台灣與中國大陸新上市股票短期與長期績效之比較研究——縱橫平滑移轉迴歸模型應用

A comparative study of the short-run and long-run performance of IPOs in Taiwan and Mainland China — Application of Panel Smooth Transition Regression Model

本文旨在探討2008年金融危機發生後，台灣與中國大陸新上市股票是否存在短期超額報酬，以及影響其長期股價報酬的主要因素。本研究選取2009年7月至2011年12月期間台灣與中國大陸新上市公司做為實證樣本，使用事件研究法重新檢驗兩岸IPO市場是否存在短期超額報酬，並分析是否與申購中籤率有關；另運用縱橫平滑移轉迴歸模型（Panel smooth transition regression model, PSTR）並以每股盈餘（EPS）作為轉換變數，探討公司績效變數（本益比、營收、資產報酬率）與股票市場交易狀況相關變數（成交量）四個變數對股價報酬的非線性影響。實證結果顯示，台灣及中國大陸新上市公司短期內皆確實存在超額報酬，而陸股的股價報酬率又更高於台股。不過長期觀察之下顯示，兩岸皆因短期超額報酬出現過度反應現象，使得部分公司經營績效變數與股價報酬呈現負向相關，且兩岸公司經營績效變數在不同的門檻值與轉換區間下對股價報酬之影響存在明顯差異。

This study investigates whether the IPO short-term excess returns exist after the 2008 financial crisis, and which of the main factors affect the long-run performances of IPOs in Taiwan and mainland China for the period from July 2009 to December 2011. In this paper we use the event study to re-examine the existence of short-term excess return in the cross-strait IPO market, besides analyzing whether it is related to allotment rate; and use the Panel Smooth Transition Regression Model (PSTR) to examine the nonlinear relationship between the stock return, stock trade relevant variables (Volume) and corporate performance variables (P/E ratio, Revenue, ROA) by the threshold parameter of EPS ratio. The empirical results show that the listed companies in Taiwan and mainland China indeed have excess returns in short term, and that the stock return of mainland China is higher than that of Taiwan. After long-term observation, however, the results show that the corporate performance variables have negative correlation with stock return, an overreaction resulted from the short-term excess return effect; the lower corporate revenue, the higher the rate of return. In addition, the corporate performance variables under different thresholds parameter of EPS ratio and different regimes in both districts have different significant impacts on stock returns.