考量高低績效水準下美國IPO長期績效因素影響情形之探討

The Study of Impact Factors for U.S. IPO Long-Term Performance by Thinking Difference Performance Level

10.30165/JHSS.200906.0004

李建興(Jen-Sin Lee)

股票初次上市 ； IPO長期績效 ； 分量迴歸分析 ； 機會之窗 ； 強者恆強 ； IPO ； Long-term Performance ； Quantile Regression Method ； the Window of Opportunity ； the Stronger Always the Winner

人文與社會學報

2卷4期（2009 / 06 / 01）

111 - 139

繁體中文

本文探討美國IPO長期績效的影響因素影響情形。由於不同績效水準之「公司股票特性」與「處分方式」有所差異，可能導致高與低IPO之長期績效，其影響因素的影響形態可能有所差異，本文引入分量迴歸分析法來加以探討。 主要發現如下：首先，高低分量之實證結果，確實有許多重要差異，這表示區分高低長期績效來探討本研究主題，有其必要性。其次，同時發行境外股份的公司，其長期績效較佳；在網路泡沫期間上市的公司，由於上市股價過度高估而使得長期績效較差。

This study investigates the impact factors of US's IPO long-term performance. To investigate the differences in the impact effects between high and low long-term performances, we perform the quantile regression method (QR). Our main findings are as follows: First of all, Our research indicates that QR identifies multiple relationships between the long-term performance and impact factors. Global IPOs are larger and enjoy higher operation performance, and those characteristics help global IPOs to have superior long-term performance. Secondly, the overpricing of stocks relative to actual value during the Internet bubble period undermined long-term performance.

1. 李建興、沈中華、顏碧霞(2008)。從眾贖回與非從眾贖回下基金投資人處分效果之探討：分量迴歸。管理與系統
   連結：
2. 莊佳彰、管中閔(2005)。台灣與美國股市價量關係的分量迴歸分析。經濟論文，33，379-404。
   連結：
3. 陳建良、管中閔(2006)。台灣工資函數與工資性別歧視的分量迴歸分析。經濟論文，34，435-468。
   連結：
4. 廖仲仁、張金鶚(2006)。不對稱的仲介服務價格效果：分量迴歸法之驗證。都市與計畫，33，1-16。
   連結：
5. Anton, W. R.,Deltas, Q. G.,Khann, M.(2004).Incentives for environmental self-regulation and implications for environmental performance.Journal of Environmental Economics and Management,48,632-654.
6. Baker, M.,Stein, Jeremy C.(2004).Market liquidity as a sentiment indicator.Journal of Financial Markets,7,271-299.
7. Bernini, C.,Freo, M.,Gardini, A.(2004).Quantile estimation of frontier production function.Empirical Economics,29,373-381.
8. Buchinsky, M.(1998).Recent advances in quantile regression models: a practical guide for empirical research.Journal of Human Resources,33,88-126.
9. Cai, J.,Wei, K. C.(1997).The investment and operating performance of Japanese initial public offerings.Pacific Basin Finance Journal,389-417.
10. Campbell, J. Y.,Grossman, S. J.,Wang, J.(1993).Trading Volume and Serial Correlation in Stock Returns.Quarterly Journal of Economies,108,905-940.
11. Chan, K.,Wang, J.,Wei, K. C. John(2004).Underpricing and Long-term Performance of IPOs in China.Journal of Corporate Finance,10,409-430.
12. Chernozhukov, V.,Hansen, C.(2004).The Effects of 401(k) Participation on the Wealth Distribution: An Instrumental Quantile Regressiom Analysis.The Review of Economics and Statistics,86,735-751.
13. Cooper, M.,Gutierrez, R., Jr.,Hameed, A.(2004).Market states and momentum.Journal of Finance,57,985-1019.
14. Cooper, T. C.(1999).Processing of idioms by L2 learners of English.TESOL Quarterly,33,233-262.
15. Drobetz, W.,Kammermann, M.,Wälchli, U.(2005).Long-run performance of initial public offerings: the evidence for Switzerland.Schmalenbach Business Review,57,253-275.
16. Fattouh, B.,Scaramozzino, P.,Harris, L.(2005).Capital structure in South Korea: A quantile regression approach.Journal of Development Economics,76,231-250.
17. Fersterer, J.,Rudolf, W. E.(2003).Are Austrian returns to education falling over time?.Labour Economics,10,73-89.
18. Furno, M.(2004).Arch Tests and Quantile Regression.Journal of Statistical Computation and Simulation,74,277-292.
19. Gervais, S.,Kaniel, R.,Mingelgrin, D. H.(2001).The High-Volume Return Premium.Journal of Finance,56,877-919.
20. Goel, R. K.,Ram, R.(2004).Quantile-Regression Estimates of Cigarette Demand Elasticities for the United States.Journal of Economics and Finance,28,413-421.
21. Huang, D.(2006).Market states and international momentum strategies.Quarterly Review of Economics and Finance,46,437-446.
22. Kahneman, D.,Tversky, A.(1979).Prospect theory: An analysis of decision under risk.Econometrica,47,263-291.
23. Kan, K.,Tsai, W. D.(2004).Obesity and risk knowledge.Journal of Health Economics,23,907-934.
24. Koenker, R.,Bassett, G.(1978).Regression quantiles.Econometrics,46,43-62.
25. Koenker, R.,Hallock, K.(2001).Quantile Regression.Journal of Economic Perspectives,15,143-156.
26. Loughran, T.,Ritter, J.(1995).The New Issues Puzzle.Journal of Finance,23-51.
27. Mello, M.,Perrelli, R.(2003).Growth equations: a quantile regression exploration.The Quarterly Review of Economics and Finance,43,643-667.
28. Melly, B.(2005).Decomposition of differences in distribution using quantile regression.Labour Economics,12,577-590.
29. Ritter, J. R.(1991).The Long Run Performance of Initial Public Offerings.Journal of Finance,46,3-27.
30. Ritter, J. R.(1984).The Hot Issue Market of 1980.Journal of Business,57,215-240.
31. Ritter, J. R.,Welch, I.(2002).A Review of IPO Activity, Pricing, and Allocations.Journal of Finance,1795-1828.
32. Santa-Clara, P.,Valkanov, R.(2003).The Presidential Puzzle: Political Cycles and the Stock Market.Journal of Finance,58,1841-1872.
33. Taylor, J. W.,Bunn, D. W.(1999).Investigating improvements in the accuracy of prediction intervals for combinations of forecasts: A simulation study.International Journal of Forecasting,325-339.
34. Tetlock, P. C.(2007).Giving Content to Investor Sentiment: The Role of Media in the StockMarket.Journal of Finance,62,1139-1168.
35. Viscusi W. K.,Born, P. H.(2005).Damages Caps, Insurability, and the Performance of Medical Malpractice Insurance.The Journal of Risk and Insurance,72,23-43.
36. Wu, C.,Chuck, C.,kwok, Y.(2007).Long-run performance of global versus domestic initial public offerings.Journal of Banking & Finance,31,609-627.
37. 李建興(2008)。台灣IPO折價因素的探討：分量迴歸分析法。證券市場季刊，20，47-100。