頁籤選單縮合
題名 | Examination the Long-Run Performance of Taiwanese Initial Public Offerings= |
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作者 | Cheng,Shuenn-ren; Shiu,Cheng-yi; |
期刊 | International Journal of Information and Management Sciences |
出版日期 | 20050600 |
卷期 | 16:2 2005.06[民94.06] |
頁次 | 頁17-34 |
分類號 | 563.54 |
語文 | eng |
關鍵詞 | Initial public offerings; IPOs; Long-run performance; Event-time analysis; Calendar-time analysis; |
英文摘要 | Previous works have documented that the Taiwanese initial public offerings do not have long-run underperformance. This study demonstrates that the failure of existing studies to detect underperformance is attributed to the use of daily data, which leads to the systematic risk being underestimated, and also to the right-skewed distribution of returns. This study employs monthly trimmed return to calculate the buy-and-hold excess return and cumulative abnormal return, and finds a negative three-year abnormal return. Moreover, the calendar-time analyses of one-factor and three-factor models suggest that investors holding Taiwanese IPO shares suffer a 19% loss relative to their benchmark performance of the Taiwan stock market. This study concludes that Taiwanese IPOs suffer long-run underperformance. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。