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Student Number 88425020
Author Chung-Hao Kuo(郭宗皓)
Author's Email Address No Public.
Statistics This thesis had been viewed 2931 times. Download 2134 times.
Department Finance Management
Year 2000
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title An empirical relation between IPO underpricing , initial abnormal return and subsequent equity offerings
Date of Defense 2001-06-29
Page Count 81
Keyword
  • abnormal return
  • seo
  • underpricing
  • Abstract Abstract
    Due to the “information asymmetry” between issuers and investors.so some papers present “Signaling hypothesis” that high-quality firms underprice their IPOs to distinguish from themselves from low-quality firms.After IPO investors will find out which firms are real high-quality.Those company can raise additional capital in more favorable terms that is what we call “SEO”.The “Signaling theory” implies that underpricing will be positively related to the firms’ SEO.
    Jegadeesh,Weinstein&Welch present the “Market feedback hypothesis”.
    They think that the high returns in a period after the IPO imply that issuers have underestimated the marginal return to the project. So the reason caused the IPO companies to issue seasoned issuesis the cumulated abnormal return not the underpriceing.
    Because the cost of signaling to underpricing is high, low-quality firms will not do the discount to the IPOs.There is obviously the “Separating Equilibrium” in the initial offerings market.
    This thesis would analyze the relation between underpricing and SEO probability、speed、scale…And test the“Market feedback hypothesis”.Besides that I also want to test the ralation between underpricing and performance ,and find Taiwan initial public market is belong “Separating equilibrium” or “Pooling equilibrium”
    The results of the thesis are :
    1.IPOs with higher underpricing and initial cumulated abnormal return are less
    likely to issue seasoned equity than firms with lower underpricing and initial
    cumulated abnormal return.
    2.IPOs with higher underpricing and initial cumulated abnormal return are less quickly to issue seasoned equity than firms with lower underpricing initial cumulated abnormal return.
    3. IPOs with higher underpricing and initial cumulated abnormal return are likely to issue larger amounts of seasoned equity
    4.The performance after IPO in companies with SEO is not higher than those without reissuing within 2 years.
    5.The performance after IPO in companies with high underpricing and reissuing is no better than those with low underpricing and non-reissuing ,and those with low underpricing and reissuing.so Taiwan IPO market is belong to 「Pooling Equilibrium」not 「Separating Equilibrium」
    Table of Content 目錄
    第一章緒論
    第一節研究動機…………………………………………………..1
    第二節研究目的…………………………………………………..3
    第三節研究限制…………………………………………………..4
    第四節研究流程與架構…………………………………………..5
    第二章文獻探討
    第一節新上市股票承銷價格低估之分析 ……………………..8
    第二節新上市股票價格低估之影響因素………………………..12
    第三節新上市股票之訊息發射理論……………………………..15
    第四節新上市股票價格低估與現金增資關係之理論…………..19
    第三章研究設計
    第一節研究假說…………………………………………………..24
    第二節資料來源及整理…………………………………………..26
    第三節變數定義及操作性………………………………………..27
    第四節研究設計…………………………………………………..30
    第四章實證分析與結果
    第一節敘述性統計分析…………………………………………..36
    第二節多元迴歸分析暨統計結果………………………………..41
    第五章結論與建議
    第一節實證研究結論……………………………………………..54
    第二節研究建議…………………………………………………..56
    參考文獻……………………………………………………………...71
    Reference 參考文獻
    中文部分
    1. 王瑞儀,新上市股票異常報酬影響因素之檢定:台灣股票市場實證分析,淡江大學管理科學研究所未出版碩士論文,民國七十八年。

    2. 江舒欣,承銷商表現與新股績效關係之研究,政治大學企業管理研究所未出版碩士論文,民國八十二年。

    3. 吳惠娟,現金增資對股票價格的影響─台灣股票市場實證研究,國立成功大學工業管理研究所未出版碩士論文,民國七十七年五月。

    4. 周士淵,我國新上市公司股票價格績效之研究,淡江大學管理科學研究所未出版碩士論文,民國八十一年。

    5. 林彥傑,新上市公司上市後初次發行現金增資普通股之研究,中正大學財金所未出版碩士論文,民國八十四年。

    6. 林博泰,新上市股票持久性之研究,台灣大學商學研究所未出版碩士論文,民國八十年。
    7. 胡巧怡,新上市公司承銷價低估與日後現金增資關係之研究,台灣大學會計學研究所未出版碩士論文,民國八十五年。

