Why are initial public offerings (IPOs) underpriced? We consider this is a strategy that insiders use to maximize their personal wealth. When a company offers shares in an initial public offering, insiders typically enter into a lock-up restriction which prohibits insiders from selling their shares within a specified period after the IPO. Insiders interested in maximizing their personal wealth will take actions to maximize the lock-up expiration share price rather than the offer price. When the IPOs underprice, the share price will go up during the honeymoon period. The large run-up in the stock price will attracts interest from the media. And the enhanced coverage brings the stock to the attention of more investors. Then the demand for the stock will increase and make the stock price go up. This allows the insiders to sell shares at the lock-up expiration at price higher than he would otherwise be able to obtain. This study examines the relationship among underpricing, coverage and return. We find that stock deposit and the age of a company are positively correlated with underpricing. The electronic-related companies are much more noticeable than underpricing to lead to more coverage. We also find that coverage is positively correlated with return through the lock-up expiration.

My dissertation consists of two papers, one in the area of investment and the second in the area of corporate finance. The first paper examines robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels of market volatility in this period rendering momentum strategy unprofitable. Past returns, can no longer explain the cross-sectional variation in stock returns, even following up markets. We suggest three possible explanations for the declining momentum profits that involve uncovering of the anomaly by investors, decline in the risk premium on a macroeconomic factor, growth rate in industrial production in particular and relative improvement in market efficiency. We study the impact of venture capital funds' (VC) liquidity concerns on the timing and outcome of their portfolio firms' exit events. We find that VC funds approaching the end of their lifespan are more likely to exit during cold exit market conditions. Such late exits are also less likely to be via initial public offerings (IPO). A one standard deviation increase in the age of a VC fund at the time of the exit event is associated with a 5 percentage points decline in the probability of an IPO vs. a trade sale from an unconditional probability of roughly 30%. Several tests indicate that the decline in IPOs with VC fund age is not caused by lower portfolio firm quality. Focusing on the aftermath of IPOs, VC-backed firms experience significantly larger trading volume and lower stock returns around lock-up expirations if they are backed by older funds, and this lock-up effect is amplified if there are multiple VC firms approaching the end of their lifespan. Altogether, our results suggest that the exit process is strongly influenced by VCs' liquidity considerations. / Ph. D.

中游廠商面臨產業結構屬於獨寡占的上游廠商，兩者之間由於中游的經濟規模小於上游形成不對稱組織交易，再者中游廠商與上游存在依賴關係，前者需要後者提供原物料或技術服務以滿足下游顧客需求。本研究利用策略行銷成本架構(4C analysis)，並針對國內各大產業之中介廠商為研究對象，包含電機機械通路產業、半導體設計製造業以及旅遊資訊服務業等產業進行深度訪談。此獨寡占上游─中游─下游情境中，分別解釋產業鏈中的從屬關係。 首先是權力處於相對弱勢的中游廠商與上游的交易關係：中游廠商看似被上游供應商套牢陷入的狀況，但除了存在專屬陷入成本外，影響該交易關係尚存在外顯單位效益成本以及道德危機成本。接著，中游廠商為了與上游持續交易的目的下，採取的策略成本選擇為降低外顯單位效益成本，以及提高上游廠商對於中游的專屬陷入成本以達到與上游持續交易的目的，另一方面，順應此不利環境下，中游廠商滿足下游需求的做法有降低外顯單位效益成本、資訊搜尋成本、道德危機成本以及提高專屬陷入成本的方式。最後一部分為中游為減少對上游廠商的依賴，對於上游或下游投資抵銷性資產，使中游廠商提高本身的議價能力，對於上游廠商的依賴程度獲得減緩。 / In comparison to monopoly or oligopoly up-stream suppliers, mid-stream firms has smaller scale in terms of revenue, the transaction between the two can be described as asymmetric interorganizational relationship. Besides, the mid-stream firms depend on its supplier for key material or services, in order to fulfill the demand of their down-stream customers. This study focus on the monopoly/oligopoly upstream supplier to mid-stream firms to down-stream customer chain, interviewing mid-stream firms in different industries including dealer in electrical machinery industry, semi-conductor industry and tour agent and delve into the relationships between these characters by 4C analysis structure. First of all, the study took a closer look at the relationship between the mid-stream firms and their suppliers; the formers have an inferior bargaining power position and seemed being locked up by the latters, as known as cost of asset-specificity. But we also found that over cost per utility and cost of moral hazard would also be considered by the mid-stream firms. The mid-streams took some actions in order to assure the continuous cooperation with the suppliers, and under this circumspect they will also make efforts to save down-stream customers. We found that the 4C analysis can explain the strategies taken by those mid-stream firms. Finally, the mid-streams would like to reduce the control of the up-streams, so they would put resources in establishing offsetting investments to accumulate their bargaining power to the suppliers, to mitigate the dependence.

利用1995-2015年間美國房地產投資信託基金（REIT）的176個初次公開發行為樣本，本研究分析了初步公開說明書（Form S-11）資訊與REITs上市後之當天，短期和長期表現之間的關係。其中，本文著重於探討四個特別領域的相關資訊，包括管理結構，承銷商聲譽，IPO閉鎖期及管理團隊品質。 實證結果顯示，初步公開說明書（Form S-11）包含有價值的資訊，有助於REIT IPO 投資人作投資評估之使用。其中，IPO閉鎖期大於等於產業標準180天的REITs，其在上市後6個月和12個月期間的報酬率高於IPO閉鎖期小於180天的REITs。此外，與過去的IPO研究結果相似，由知名承銷商所銷售之REIT IPOs 在初次公開發行後的短期及長期表現平均優於由知名度較低之承銷商所銷售的REIT IPOs。 然而，儘管過去與REIT相關的研究普遍偏好內部管理，本研究之實證結果支持外部管理的模式。其中，實證結果顯示外部管理的REITs在初次公開發行後的短期及長期表現平均優於內部管理的REITs。 / Using a sample of 176 US REIT IPOs from 1995 to 2015, this study examines the relationship between information provided on the preliminary IPO prospectus (form S-11) and post-IPO initial, short-term and long-term performance of REITs. In particular, this paper focuses on information related to four specific areas: management structure, underwriter reputation, lock-up period, and management quality. The findings of this study suggest that form S-11 carries valuable information, and is useful to investors in evaluating REIT IPOs. The regression results indicate that REIT IPOs with a lock-up period that is at least as long as the industry standard, on average, earn higher post-IPO returns 6-month and 12-month following the IPO date. Moreover, consistent with prior IPO studies, offerings underwritten by prestigious underwriters, on average, yield better post-IPO performance than IPOs underwritten by less reputable underwriters. Yet, unlike prior REIT studies, the findings of this paper tend to favor the external management structure. The results from the sub-sample imply externally managed REITs, on average, earn higher post-IPO short-term and long-term returns than their internally managed counterpart.