交易訊息與新上櫃公司期初累積報酬之關聯性---台灣之實證研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：12

、訪客IP：3.149.214.223

姓名

林秀慧(Hsiu-Huei Lin) 查詢紙本館藏

畢業系所

產業經濟研究所

論文名稱

交易訊息與新上櫃公司期初累積報酬之關聯性---台灣之實證研究
(The Trade Information Relate with the Returns of Initial Public Offerings ---An Empirical Study in the Taiwan OTC Market)

相關論文

★ 經發會前後台股指數、期貨指數、電子指數與金融指數之關聯性	★ 期間利差與經濟衰退之預測模型-理性預期假設之驗證
★ 台灣、美國總經月數據與台股股價指數之關聯性	★ 台灣資訊電子產業異質性及利潤率之探討
★ 中小企業案件逾期放款之預測	★ 台灣半導體產業經營效率分析－三階段資料包絡分析法之應用
★ 台灣車輛產業經濟附加價值之研究－兼論影響信通交通器材公司經濟附加價值之因素	★ 外人直接投資與研發活動之關聯性-台灣電子相關產業之實證研究
★ 消費性信用貸款授信評量模式之研究	★ 二順位房貸產品風險預警分析
★ 新產品商業化流程之個案研究–以美商3M公司為例	★ 國際原油投資報酬與資金行情之探討-GARCH模型
★ 電子商務對企業經營績效之影響	★ 高淨值客戶風險屬性與共同基金投資報酬率之實證研究
★ 台灣加權指數與指數股票型基金風險值之歷史模擬法分析	★ 國際油價、匯率與利率之動態關聯—VECM與VECM-GARCH之應用

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本文主要探討新上櫃股票(IPOs)期初累積報酬中所隱含私有資訊交易。我們以台灣新上櫃股票市場為研究對象，利用私有資訊交易模型來估測IPOs上櫃後所含的資訊訊息，取代一般文獻中以間接的代理變數來衡量IPOs期初報酬中資訊不對稱的狀況。同時並以非涵蓋模型(Non-nested model)檢測，私有資訊因子的單一廻歸模型與代理變數的複廻歸對IPOs期初報酬的解釋程度，何者為優勢模型？實證結果發現台灣新上櫃股票市場確實存在期初報酬，在IPOs期初報酬的廻歸分析模型中，私有資訊交易模型中所求出代表資訊不對稱的因子，與新上櫃股票期初報酬的模型解釋力達顯著水準；而一般間接代理變數中以中籤率和上櫃前股東人數之解釋能力為顯著。此外，我們將以一般代理解釋變數的廻歸模型，與私有資訊因子的廻歸模型作非涵蓋模型的檢定，比較何為優勢模型?證據顯示T統計量顯著拒絕代理變數模型為優勢模型之虛無假說；反之我們再進行相對應的檢定，發現T統計量並不拒絕資訊交易模型為優勢模型之虛無假說。因此，我們推論本研究所推導之私有資訊因子的模型確實優於傳統的代理變數複廻歸模型。

摘要(英)

In this thesis, I use a new empirical model, Informed Regression Model (IRM) to estimate the probability of trades generated by privately informed traders in the IPO market of Taiwan OTC. Meanwhile, I also follow the literatures on the IPO subjects, using Explicit-Variable Regression Model (EVRM), to find out the factors affecting the initial returns of the IPO securities. Appling the Non-nested Model testing method, I compare the IRM with the EVRM and find several empirical results as follows: (1) Evidence shows that the IPO market of Taiwan OTC existing initial returns. (2) The factors affecting the initial returns of the IPO securities are the drawing percentage and the number of shareholders before IPO. (3) The empirical results show that the factor of the informed traders has a significantly negative impact on the initial return of IPOs. (4) The result of the Non-nested model testing shows that the IRM is superior to EVRM.

關鍵字(中)

★ 資訊不對稱
★ IPOs期初報酬
★ 私有資訊交易
★ 非涵蓋模型

關鍵字(英)

★ Non-nested model
★ informed trade
★ Asymmetric Information
★ the initial return of IPOs

