博碩士論文 108458006 詳細資訊




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姓名 林育圻(Yu-Chi Lin)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 中籤率與折價幅度對報酬率影響之研究 —以台灣興櫃轉上市櫃股票為例
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摘要(中) 臺灣證券交易所及櫃買中心明訂除公營事業者外,自2003年1月1日起應於興櫃股票交易滿3個月,始得申請上市上櫃。翌年12月再度修正相關規章,要求自2005年1月1日起, 將申請上市上櫃前應於興櫃股票市場交易期間由3個月延長為6個月以上,正式將未上市上櫃股票納入制度化管理,並且提供一個合法公開的交易管道,以維護投資人的權益。本文以2019年1月至2020年12月初次上市上櫃公司為研究對象,探討興櫃股票公司於申請上市(櫃)日至正式掛牌日期間是否有異常報酬以及中籤率與報酬率之間的關係。
本研究主要實證結果發現如下:
(1)價差越大中籤率越低在興櫃轉上櫃明顯,但研究分析結果未達顯著;
(2)在興櫃轉上市的情況下,價差越大反而中籤率越高;
(3)平均而言,承銷價比宣布日收盤價低20元;
(4)新上市股票較新上櫃股票折價幅度高。
摘要(英) The Taiwan Stock Exchange and the OTC clearly stipulate that except for public enterprises, starting from January 1, 2003, the stocks must be traded on the emerging stock market for three months before they can apply for listing on the OTC. In December of the following year, the relevant regulations were revised again, requiring that from January 1, 2005, the trading period on the emerging stock market before applying for listing should be extended from 3 months to more than 6 months, and the unlisted stocks should be managed formally and provide a legal and open trading method to protect the rights and interests of investors. This thesis takes the companies listed on the OTC for the first time from January 2019 to December 2020 as the research object, and explores whether the emerging stock company has abnormal remuneration from the date of application for listing (counter) to the official listing date and the relationship between the winning rate and the rate of return.
The empirical resultsmajor findings of this study are the following:found
(1) The bigger the price difference and the lower the winning rate. It is obvious that the switch from emerging stock market to OTC, but the research and analysis results are not significant.
(2) In the case of emerging stock transfer to listed stock, the larger the difference in price, the higher the winning rate.
(3) On average, the underwriting price is 20 NT$ lower than the closing price on the announcement day.
(4) Newly listed stocks have higher discounts than newly OTC stocks.
關鍵字(中) ★ 興櫃轉上市櫃 關鍵字(英)
論文目次 摘要 Ⅰ
Abstract Ⅱ
致謝詞 Ⅲ
目錄Ⅳ
壹、前言 1
1-1研究背景 1
1-2研究動機 2
1-3研究貢獻 3
貳、文獻探討 4
2-1文獻探討 4
一、折價發行理論 5
二、市場的錯誤評估理論 5
三、訊息傳遞理論 6
參、研究方法 8
3-1資料來源與樣本篩選 8
3-2研究方法 8
3-3模型建立 9
3-4變數定義 9
3-5假說發展 10
肆、實證結果 12
4-1基本敘述性統計分析 12
4-2迴歸分析 15
4-2-1掛牌日收盤價與申請日收盤價之價差與中籤率、折價幅度、淨值之迴歸關係 15
伍、結論 18
5-1研究結論 18
5-2管理意涵與研究限制 18
參考文獻 20
參考文獻 1. Affleck-Graves, J.and H P. Hedge (1993). The effect of the trading system on the underpricing of initial public offerings. Financial Management, spring, 99-108.
2. Aggarwal, R., & Rivoli, P. (1990). Fads in the initial public offering market?. Financial management, 45-57.
3. Allen, F., & Faulhaber, G. R. (1989). Signalling by underpricing in the IPO market. Journal of financial Economics, 23(2), 303-323.
4. Baron, D. P. (1982). A model of the demand for investment banking advising and distribution services for new issues. The journal of finance, 37(4), 955-976.
5.Bradley, Daniel J., Bradford D. Jordan, and Jay R. Ritter (2003), “The Quiet Period Goes Out with A Bang,” Journal of Finance, 58, 1–36.
6.Bradley, Daniel J., Bradford D. Jordan, Jay R. Ritter, and Jack G. Wolf (2004), “The IPO Quiet Period Revisited,” Journal of Investment Man-agement, 2, 1–11.
7. Ibbotson, R. G. (1975). Price performance of common stock new issues. Journal of financial economics, 2(3), 235-272.
8. Logue, D. E. (1973). On the pricing of unseasoned equity issues: 1965-1969. Journal of Financial and Quantitative Analysis, 91-103.
9. Loughran, T., & Ritter, J. (2004). Why has IPO underpricing changed over time?. Financial management, 5-37.
10. Miller, R. and F. Reilly (1987). An Examination of Mispricing, Returns, and Uncertainty for Initial Public Offerings. Financial Management, 16, 33-38.
11. Ritter, J. R. (1991). The Long-run Performance of Initial Public Offerings. Journal of finance, 46, 3-27.
12. Ritter, J. R. (1984). The Hot Issue Market of 1980. Journal of Business. 57, 215-240.
13. Rock, K. (1986). Why New Issues are Undervalue?. Journal of Financial Economics, 15, 187-212.
14. Tinic, S. (1988). Anatomy of Initial Public Offerings of Common Stock. Journal of Finance, 43, 789-822.
15. 姜堯民與戴維芯 (2016) 台灣股票初次上市櫃相關研究文獻回顧,經濟論文叢刊(Taiwan Economic Review), 44:1 (2016), 77–125 國立台灣大學經濟學系出版
16. 張翠玲 (2004)初次公開發行蜜月行情之探討-興櫃股票市場設立前後, 逢甲大學財務金融研究所碩士論文.
17. 吳明歷 (2003) 興櫃制度對新上市股票承銷價低估影響之研究, 國立中山大學財務管理研究所碩士論文
指導教授 周賓凰(Pin-Huang Chou) 審核日期 2021-8-2
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