本篇論文主要探討台灣股市盤後交易的資訊性。所追蹤的資訊傳遞過程如下：以盤後交易為起點，進一步探討隔夜的意見差異因盤後交易所產生的影響，最後將盤後交易次日的股市收盤作為資訊傳遞的終點，以日股價報酬率測度盤後交易的資訊性表現。 實證係採盤後交易量作為盤後交易的替代變數，另外使用開盤買賣價差、開盤首筆成功交易所需秒數與法人買賣超股數作為意見差異的三個替代變數。分別將以上的替代變數與股價報酬率作出迴歸分析，以求了解兩兩間的關係以及每段過程的變化，最後將前後連貫，作成完整的分析。 實證結果發現，盤後交易使得隔夜意見差異增加、投資人意見差異會降低股價報酬、並且透過意見差異，盤後交易資訊使股價報酬減少。在實證分析時並考慮到控制變數：公司市值、市場成交量、盤後交易日個股報酬率、盤後交易日個股成交量、盤後交易日市場報酬率、內部人持股率、產業類型以及跨夜報酬率。由結果得知現行台灣盤後交易制度的限制：以固定價格交易，反而使盤後交易的資訊難於被一般投資人解讀。另外，意見差異在資訊傳遞的過程中扮演了重要的中介角色，在盤後交易的資訊影響到意見差異之後，盤後交易的資訊經過轉化，最後會對股價報酬產生影響。 / This article mainly investigates the informativeness of after-hours trading in Taiwan’s stock market. The information-delivery process tracked is as follows: information abstracted from after-hours trading session, and then observe the divergence of opinion because of trading after hours, end up with measuring the change of the next normal trading day. We use stock price return as a dependent variable in regressions to examine the impacts. In the empirical part, trading volume in after-hours session is the proxy of after-hours trading. The percentage opening spread, time of first trade, and flipping ratio are the three proxies of divergence of opinion. Then regression analysis is applied to examine the relationship between after-hours trading and divergence of opinion, also divergence of opinion and stock price return. At the end, all separate parts are put together in order to form a whole picture. The empirical results suggest that after-hours trading widens the divergence of opinion, and a wide divergence of opinion decreases the stock price return. Through the specific channel, divergence of opinion, the informativeness of after-hours trading is led to affect stock price return. The analysis also considered the following control variables: company market value, market trading volume, stock price return, stock trading volume, market return, insider ownership, industry type and overnight return. Therefore, restrictions in Taiwan’s after-hours market, such as the fixed-price trading, make it more difficult for the public to read information from after-hours session. Moreover, divergence of opinion is served as an important intermediary in the information-delivery process. When the divergence of opinion is affected by after-hours trading the previous day, the information is also transformed and pushed forward to affect the stock price return.

本篇論文係以台灣新上市股票作為研究對象，欲檢驗「投資者意見差異變數」 對於股票長短期績效之解釋能力，使用相似之「投資者意見差異變數」，是否同樣可以合理解釋台灣新上市股票市場的現況，台灣的實證是否同樣支持Miller所提出的假設。並進而探討在不同承銷制度下，是否會影響「投資者意見差異變數」對於上市績效之解釋能力與影響方向。 研究使用「蜜月期天數」、「買賣價差百分比」與「新股蜜月期間周轉率」三者作為「投資者意見差異程度」之代理變數，研究結果發現：此三變數在排除公司特性、發行市場現況等控制變數的影響部分之後，其餘無法被控制變數所解釋的部分，確實對於新上市股票之長短期報酬具有解釋能力，且各意見差異變數與新股短期報酬率之間存有正向關係，而與一年至三年之長期持有報酬率間存有反向關係，此研究結論相當支持Miller假設，除此之外，研究並發現：不同新股承銷制度不會顯著地影響投資者意見差異程度，且若使用公開申購與競價拍賣兩種不同的新股配售方式，僅會影響「投資者意見差異變數」與「新股長期報酬」的影響程度與方向。 / This paper focus on the Taiwan’s IPOs and tries to test the direct relationship between “ divergence of opinions ” and “ the short- run and long- run performance of the initial public offerings (IPOs). ” We use several similar variables to explain the situation of Taiwan’s stock market and find out if data can support the Miller’s hypothesis. Besides, we want to discuss the relationship between “ IPO method ” and “ divergence of opinions ”. We check that different IPO method will have influence on the explanatory power of the “ divergence of opinions”. We use three different variables：“ the number of the honey moon date”, “ the percentage of bid-ask spread ” and “ the turnover rate during the honey moon” as the proxies of the divergence of opinions. The research result finds out that three proxies can truly provide significant explanatory power of the short-run and long-run performance of the IPOs after controlling for issue quality. The results support Miller ( 1977 ), who suggests that greater divergence of opinions or uncertainty about an IPO can generate short-run overvaluation and long-run underperformance. In other words, the divergence of opinions have positive relationship with the initial return and negative relationship with the long run holding period return of IPOs. Besides, the two IPO method ( fixed-price offerings and discriminatory auction ) will only change the long run relationship.