    8. 胡致仁,新上市股票短期報酬之探討,政治大學企業管理研究所未出版碩 士論文,民國七十七年。

    9. 夏侯欣榮,台灣地區新上市普通股承銷價格之研究,政治大學企業管理研究所未出版博士論文,民國八十二年。
    10. 許永聲,新上市股票異常價格績效之驗證與探討,東海大學企業管理研究所未出版研士論文,民國七十八年。

    11. 陳盛得,新上市股票長期價格之研究,中正大學財金研究所未出版碩士論文,民國八十三年。

    12. 張慎,台灣新上市股票超額報酬及其影響因素之實證研究,政治大學會計學研究所未出版碩士論文,民國八十三年。

    13. 詹以珍,台灣地區新上市公司價、增資決策關係與更換承銷商之研究,東吳大學會計學研究所未出版碩士論文,民國八十三年。
    14. 楊輝煌,台灣地區新上市股票價格偏低影響因素分析,東海大學企業管理研究所未出版碩士論文,民國八十二年。
    15. 李迪愷,承銷價格與現金增資關聯性研究,中興大學企業管理研究所,民國87年。

    二、 英文部分
    1.Affleck-Graves, John and Robert E. Miller, “Regulatory and
    Procedural Effects on the Underpricing of Initial Public Offerings,” Journal of Financial Research, 12:3, Fall 1989, pp.193-202.
    2.Allen, Franklin and Gerald R. Faulhaber, “Signaling By Underpricing in the IPO Market.” Journal of Financial Economics, 23, 1989, pp.303-323.
    3.Baron, D, “A Model of the Demand for Investment Banking and Advising and Distribution Services for New Issues,” Journal of Finance, 37, Sep, 1982, pp. 955-976.
    4.Beaty, Randolph P. and Jay R. Ritter, “Investment Banking, Reputation, and the Underpricing of IPO,” Journal of Financial Economics, 21, 1986, pp.213-232.
    5.Booth, J. R. and R. L. Smith, “Captial Raising Underpricing and the Certification Hypothesis,” Journal of Financial Economics, 15, 1986, pp.261-281.
    6.Galai, D. and R. Masulis, "The option Pricing Model and The Risk Factor of Stock", Journal of Financial Economics, 1976, pp.53-81.
    7.Garfinkel, J. A., “IPO Underpricing, Insider Selling, and Subsequent Equity Offering:Is Underpricing a Signal of Quality?,” Financial Management, 22, 1993, pp.74-83.
    8.Grinblatt, Mark and Chuan Y. Hwang, “Signaling and the Valuation of Unseasoned New Issues,” Journal of Finance, 44, 1989, pp.393-420.
    9.Ibbotson, Roger G. and Jeffrey F. Jaffe, “Hot Issue Market,” Journal of Finance, 30, 1975, pp.1027-1042.
    10.Jegadeesh, N., I. Welch, and M. Weistein, “An Empirical Examination of Seasoned Equity Offerings and IPO,” Journal of Financial Economics, 34, 1993, pp.153-175.
    11.Leland, H. & D. Pyle, "Information Asymmetries, Financial Structure, and Financial Intermediation", Journal of Finance , Vol.32, 1977, pp.371-387.
    12. Mauer, D. C. and L. W. Senbet, “The Effect of The Secondary Market on The Pricing of Initial Public Offerings:Theory and Evidence,” Journal of Financial and Quantitative Analysis, 1992,pp.55-79.
    13.McDonald, J. G. and A. K. Fisher, “New-Issue Stock Price Behavior,” Journal of Finance, 1972,pp.100-102.
    14.Reilly, Frank K.,”Further Evidence on Short Run Result for New Issue Investors,” Journal of Financial and Quantitative Analysis, 1973,pp.83-90.
    15. Ritter, Jay R. “The ‘Hot’ Issue Market of 1980,” Journal of Business, 57, 1984, pp.215-240.
    16.“Signaling and the Valuation of Unseasoned New Issues:A Comment,” Journal of Finance, 39, Sep, 1984, pp.1231-1237.
    17. Rock, Kevin, “Why New Issues Are Underpriced,” Journal of Financial Economics, 15, 1986, 187-212.
    18.Tinic, S. M. “Anatomy of Initial Public Offerings of Common Stock,” Journal of Finance, 43, Sep, 1988, pp.135-148.
    19.Welch, I. “Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offerings,” Journal of Finance, 44, 1989, pp.421-449.
    Advisor
  • Min-Teh Yu(俞明德)
  • Files
  • 88425020.pdf
  • approve immediately
    Date of Submission 2001-06-29

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