論文目次

第一章緒論...........................................................................01
第一節研究動機...........................................................................01
第二節研究目的...........................................................................03
第三節研究架構與內容………………………………………………04
第二章參考文獻...........................................................................06
第一節 IPOs期初報酬之相關文獻...........................................................06
第二節私有資訊交易模型之相關文獻………………………………….15
第三章研究方法.........................................................................19
第一節新上櫃股票期初報酬與代理變數之迴歸模型...........................19
第二節私有資訊交易模型之推導...........................................................22
第三節新上櫃股票的期初報酬與私有資訊交易模型之關聯性...........28
第四節非涵蓋模型...................................................................................30
第四章資料樣本.........................................................................35
第一節樣本市場環境概述.......................................................................35
第二節研究樣本.......................................................................................38
第三節新上櫃股票之代理變數探討.......................................................40
第五章實證結果分析..................................................................44
第一節新上櫃股票期初報酬與代理變數分析.......................................44
第二節新上櫃股票期初報酬與私有資訊交易模型分析.......................53
第三節非涵蓋模型檢定………………………………….......................55
第六章結論與建議......................................................................57
第一節研究結論.......................................................................................57
第二節後續研究建議...............................................................................60
參考文獻....................................................................................62
附錄..........................................................................................67
馬可夫轉換模型.................................................................................................67

