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標題: IPO長期績效:以越南股票市場為例
The Long Run Performance of Initial Public Offerings: The Experience in Vietnam Stock Market
作者: 阮名仲
Trong, Nguyen Danh
Contributors: 楊聲勇
財務金融系所
關鍵字: 首次公開發行;越南證券市場;胡志明市證券交易所;折價;對比公司
IPO;Vietnam stock marke;HOSE;underpricing;underperformance;matching firms
日期: 2012
Issue Date: 2013-11-18 14:28:25 (UTC+8)
Publisher: 財務金融系所
摘要: 越南證券市場創立於2000年 ,從建立之初到目前已經超過10年時間,然而越南市場仍然是一個小型市場,且關注於越南股票市場的研究仍付之闕如。折價發行與及長期績效表現為廣泛探討的主題。本研究中,我們探討首次公開發行股票的長期績效表現,樣本公司為2007年到2010年在胡志明市證券交易所上市的185家公司。我們分析三種案例:(1)買進並持有1年;(2) 買進並持有2年;(3) 買進並持有3年。藉由比較首次公開發行與對比公司的長期績效,並使用多重迴歸最小平方法去發掘長期報酬的要素效果。我們的研究有下列幾項發現:
(1) 首次公開發行公司的長短期績效與其他國家現象相同
(2) 胡志明市證券交易所公司股價長期績效有折價的現象,且折價的程度隨買進並持有的年限增加而提高,買進並持有1年的財富效果為0.91;買進並持有2年的財富效果為081;買進並持有3年的財富效果為0.64。
(3) 我們發現長期績效與市場報酬存在顯著的正向關係。
(4) 股東報酬率與負債水準是投資人投資首次公開發行股票的重要考量因素。本研究發現股東報酬率與長期績效呈現顯著正向關係;而負債水準長期績效呈現顯著負向關係。
Vietnam’s stock exchanges which setup in 2000. From to now with over 10 year, it is still a small market and there is not too much research about Vietnam Stock Market. Underpricing and long-term performance are common researches in the world. So in this paper, we study the long run performance of initial public offerings issued from 2007-2010 of 185 firms listed in HOSE (Ho Chi Minh Stock Exchange) in three case (1) buy and hold for 1 year, (2) buy and hold for 2 year, (3) buy and hold for 3 year. By compare IPO firms with a sample of matching firms to check the long-run performance of HOSE and using a multiple regression OLS to find what factors effect to the long term return. The results of our research have some main points:
i) The same result for short-term performance (underpricing) and long run performance compare with other countries
ii) Ho Chi Minh Stock Exchange which we find an underperformance in long-run performance and the underperformance level increases when the years for buy and hold strategy increases with Wealth Relative equal 0.91, 081, 0.64 after buy and hold for 1,2,3 year.
iii) We can find a significant positive of relation between long term performance and market return.
iv) ROE and debt ratio are an important factors which investor care when they invest in a company, especial IPO firms. Our research finds positive significant relationship between long-run return and ROE and negative between long-run return and debt ratio.
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