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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/61456

    Title: 以修正投資組合再檢測新上市公司股票之長期績效
    Other Titles: A Reexamination of the Long-term Performance of IPOs with the Modification of Portfolio Construction
    Authors: 陳振遠;王朝仕;湯惠雯
    Contributors: 淡江大學保險學系
    Keywords: 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
    Date: 2007-08
    Issue Date: 2011-10-15 14:09:59 (UTC+8)
    Publisher: 嘉義市:南華大學企業管理系管理科學碩士班
    Abstract: 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.
    Relation: 經營管理論叢 3(2),頁59-76
    Appears in Collections:[Graduate Institute & Department of Insurance Insurance] Journal Article

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