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題 名 | 系統風險變動下新上市公司股票的長期報酬行為:遞迴迴歸之應用=The Long-Run Performance of Initial Public Offerings with Changing Beta: A Rolling Regression Approach |
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作 者 | 陳安琳; | 書刊名 | 管理學報 |
卷 期 | 16:3 1999.09[民88.09] |
頁 次 | 頁535-556 |
分類號 | 563.54 |
關鍵詞 | 新上市公司股票; 長期績效; 系統風險; 風險遞移; 遞迴迴歸; Initial public offerings; Long-run performance; Systematic risk; Changing beta; Rolling regression; |
語 文 | 中文(Chinese) |
中文摘要 | 本文的重點在於新上市公司股票(initial public offerings,IPOs)長期預期報酬 的衡量。以往學者均假設系統風險在實證期間內為固定不變。然而,Ibbotson(l975)及Cotter (1996)均指出IPOs的系統風險在發行後會隨著時間的增長而遞減。因此,探討系統風險的遞 移,將有助於解釋IP0s長期負報酬的現象。而本研究採用遞迴迴歸(recursive regression or rolling regression)來衡量系統風險的遞移情況,並發現臺灣IPOs之系統風險值並沒有 隨著發行時間增長而有遞減的現象,而且一直都小於一,也就是說,平均而言,其風險程度 較其他已發行之公司之風險來得小。另外,IPOs之長期報酬若自發行價格起算,三年後能仍 有正報酬.惟若自發行後之市場交易價格起算,則長期持有會有虧損。這代表發行價格被低 估,而市場在發行初期存在有狂熱(fads)及投機泡沫現象(speculatvie bubbles)。而在IPOs 之價格行為上,最具有影響力的變數為承銷商信譽,信譽差的承銷商所承銷之IPOs,短期有 較高之報酬,但長期的表現上,比信譽卓著之承銷商所承銷之公司來得差。 |
英文摘要 | Prior studies usually assume that the beta risk is constant over time. However, for the IPO firms, the beta risks may be declining after issuance. This paper employs the recursive regression (or rolling regression) method to explore the IPO beta risk pattern and finds that the betas of IPO firms in Taiwan are quite stable over three years after issuance. Furthermore, betas of IPOs in Taiwan are smaller than one. For the performance of IPOs, if an investor can purchase IPO shares at issuance, he still earns positive return over the long run. However, an investor will suffer losses if he invests in IPO shares in the early aftermarket and keeps the shares for three years. These results imply that there exist speculative bubbles and fads in Taiwan's IPO market. Finally, we argue that the prestige of an underwriter is quite significant for the IPO performance both in the short run and in the long run. IPOs underwritten by prestigious underwriters experience less extent of underpricing at issuance and better performance for the three-year investment horizon. |
本系統中英文摘要資訊取自各篇刊載內容。