參考文獻

一、英文部分
1. Allen, F.and G.Faulhaber, “ Signaling by Underpricing in the IPO Market.” Journal of Financial Economics, Vol. 23, pg. 303-323, 1989.
2. Baron, D.P.,” A Model of Demand for Investment Banking Advising and Distribution Services for New Issue,” Journal of Finance, September, pg. 955-976, 1982.
3. Beatty, R. and J. Ritter, “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings,” Journal of Financial Economics, 15, pg. 213-232, 1986.
4. Block, S. and M. Stanley,” The Financial Characteristics and Price Movement Patterns of Companies Approaching the Unseasoned Securities Market in the Late 1970s,” Financial Management, Vol.9, pg.30-60, 1980.
5. Brockaman, Paul and Y. Chung, Dennis. “Informed and Uninformed Trading in and Electronic, Order-Driven Environment”, The Financial Review, Vol. 35, No.2, pg. 125-146, 2000.
6. Booth, J. R. and L. Chua, “Ownership Dispersion, Costly Information and IPO Underpricing.” Journal of Financial Economics 41, pg. 291-310, 1996.
7. Carter, RB, "Underwriter Reputation and Repetitive Public Offerings," Journal of Financial Research, winter, pg. 339-355, 1992.
8. Carter, R.B.and S. Manaster, “Initial Public Offerings and Underwriter Reputation,” Journal of Finance, pg. 1045-1068, 1990.
9. Chiang, R., and P. C. Venkatesh,”Insider Holding and Perceptions of Information Asymmetry: A Note,” Journal of Finance, September, pg.1041-48, 1998.
10. Cox, D., “Further Results on Tests of Separate Families of Hypotheses,” Journal of Royal Statistical Society, Series B, 24, pg. 406-424, 1962.
11. Davidson, R. and J. G. MacKinnon, “Several Tests for Model Specification in the Presence of Alternative Hypotheses,” Econometrica 49, pg.781-793, 1981.
12. Easley, D., N. M. Kiefer, and M. O’Hara, “Cream-Skimming or Profit Sharing? The Curious Role of Purchased Order Flow”, The Journal of Finance, Vol. 51, No. 3, pg 811-833, 1996.
13. Easley, D., N. M. Kiefer, and M. O’Hara, “The Information Content of the trading process. Journal of Empirical Finance, Vol. 4, No. 2-3, pg. 159-186, 1997.
14. Easley, D., Maureen O’Hara, Joseph Paperman. “Financial analysts and information-based trade.” Journal of Financial Market, Vol. 1, pg. 175-201, 1998.
15. Glosten, L.R., “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics, Vol. 14, No. 1, pg. 71-100, 1985.
16. Grammig, Joachim, Dirk Schiereck, and Erik Theissen, “Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets”, Journal of Financial Markets, Vol. 4, pg. 385-412, 2001.
17. Greene, W. H., Econometric Analysis, 4th edition, 2000, Prentice Hall International, Inc, pp.300-305.
18. Hamilton, J. D., “ A New A pproach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, Vol. 57 No. 2, pg. 357-384, 1989.
19. Hamilton, J. D., “Time Series Analysis”, Princeton University Press, 1994.
20. Handa, Puneet, Robert Schwartz and Ashish Tiwari, “Determinants of the Bid-Ask Spread in an Order Driven Market”, Working Paper, Sept 1997.
21. Heidle, Hans G. and D. Huang Roger, “Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings”, Working Paper, 1999.
22. Huang, Y. S.” The price behavior of initial public offerings on the Taiwan Stock Exchange,” Applied Financial Economics, Vol.9, pg. 201-208. 1999.
23. Ibbotson, R., Price Performance of Common Stock New Issues. Journal of Financial Economics Vol. 2, pg. 235-272, 1975.
24. Ibbotson, R. and J. Jaffe, “Hot Issue” Markets, Journal of Finance Vol. 30, pg. 1027-1042, 1975.
25. Joel Hasbrouck ,”The Summary Informative of Stock Trade: An Econometric Analysis ”The Review of Finance Studies, Vol. 4, No. 3 ,pg.571-595,1991b.
26. Joel Hasbrouck “Measuring the Information Content of Stocks Trades,” The Journal of Finance. March, No., pg. 179-207, 1991a.
27. Judge, G., W. E. Griffiths, R. C. Hill, H. Lütkepohl, and T.-C. Lee, The Theory and Practice of Econometrics, 2nd edition, John Wiley and Sons Inc. , 1997
28. Ken Nyholm,” Inferring the private information content of trades: a regime-switching approach” Journal of Applied Econometrics, vol. 18, issue 4, pg. 457-470, 2003.
29. Krigman, L., Shaw, W.H., Womack, K.L., “The Persistence of IPO Mispricing and the Predictive Power of Flipping”, Journal of Finance, Vol. 54, No. 3, pg. 1015-1044, 1999.
30. Kyle, A. S., “Continuous Auctions and Insider Trading,” Econometrica, Vol. 53, No. 6, pg. 1315-1335, 1985.
31. Leland, H.E. and D.H. Pyle,” Information Asymmetries, Financial Structure and Financial Intermediation,” Journal of Finance, 32, pp371-387, 1977.
32. Lobo, Gerald J and Samuel Tung, ”Relation Between Predisclosure Information Asymmetry and Trading Volume Reaction Around Quarterly Earnings Announcements” Journal of Business Finance and Accounting, Vol. 24, pg. 851-868, 1997.
33. Logue, D. E.,” On the Pricing of Unseasoned Equity Issues: 1965-1969,” Journal of Financial and Quantitative Analysis, Vol. 30, pg. 91-103, 1973.
34. Ma, Tai, M. H. Hsieh and J. H. Chen, “The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market”, The Paper of 9th Conference on the Theories and Practices of Securities and Financial Markets, 2000.
35. Maddala, G. S., Introduction to Econometrics, 3rd edition, pg.502-506, 2001.
36. Mauer, D. C. and L. W. Senbet, "The Effect of the Secondary Market on the Pricing of Individual Public Offerings: Theory and Evidence," Journal of Financial and Quantitative Analysis, Vol. 27, pg. 55-80, 1992.
37. McDonald, J.G. and A. K. Fisher, ”New Issue Stock Price Behavior,” Journal of Finance, 27, pg.102-135, 1972.
38. Muscarella, C.J. and M.R. Vetsuypens, “A Simple Test of Baron’s Model of IPO Underpricing,” Journal of Financial Economics Vol. 24, pg. 125-135, 1989a.
39. Tinc, S., “Anatomy of initial public offerings of common stock.” Journal of Finance Vol. 43, pg. 789-882, 1988.
40. Titman, S. and B.Trueman,” Information Quality and the Offerings Common Stock,” Journal of Accounting and Economics, Vol.8, pg.159-172, 1986.
41. Reilly, F.K. and K. Hatfield, “Investor experience with new stock issues,” Financial Analysts Journal, September/October, pg. 73-80, 1969.
42. Ritter, J., The ‘Hot Issue’ Market of 1980”, Journal of Business, Vol. 57, pg.215-240, 1984.
43. Ritter, J.R.,” The Long-run Performance of Initial Public Offerings,” Journal of Finance, Vol. 46, pg. 3-27, 1991.
44. Ritter, J. and I. Welch, “A Review of IPO Activity, Pricing, and Allocations.” Journal of Finance, Vol. 57, No. 4, pg. 1795-1828, 2002.
45. Rock, K., “Why New Issues Are Underpriced.” Journal of Financial Economics, Vol.15, pg.187-212, 1986.
46. Pesaran, M. H., “On the General Problem of Model Selection,” Review of Economic Studies, Vol. 41, pg.153-171, 1974.
47. Pesaran, M. H. and A. S. Deaton, “Testing Non-nested nonlinear Regression Models,” Econometrica, Vol. 46, pg.667-694, 1978.
48. Welch, I.,” Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offering,” Journal of Finance, Vol. 44, pg. 421-449, 1989.
49. Welch, I., “Sequential Sales, Learning, and Cascades,” Journal of Finance, Vol. 47, pg. 695-732, 1992.
二、中文部分
1. 楊清芬，「資訊交易機率測度及其決定因素之探討」，國立中山大學財務管理所，2001。
2. 朱立倫，「臺灣股市新上市股票蜜月現象之研究」，證券市場發展，民國86年，第9卷第1期，頁1-29。

指導教授

陳禮潭、陳忠榮
(Lii-Tarn Chen、Jong-Rong Chen)

審核日期

2004-7-15

推文