初次上市(櫃)股票蜜月行情失效之探討

Abstract

本研究以本國申請上市上櫃公司為研究對象，分析初次上市（櫃）公司掛牌前後之股價表現，並探討新上市股票掛牌前後股價變動的原因。經實證分析2009年1月1日至2011年12月31日期間，129家於臺灣證券交易所及櫃買中心初次上市（櫃）公司，並個案訪談承銷商、興櫃股票交易員及投資人，歸納結論如下： （一）初次上市（櫃）公司掛牌前股價呈現上漲情形 經實證分析，初次上市（櫃）公司股票於興櫃市場最後一個營業日（不含）前三十及二十個營業日至興櫃市場最後一個營業日之股價具有正價差，意謂股價呈現上漲情形，並具有0.2%及0.8%的顯著性水準。經個案訪談，歸納初次上市（櫃）公司掛牌前股價呈現上漲情形之可能原因，分別為投資人預期初次上市（櫃）股票將有蜜月行情、初次上市（櫃）公司積極展開各式行銷活動、申請上市上櫃的不確定風險消除，以及投資人提前佈局具產業發展潛力且獲利性高的興櫃公司等因素，造成股價上漲。 （二）初次上市（櫃）公司掛牌後股價呈現下跌情形 經實證分析，初次上市（櫃）公司興櫃市場最後一個營業日股價（Pt）與掛牌後十、二十及三十個營業日股價相較，具有負價差，意謂股價呈現下跌情形，並有0.2%、2.7%及2.9%的顯著性水準。經個案訪談，歸納初次上市（櫃）公司掛牌後股價呈現下跌情形之可能原因，主要係因興櫃市場無法大量出售股票，在公司掛牌前期間於興櫃市場大量買進股票的投資人，以及參與初次上市（櫃）股票承銷的中籤戶及詢價圈購的投資人，會選擇掛牌首五日無漲跌幅限制及承銷商穩定價格操作期間出售持股，在有限的風險下，以獲利了結，造成股價下跌。

This research studies companies applying for IPO (Initial Public Offerings) in Taiwan, analyzes stock price performances before and after companies’ initial public offerings, and looks into the reasons causing stock prices to fluctuate before and after. During the empirical analysis period between January 1, 2009 and December 31, 2011, there were 129 IPO companies listed on Taiwan Stock Exchange (TWSE) or GreTai Securities Market. After individual interviewing relevant underwriters, emerging market stock dealers, and investors, the conclusion is as follows.

1.The stock prices of initial public offering companies show the upward trend before the IPO dates.

Empirical analysis indicates positive spreads between the emerging stock prices of 20 trading days prior to the last trading day and that of the last trading day, as well as the emerging stock prices of 30 trading days. The significance level of each is 0.8% and 0.2%, which confirms the upward trend of those stock prices. After individual interviewing, the possible reasons of the upward trend before the IPO date can be summed up, such as investors expect honeymoon effect after the IPO, IPO companies aggressively carry out various marketing activities, the uncertainty of IPO application eliminates, and investors initiate purchasing industry potential and high performance emerging stocks in advance.

2.The stock prices of initial public offering companies show the downward trend after the IPO dates.

Empirical analysis indicates negative spreads between the stock prices of 10 trading days after the IPO and the stock price of the last trading day in emerging market, as well as the stock prices of 20 and 30 trading days respectively. The significance level of each is 0.2%, 2.7% and 2.9%, which confirms the downward trend of those stock prices. After individual interviewing, the possible reason of the downward trend after the IPO date can be summed up primarily as the emerging stocks cannot be sold in a large volume in the emerging market. Investors who have bought a lot of emerging stocks before the IPO date, and investors who participate the IPO underwriting by lot drawing or book building may choose to sell stocks during the first 5 day IPO period to lock the profits with limited risks. This first 5 day IPO period is regulated as the stabilizing period and no up/down price limits. And the action may cause stock prices to drop.