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台灣新上市股票異常報酬之實証研究 / Economic determinants of underpricing: New evidence from Taiwan.呂勝光, Loo, Shan-Kwang Unknown Date (has links)
本研究探討台灣新上市股票是否有超額報酬之存在,並進一步探討超額報酬與其影響因素之關係:是否因為內部人持股比例高低,公司最近三年平均每股盈餘,負債比例高低,承銷價格高低,公司總資產大小,公司最近三年淨利變化,上市之後一年之內是否辦理現金增資而有所差異。本研究主要探討新上市公司,其新上市短期與長期異常報酬的解釋因素。 / This sutdy mainly employs empirical methodology. The sample period convers from 1987 to 1995, including 195 samples. The unerpricing regress against EPS (earnings per share), average earning growth rate, debt/equity ratio, firm's size , changes in ownership structure, seasoned new issues within one year subsequent to the IPO (dummy variable), and lottery rate. The findings indicate that the underpricing significantly (95% significant level) correlates with EPS, firm's size, and lottery rate.
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