Partial adjustment to public information and IPO underpricing, Journal of Financial and Quantitative Analysis 37 (4):595-616.
Brav, Alon and Paul A. Gompers(1997) Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and non-venture capital-backed companies, Journal of Finance 52(5):1791-1821.
Chang, Xin, Shi Hua Lin, Lewis H. K. Tam, and George Wong(2010) Cross-sectional determinants of post-IPO stock performance: Evidence from China, Accounting and Finance 50(3):581-603.
Chemmanur T. J. and P. Fulghieri(1999) A theory of the going-public decision, Review of Financial Studies 12(2):249-279.
Chemmanur, Thomas J. and Imants Paeglis(2005) Management quality, certification, and initial public offerings, Journal of Financial Economics 76(2):331-368.
Chin, Chen-lung, Gary Kleinman, Picheng Lee, Mei-Feng Lin IV(2006) Corporate ownership structure and accuracy and bias of mandatory earnings forecast: Evidence from Taiwan, Journal of International Accounting Research 5(2):41-62.
Chowdhry, Bhagwan and Vikram Nanda(1996) Stabilization, syndication and pricing of IPOs, Journal of Financial and Quantitative Analysis 31(1):25-42.
Claessens, Stijn and Joseph P. H. Fan(2002) Corporate governance in Asia : A survey, Internaional Review of Finance 3:71–103.
Dahlquist, Magnus and Goran Robertsson(2001) Direct foreign ownership, institutional investors, and firm characteristics, Journal of Financial Economics 59:413-440.
Fan, Joseph P. H. and T. J. Wong(2002) Corporate ownership structure and the informativeness of accounting earnings in East Asia, Journal of Accounting and Economics 33 (3):401-425.
Fan, Joseph P. H. and T. J. Wong(2005) Do external auditors perform a corporate governance role in emerging markets? Evidence from East Asia, Journal of Accounting Research 43 (1):35-72.
Fields, M. Andrew and Phyllis Y. Keys(2003) The emergence of corporate governance from Wall St. to Main St.: Outside directors, board diversity, earnings management, and managerial incentives to bear risk, Financial Review 38:1-24.
Fisher, Franklin M. and John J. McGowon(1983) On the misuse of accounting rates of return to infer monopoly profit, American Economic Review 73:82-97.
Foucault, Thierry and Thomas Gehrig(2008) Stock price informativeness, cross-listings, and investment decisions, Journal of Financial Economics 88(1):146–168.
Gillan, Stuart L.(2006) Recent developments in corporate governance: An overview, Journal of Corporate Finance 12(3):381-402.
Gompers, Paul, Joy Ishii, and Andrew Metrick(2003) Corporate governance and equity prices,
Quarterly Journal of Economics 25(1):107-155.
Goodstein, Jerry, Kanak Gautam, Warren Boeker(1994) The effects of board size and diversity on strategic change, Strategic Management Journal 15:241-250.
Hermalin, Benjamin E. and Michael S. Weisbach(2003) Boards of directors as an endogenously determined institution: A survey of the economic literature, Economic Policy Review 9(1):7-26.
Holthausen, Robert W. and David F. Larcker(1992) The prediction of stock returns using financial statement information, Journal of Accounting and Economics 15:373-411.
James, Christopher(1992) Relationship-specific assets and the pricing of underwriter services, Journal of Finance 47(5):1865-1885.
Jeffery, Abarbanell S. and Brian J. Bushee(1998) Abnormal returns to a fundamental analysis strategy, The Accounting Review 73(1):19-45.
Jensen, Michael C. and Richard S. Ruback(1983) The market for corporate control:The scientific evidence, Journal of Financial Economics 11:5-50.
Jung, Kooyul and Soo Young Kwon(2002) Ownership structure and earnings informativeness:Evidence from Korea, The International Journal of Accounting 37:301-325.
Kesner, Idalene F. and Roy B. Johnson(1990) An investigation of the relationship between board composition and stockholder suits, Strategic Management Journal 11(4):327-336.
Koenker, Roger and Kevin F. Hallock(2001) Quantile regression, Journal of Perspectives 15 (4):143-156.
