IPO公司的短期正異常報酬及長期績效不佳至今仍廣泛被學術界討論，本研究主要的目的在於釐清IPO公司期初超額報酬的存在，是由理性理論所能解釋亦或是由非理性理論所能解釋，用以區分出期初超額報酬是承銷商故意低估，亦或是投資人過度樂觀所造成高估其本身內含價值。
本研究將國內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，並參照Purnanandam and Swaminathan（2004）依據相對於配對公司的承銷價倍數（P/V ratio），來推估出IPO公司的內含價值。並把IPO公司的期初報酬拆解成兩個部分，第一部分為承銷價與IPO公司內含價值之差為本文所提到的故意低估的部分，第二部分為IPO公司內含價值與期後市場市價之差亦為不理性高估的部分。區分後進一步將投資人情緒總指標與故意低估及不理性高估進行OLS迴歸分析，藉以探討投資人情緒對於區分過後的期初報酬哪一部分有顯著的影響。實證結果顯示投資人情緒總指標與IPO短期報酬故意低估部份無顯著關係，與不理性高估部份呈顯著正相關，顯示投資人情緒確實影響IPO公司的短期報酬。本文最後將長期績效與期初報酬不理性的部分進行迴歸分析，以了解當投資人情緒高漲時上市的公司是否存在較高的短期報酬，但隨著投資人情緒退燒，長期績效的表現因此變差。

IPO company's short-term positive abnormal returns and long-term underperformance remain widely discussed by academics, the main purpose of this study is to clarify whether the existence of excess return of IPOs in the pre phase stage can be explained by the rational or irrational theory. This can distinguish whether the excess return in the pre phase stage is caused by underwriters intentionally underestimate the intrinsic value or the investors are solely too optimistic and overestimate its own intrinsic value.
This study adopts indirect sentiment proxy variables and uses principal component analysis to construct an investor sentiment index. Following Purnanandam and Swaminathan (2004), the intrinsic value of the IPOs are estimated based on matched companys’ commitment price multiples (P/V ratio). Further, the IPO opening return is separated into two portions. First portion is the difference between IPO price and its intrinsic value, which is the intentionally underestimated. Second portion is the difference between intrinsic value and the IPO first-day market price, which is the irrationally overpriced. Moreover, the OLS regression is used to investigate the relationship between investor sentiment index, the intentionally underestimated, and the irrationally overpriced. 
The result shows that investor sentiment index and IPO short-run return (intentionally underestimated) are insignificantly related. However, investor sentiment index is significantly and positively related to irrationally overpriced. This suggests that investor sentiment imposes effect on IPO company short-run return.
Finally, this paper analyzes long-run performance and the initial return (irrationally overpriced) to investigate the relationship between optimistic investors and companies’ yielding of higher short-term returns, as well as the relationship between pessimistic investors and the long-run performance deterioration.

第壹章　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
第貳章　文獻探討	8
第一節　股票內含價值相關文獻	8
第二節　投資人情緒相關文獻	10
第三節　投資人情緒與股票市場之關聯性文獻	15
第四節IPO公司長短期績效相關文獻	17
第参章　研究方法	24
第一節　資料說明	24
第二節　研究假說	24
第三節　統計方法與實證模型	25
第肆章　實證結果	36
第一節　敘述性統計	36
第二節　相關分析	38
第三節　投資人情緒指標	40
第四節　投資人情緒與期初報酬之關連	42
第五節　投資人情緒與期初報酬故意低估之關聯性	44
第六節　投資人情緒與期初報酬不理性高估之關聯性	46
第七節　期初報酬不理性高估與長期績效之關聯性	48
第伍章　結論與建議	50
第一節　研究結論	50
第二節　研究限制	52
第三節　研究建議	53
中文文獻	54
英文文獻	56

圖目錄
圖1- 1 論文架構.........................................................................................................7
圖3- 2 期初報酬之拆解..........................................................................................27

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..........................................................................................37
表4- 2 承銷價訂定日前投資人情緒指標之Pearson相關係數..............................39
表4- 3 初次上市（櫃）日前投資人情緒指標......................................................41
表4- 4 投資人情緒與期初報酬之關聯迴歸結果..................................................43
表4- 5 投資人情緒與期初報酬故意低估之關聯迴歸結果..................................45
表4- 6 投資人情緒與期初報酬不理性高估之關聯迴歸結果..............................47
表4- 7 期初報酬不理性高估與長期績效之關聯性..............................................49

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