訊號與新上市股票價格之研究

Abstract

國內對新上市股票超額報酬的實證研究雖然很多，但尚未有利用發行公司 與投資人間資訊不對稱為基礎進行的實證結果。由於此一不對稱現象相當 符合國內現況，因此值得以此為基礎進行實證。另外，國內相關研究到目 前為止；皆只著 重在探討超額報酬與解釋變數間正負關係，而忽略解釋 變數間關係或其交互作用。因此本研究以 Grinblatt & Hwang (1989) 的 訊號模型進行實證以瞭解是否能以發行公司與投資人間資訊不對稱來解釋 國內新上市股票超額報酬，並對相關變數彼此間關係作一完整探討。以 Ibbotson & Jaffe (1975) 的判別方式為基礎，判別出民國七十七年七月 至七十九年一月為上市旺季、民國七十九年四月至八十二年六月為上市淡 季。上市旺季的蜜月期為三十一天，經市場模式調整的累積超額報酬約 90%、淡季的蜜月期為十三天，累積超額報酬約 34%。由訊號模型推出的 八個假設命題，在本研究中，六個可被實證結果支持，致於有關業主股份 保留比率與公司價值風險成負相 關的假設命題則不被實證結果支持。 There are lots of domestic empirical research about the underpricing of new issues, but none of them based on the information asymmetry between issuer and investors. The authors are of the opinion that this information asymmetry is the real mode of domestic stock markets, so an empirical research based upon this information asymmetry is worthwhile. Besides, almost all domestic empirical research only focused upon the statistical correlation between excess return and explainning variables which are cited from theoretical papers or domestic markets. A flaw of this doing is that they omit the relations and interactions among explainning variables. Consequently, this paper tests the statistical implications of the signalling models of Grinblatt & Hwang (1989) in order to find evidences to support the information asymmetry explanation and to get an exhausitive relation among variables. Based upon the method proposed by Ibbotson & Jaffe (1975), hot issues period and cold issues period are identified. Market model-adjusted CAR in hot issues period is some 90 percent, cold issues one some 34 percent. Among eight implications, six of them are supported by multiregression results, regardless of hot issues period or cold one. The others about negative correlation between issuers fractional holding and firm value variance are not supported by multiregression results.