新上市時機與異常報酬之關聯性

Abstract

本研究從時機因素探討台灣新上市的異常報酬，研究結果顯示在市場股價指數呈現上升趨勢或領先指標為上揚時，對於新上市公司的初期報酬具有正面的影響效果，說明上市時存在機會之窗，支持熱發行市場假說。以產業別言，電子產業在熱發行市場上市有較高的初期報酬。在短期報酬方面，以三個月股價指數平均變動率衡量的時機變數，在上漲情況下的短期報酬為正，下跌情況則為負，且二者的差異具顯著性，顯示當股市為多頭時，新上市股可能存在反應不足的現象，而在股市為空頭時，則可能存在過度反應的現象，拒絕短期熱度假說。此外，長期報酬與初期報酬並無顯著相關性，但長期報酬與上市時機的相關性顯著為負，顯示發行公司成功的掌握機會之窗。

This study investigates the relationship between timing of issuance and abnormal return for IPO firms in Taiwan. The empirical results suggest that there is a positive relationship between the initial return and the change in stock market indices or leading indicators. In other words, periods in which the stock market indices or leading indicators performed strongly were followed by periods with high initial IPO returns. The hot market hypothesis is the prevailing explanation for this phenomenon. Besides, the abnormal return of the electronic industry is sensitive to the market conditions. The hot market theory provides us with some insight into why initial returns vary over time. However, the short-term abnormal return after IPO is not related to the initial return. The fad hypothesis is rejected. In addition, there is no relation between the long-run abnormal return and the initial IPO return. The negative relation between the timing of issuance and the long-run abnormal return suggests that most IPOs take advantage of the window of opportunity successfully.