海外企業來台第一上市櫃異常報酬探討

Abstract

本論文針對於 2010年5月至2012年3月期間來台第一上市櫃海外企業，探討其短期異常報酬結果，並利用強迫進入迴歸法、最佳子集迴歸法、逐步迴歸法，進行研究變數與異常報酬之實證分析。 本研究主要發現如下：(1)海外企業來台第一上市櫃股票具有顯著的正平均期初異常報酬，其平均期初異常報酬達22.23%。(2)海外企業來台第一上市櫃股票在60天內同樣具有顯著的正平均累積初異常報酬及平均持有異常報酬，且與平均期初異常相較變異不大。 由本研究之迴歸分析實證結果得知：(1)國外企業來台第一上市櫃股票初期異常報酬與承銷價格及示範效果兩項顯著因子正相關。示範效果顯示其他投資者看見IPO股票具有高報酬時，會模仿跟進該投資行為。(2)影響新海外企業第一上市櫃十日累積異常報酬顯著因素為: 承銷價格及群體效果，其中群體效果為負向因子，表示資金或投資標的排擠效應會減少異常報酬 (3) 新海外企業第一上市櫃六十日累積異常報酬顯著因素為: 承銷價格。在短期六十日內，承銷價格均為為異常報酬正向顯著變因，代表投資者有追逐高價股風潮而形成異常報酬的結果。 雖然許多國內外研究報告認為承銷價低估是主要造成 IPO 股價短期有異常報酬的原因。但本研究認為因國外企業來台第一上市櫃股票特性-無折價幅度資料及直接實際價值訊息，加上實證發現本益比並非顯著變因，故本論文認為承銷價低估並非造成海外企業來台第一上市櫃異常報酬要素。

Targeting the first foreign companies in Taiwan as the listed companies and listed companies in OTC from May 2010 to March 2012, this study explored the short-term abnormal returns results. In addition, through the Enter Multiple Regression Analysis”, the Best Subset Regression, and Stepwise Multiple Regression Analysis, an empirical analysis on the research variables and abnormal returns were conducted. The major findings of the study are as follows: (1) the foreign companies’ initial public offerings (IPOs) in Taiwan produced significantly positive initial abonraml returns, with the average initial abnormal returns reaching 22.23%; (2) the foreign companies’ IPOs in Taiwan also had significantly positive average cumulative initial abnormal returns and the average holding of abnormal returns. Compared to the initial abnormal returns, no major variances were observed. The empirical results of the regression analysis conducted in this study show that: (1) the initial returns of the foreign companies’ IPOs in Taiwan are positively correlated to two significant factors, namely, offering price and demonstration effect. The demonstration effect shows that when other investors see IPO stocks as stocks with high returns, they will follow suit and engage in investment; (2) the significant factors affecting the foreign companies’10-day IPO abnormal returns include: offering price and group effectiveness, of which the group effectiveness is a negative factor. It represents the crowding out effect of a capital or investment target, which leads to reduced abnormal returns; (3) the significant factor affecting the foreign companies’ 60-day IPO abnormal returns is the offering price. In the short term of within 60 days, the offering price is the positively significant variable of abnormal returns, which means the trend of investors’ pursuit for high-price shares lead to abnormal returns. Although many foreign and domestic research reports suggest that “underestimated offering price” is the main contributor of the abnormal returns of short-term IPO stock prices, this study holds a contrary view that the characteristics of foreign companies’ IPOs in Taiwan: the absence of underpricing data and direct and actual value messages are the contributors of the said abnormal returns. Additionally, empirical findings show that the earnings ratio is not a significant factor. Hence, this paper argues that underestimated offering price is not the key element for the abnormal returns of the foreign companies’ IPOs in Taiwan.