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標題: 台灣首次公開發行公司之市場擇時能力:存活分析之應用
IPO Timing in Taiwan Stock Market: Evidence from the Survival Analysis Model
作者: 謝秉志
Hsieh, Ping-Chih
關鍵字: Initial Public Offerings;首次公開發行;Timing of IPOs;survival analysis;hot issues;Emerging Market;市場擇時能力;存活分析;熱季;興櫃
出版社: 財務金融系所
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For the IPO issues in the past, most of papers focus on the issues of issuing at discount and long-run performance. There aren't many literatures focus on the timing of IPOs. Recently, the studies , such as Bouis(2009), Boehmer and Ljungqvist (2004) started to shed the lights on the issue of IPOs by using survival analysis methods. In this paper, we use survival analysis to examine the relationship between the willingness of IPO and market factors in Taiwan emerging market which have a different IPO policy with US market. The results show that future value of stock market and the number of IPO company that go public in the same period are tend to move statistically significant in the same direction with hazard rate of IPO, market return and volatility are negative correlated with hazard rate of IPO. By using survival analysis, one can get more and clearer information about timing of IPOs.

針對首次公開發行的議題,以往的文獻大多著墨於折價發行及長期績效的議題上,鮮少人去探討首次公開發行公司是否對於市場有擇時能力。直到近年來開始有學者如Boehmer and Ljungqvist (2004) 與Bouis(2009)利用存活分析方法去探究公司的擇時能力。本研究利用台灣興櫃市場的特殊機制進一步證明過去學者的論調,同樣利用存活分析方法來研究公司上市櫃的意願與市場因素之間的相關性。結果發現市場未來價值與同時間進行首次公開發行數量兩者與上市櫃率呈正向關係,市場報酬與波動度兩者與上市櫃率呈反向關係。不僅符合過去學者的說法,並且更清楚凸顯公司的市場擇時能力。
其他識別: U0005-2106201119075700
Appears in Collections:財務金融學系所

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