興櫃股票初次申請上市（櫃）各事件日短期異常報酬之研究

Abstract

本研究以事件研究法中的市場指數調整模式為主要方法，來探討民國96年至民國100年間興櫃股票初次申請上市（櫃）各事件日短期異常報酬之分析並探討影響各事件日短期異常報酬之因素為何？ 經本研究利用傳統有母數檢定法之t檢定，檢定5個事件日之平均異常報酬及累計平均異常報酬之實證結果均為不顯著，即投資人採取短線進出之投資策略於各事件宣告日前5日買進股票並於宣告日後5日賣出股票並無法達到獲利之目標。 另，探討興櫃股票初次申請上市（櫃）各事件日短期異常報酬之影響因素實證結果發現在送件日及掛牌日兩個事件期當中並無具顯著性之影響因素;在審議會日事件期中，以興櫃交易天數之變數呈正向低度顯著性；在董事會日事件期中，以公司成立年數及稅後EPS兩變數均為負向低度顯著性、毛利率之變數則呈現負向中度顯著性；初次申請上市(櫃)增資案生效日事件期中以公司規模變數呈負向高度顯著性，而毛利率變數則呈正向中度顯著性。

This study investigates the short-term abnormal returns for emerging OTC stocks that initially apply for being listed on the OTC or Taiwan Stock Exchange. The paper analyzes five announcement effects during the process of going public using event study for sample period during 1997 to 2011, and investigates the factors affect the short-term abnormal returns of each incidence.

This study uses traditional t-test for nonparametric test method to test the average abnormal return of 5 event dates and cumulative average abnormal returns, however the empirical results were not significant, that means investors whose investment strategy of short-term access for buying stocks 5 days before the announcement day and selling it out 5 days after didn’t reach the goal of profit. In addition, it was found through the empirical results of investigating the factors affected each incidence of short-term abnormal returns that there had no effect factors between delivery date and listing date; during the event of hearing date, emerging trading days of the variables showed a positive low significance ; during the event of board of directors , the company’s established seniority and its after-tax EPS were both negative low significance、the profit margin variable was negative moderate significant; in the event period of effective date for capital increase of initial application for being publicly traded, the company size variables were highly significant negative, and the gross margin variable was positive and moderate significant.