Koenker, Roger and Gilbert Bassett(1978) Regression quantiles, Econometrica 46:33-50.
Krishnan, C. N. V., Vladimir I. Ivanov, Ronald W. Masulis, and Ajai K. Singh(2011) Venture capital reputation, post-IPO performance and corporate governance, Journal of Financial and Quantitative Analysis 46:1295-1333.
Lee, Tsun-Siou and Yin-Hua Yeh(2004) Corporate governance and financial distress: Evidence from Taiwan, Corporate Governance 12(3):378-388.
Lev, Baruch and Ramu Thiagarajan(1993) Fundamental information analysis, Journal of Accounting Research 31(2):190-215.
Li, Feng(2008) Annual report readability, current earnings, and earnings persistence, Journal of Accounting and Economics 45(2-3):221–247.
Liu, Qiao and Zhou Lu(2007) Corporate governance and earnings management in the Chinese listed companies : A tunneling perspective, Journal of Corporate Finance 13(5):881–906.
Louis, Henock and Hal White(2007) Do managers intentionally use repurchase tender offers to signal private information? Evidence from firm financial reporting behavior, Journal of Financial Economics 85:205–233.
Low, Soo-Wah, Si-Roei Kew, and Lain-Tze Tee(2011) International evidence on the link between quality of governance and stock market performance, Global Economic Review 40(3):361-384.
Loughran, Tim and Jay R. Ritter(2004) Why has IPO underpricing changes over time?, Financial Management 33:5-37.
Lowry, Michelle and Kevin J. Murphy(2007) Executive stock options and IPO underpricing, Journal of Financial Economics 85:39–65.
Lowry, Michelle and G. William Schwert(2002) IPO market cycles:bubbles or sequential learning, Journal of Finance 57 (3):1171-1200.
Lowry, Michelle and Susan Shu(2002) Litigation risk and IPO underpricing, Journal of Financial Economics 65(3):309-335.
McConell, John J. and Henri Servaes(1990) Additional evidence on equity ownership and corporate value, Journal of Financial Economics 27:595-612.
McGahan, Anita M.(1999) The performance of US corporations: 1981-1994, The Journal of Industrial Economics 47:0022-1821.
Morck, Randall, Andrei Shleifer, and Robert W. Vishny(1988) Management ownership and market valuation: An empirical analysis, Journal of Financial Economics 20:293-315.
Neus, Werner and Uwe Walz(2005) Exit timing of venture capitalists in the course of an initial public offering, Journal of Financial Intermediation 14(2):253-277.
Ou, Jane A. and Stephen H. Penman(1989) Financial statement analysis and the prediction of stock returns, Journal of Accounting and Economics 11:295-330.
Pearce, John A. and Shaker A. Zahra(1992) Board composition from a strategic contingency perspective, Journal of Management Studies 29(4):411-438.
Piotroski, Joseph D.(2000) Value investing:The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38:1-41.
Reilly, Frank K. and Kenneth Hatfield(1969) Investor experience with new stock issues, Financial Analysts Journal 25 (5):73-80.
Shleifer, Andrei and Robert W. Vishny(1997) A survey of corporate governance, Journal of Financial Economics 52(2):737-785.
Singh, Manohar and Wallace N. Davidson III(2003) Agency costs, ownership structure and corporate governance mechanisms, Journal of Banking and Finance 27 (5):793-816.
Suchard, Jo-Ann(2009) The impact of venture capital backing on the corporate governance of Australian initial public offerings, Journal of Banking and Finance 33(4):765–774.
Tinic, Seha M.(1988) Anatomy of initial public offerings of common stock, Journal of Finance 43(4):789-822.
Xie, Biao, Wallace N. Davidson, and Peter J. DaDalt(2003) Earnings management and corporate governance: The role of the board and the audit committee, Journal
of Corporate Finance 9(3):295-316.
Yermack, David(1996) Higher market valuation of companies with a small board of directors, Journal of Financial Economics 40:185-211.
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2017-08-15公開。
  • 同意授權瀏覽/列印電子全文服務,於2017-08-15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