國立中山大學學位論文典藏.PDF

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屋欲禹
7 years ago
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2 IPO

5 IPO t

6 Abstract This paper examined the discounting for initial public offering of convertible bonds. We got the samples in Taiwan since 1990 to 2002 and surveyed there was the existing of excess return or not. In addition, we also try to find some variables that are relative to the excess return. After testing and verifying the samples, we had some conclusion 1.There is excess return for the initial public offering of convertible bonds. It means when companies issued the convertible bonds, they discounted the issuing price purposely by some conditions such like coupon rate or conversion price. 2.When we used multi-factors regression to verify which factors are relative to initial return, the factors the credit ranking of issuing company and trade market had powerful influence to the initial return. 3.When we used t-test to verify initial return, we found that if separating the samples with some factors like company ages trade market amount of assets issuing year, the initial return had much difference between them.

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20 IR IR TD ( initial return) = TD( true discount) + MR( market reaction) ( P m P 0 ) P0 = ( P e P 0 ) P0 = 14

21 MR ( P m Pe ) P0 = P m P e P 15 e

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24 t 18

25 beta t test 3-1 t test t test IPO 19

26 1. IR = ( P 1 P0 ) P 0 IR P1 P

27 SYR = n 3 ( i= n 1 SR i MR i ) 3 n 1 SRi MRi 3 IPO IPO IPO IPO 21

28 YRS = YR p YR f YRS YR p YR f 4. default risk premium TCRI TCRI 1. (30%) (30%) (10%) (20%)2.TEJ APL AAsset Management P Profitability LLiquidity TCRI TCRI TCRI 22

29 TCRI TCRI beta beta Beta beta beta beta market model beta 6. and r IPO signal 23

30 n UWR = log UW i i= 1 UWi UWR

31 D = 1 if Tmarket D = 0 if Tmarket D Tmarket 8. SCALE = Log( Asset) 25

32 D =1 86 yr D = 0 86 yr D yr beta 26

33 IR = α α UWR + α D α SYR + α YRS + α TCRI α SCALE + α + α Tmarket 7 8D yr 3 4 BETA + + ε α ( ± ) α ( + ) α ( ) α ( + ) α ( + ) 0 1 α ( ) α ( ) α ( ) α ( )

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37 1. t test t value Pr > t t test 2. IR = α 0 + α 1SYR + ε 31

38 α 0 α 1 F value Pr > F R Square Adj R Sq

39 IR = α 0 + α1yrs + ε α 0 α 1 F value Pr > F R Square Adj R Sq t test 4-5 t value F Value Pr > F

40 4. TCRI TCRI TCRI IR = α 0 + α1tcri + ε 4-6 TCRI α 0 α 1 F value TCRI Pr > F R Square Adj R Sq TCRI TCRI 34

41 TCRI TCRI 5. beta beta beta beta IR = α 0 + α1beta + ε 4-7 beta beta α 0 α 1 F value beta Pr > F R Square Adj R Sq beta

42 6. signal IR = α 0 + α1uwr + ε α 0 α 1 F value Pr > F R Square Adj R Sq

43 t test 4-9 t value F Value Pr > F <

44 8. IR = α 0 + α1scale + ε

45 α 0 α 1 F value Pr > F R Square Adj R Sq t test 4-11 t value F Value Pr > F

46 t test 4-12 t value F Value Pr > F <

47 86 86 beta IR = α + α SYR + α YRS + α TCRI + α UWR + α D α + α SCALE + α Tmarket 7 8D yr 3 4 BETA + ε 4-13 F Value Pr > F R Square Adj R Sq TCRI F 3.17P

48 4-14 t value Pr > t 0.70 beta beta beta TCRI P 42

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50 t test

51 5. beta beta

54 IPOs Two Dimensional Tree Model

55 Baron, D. P., A model of the demand for investment banking advising and distribution. Journal of Finance, 37, Beatty, R. P., Auditor reputation and the pricing of initial public offerings. Accounting Review, 64, Beatty, R. P., and J. R Ritter, 1986 Investment banking, reputation, and the underpricing of initial public offerings. Journal of Financial Economics, 15, Brennan, M. J. and E. S. Schwartz, 1977 Convertible bonds: Valuation and optimal strategies for call and conversion. Journal of Finance, 32, Brigham, E., 1966 An analysis of convertible debenturestheory and some empirical evidence. Journal of Finance, 21, Carter, R. B. and. S. Manaster, 1990 Initial public offerings and underwriter reputation. Journal of Finance, XLV, Carter, R. B., 1992 Underwriter reputation and repetitive public offerings. The Journal of Financial Research, 15, Chew, I. K; 1983 An approach to capital budgeting when projects differ by risk. Review of Business and Economic Research, 19, Grinblatt, M. and C. Y. Hwang, 1989 Signaling and the pricing of new issues. Journal of Finance, 44, Hoffmeister. J. R., 1977 Use of Convertible Debt in the Early 1970sA Revaluation of Corporate Motiver. Quarterly Review of Economics and Business, 17, Ibbotson, R.G., 1975 Price performance of common stock new issues. Journal of Financial Economics, 2, Kang, J.K.and Y. W. Lee, 1996 The pricing of convertible debt offerings. Journal of Financial Economics, 15, Koh, F. and T. Walter, 1989 A direct test on Rock s model of the pricing of unseasoned issues. Journal of Financial Economics, 23, Ma, T. and P.R. Tsai, 2001 Are initial return and IPO discount the same thing? A comparison of direct public offerings and underwritten IPOs. Mauer, D. C. and L. W. Senbet, The Effect of secondary market on pricing of initial public offerings Theory and evidence. Journal of Financial and Quantitative Analysis, 27, Melicher, R. W. and J. R. Hoffmeister, 1980 Issuing Convertible Bonds. Financial Executive, Mikkelson, W. H. and M. M. Partch, 1985 Stock price effects and costs of secondary distributions. Journal of Financial Economics, 15,

56 Muscarella, C. and M. Vetsuypens, 1989 A simple test of Baron s model of IPO underpricing. Journal of Financial Economics, 24, Rock, K., 1986 Why new issues are underpriced. Journal of Financial Economics, 15, Welch, I., 1989 Seasoned offerings, imitation costs, and the underpricing of initial public offerings. Journal of Finance, 44,

1 IPO IPO Underpricing IPO Long run underpreformence of IPO IPO Hot issue market of IPO Kevin Why new issues are underpriced the Winner s Curse Hypoth

1 IPO IPO Underpricing IPO Long run underpreformence of IPO IPO Hot issue market of IPO Kevin Why new issues are underpriced the Winner s Curse Hypoth 2014 3 Mar. 2014 3 241 Theory Journal No. 3 Ser. No. 241 * 250022 F831. 5 A 1002-3909 2014 03-0050 - 11 IPO 2 2014 IPO Initial Public Offering 10 8686 IPO 1 * 1 2014 1 9 300361 5546. 6 1186. 25 4360. 35