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.
