教師資料查詢 | 類別: 期刊論文 | 教師: 湯惠雯 Hui-wen Tang (瀏覽個人網頁)

標題:以修正投資組合再檢測新上市公司股票之長期績效
學年96
學期1
出版(發表)日期2007/08/01
作品名稱以修正投資組合再檢測新上市公司股票之長期績效
作品名稱(其他語言)A Reexamination of the Long-term Performance of IPOs with the Modification of Portfolio Construction
著者陳振遠王朝仕湯惠雯
單位淡江大學保險學系
出版者嘉義市南華大學企業管理系管理科學碩士班
著錄名稱、卷期、頁數經營管理論叢 3(2)頁59-76
摘要過去對IPO公司股票長期績效之研究,大多採用市場調整模式或Fama-French三因子模式,但在其投資組合的建構過程中,並未排除IPO公司短期異常報酬的影響。因此,本研究為避免此一短期現象干擾IPO公司股票長期異常報酬之衡量,乃以修正後之投資組合建構模式,重新檢視其長期報酬之異常現象。實證結果發現,藉由長期投資組合在建構方法上之修正,明顯增加Fama-French三因子模式的解釋能力。此外,在控制動能因子與規模因子後,IPO公司之五年長期績效與配對公司相比,並無顯著低落的現象。;Previous studies adopted the market-adjusted model or the Fama-French three factors model to examine the long-term performance of IPOs. However, in their courses of portfolio construction, the effects of prevailing short-term abnormal return of IPOs were not eliminated. To avoid the interference from the short-term abnormal return of IPOs, we reexamine the long-term performance of IPOs with the modification of portfolio construction.Our findings suggest that we improve the explanatory power of the Fama-French three factors model on the measurement of long-term performance of IPOs under such a modified procedure. In addition, after controlling the momentum factor and the liquidity factor, we find no evidence of the underperformance of IPOs relative to their matched firms over a five-year holding period.
關鍵字新上市公司股票長期績效Fama-French三因子模式動能流動性; Initial public offerings; IPOs; Long-term performance; The Fama-French three factors model; Momentum; Liquidity
語言中文
ISSN1816-5311
期刊性質
收錄於
產學合作
通訊作者
審稿制度
國別
公開徵稿
出版型式電子版;紙本
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