本文透過蒐集及分析企業上市前一個月與其相關的財經新聞內容，探討上市前新聞情緒對首次公開發行股票的影響，包括IPO期初報酬、上市前投資人情緒代理變數，發行熱季以及長期績效。本研究蒐集聯合報、經濟日報、工商時報及中國時報中公司上市前相關新聞內容，分析新聞文章中隱含的情緒，並藉由文字語意分析技術建立新聞淨情緒指標，以及正向情緒與負向情緒比率，並調整否定詞對語意的影響。 根據474家IPO公司的5000多筆新聞資料，本研究實證結果顯示，(1) 新聞淨情緒指標及正向新聞情緒顯著提升IPO的期初報酬，表示媒體正向情緒確實會造成IPO期初股價上漲。(2) 新聞淨情緒指標越大，參與申購的投資人越多，反之新聞負向情緒比例越高，將會降低投資人申購意願。(3) 相較於整體樣本，新聞淨情緒或個別正負向情緒在發行熱季下的影響皆未顯著擴大 (4) 上市前新聞淨情緒越高的企業，其六個月持有期間報酬越低。 ;This thesis collects financial news articles related to firms one month before IPO and explore the impact of financial media sentiment on initial public offerings in the following aspects: IPO initial return, proxy variable of investor sentiment before IPO, hot issue and initial public offerings. In this thesis, we analyze the media sentiment behind news articles and apply text processing skill to construct the measure of media sentiment, including net news sentiment, the proportion of positive news sentiment and negative news sentiment, based on the news collected from United Daily News, Economic Daily News, Commercial Times and China Times. Besides, this thesis also adjusts the influence of negation words. Bases on over 5000 news articles from 474 IPOs, the empirical analysis in this thesis provides the following results. (1) Net news sentiment and positive news sentiment drive up the IPO initial return significantly, indicating that positive media words toward IPOs indeed increase IPO initial stock prices. (2) Investors are more willing to apply for the public subscription to the IPOs with higher net news sentiment. On the other hand, higher negative news sentiment from media before IPO significantly decreases investors’ subscription willingness for IPOs. (3) Compared to the entire sample, net news sentiment or individual positive and negative news sentiment do not have a larger impact in the hot issue market. (4) Firms with higher net news sentiment before IPO tend to exhibit the price reversal in one month and lower six-month buy and hold returns.
