台灣新上櫃電子股IPO價格行為之研究

Abstract

本研究是針對新上櫃電子股之超額報酬情形及其影響因素進行探索性研究，以民國88年1月至民國91年1月之新上櫃電子股為研究樣本，利用t檢定、逐步迴歸、複迴歸等統計分析工具，檢定新上櫃電子股超額報酬的情形及影響其超額報酬之因素為何。 本研究首先選取EPS、EPS成長率、法人操作行為、上櫃電子類股指數以及市場趨勢指標等５項因素作為變數，利用逐步迴歸分析後，保留法人操作行為、上櫃電子類股指數以及市場趨勢指標等３項變數，再進行複迴歸分析，瞭解其與超額報酬間之關聯性。為獲得更深入的結論，再利用上櫃電子類股指數及市場趨勢指標進行型態分析，以瞭解法人操作行為對超額報酬的影響。 本研究的實證結果發現： 一、台灣新上櫃電子股存在正的超額報酬，平均為６２﹪，並發現後市沒有明顯的超額報酬。 二、影響初期超額報酬的主要原因為市場因素，包括指數高低及市場趨勢指標。 三、法人的介入會影響初期超額報酬，有法人介入的股票初期超額報酬較法人未介入的股票為高。 四、EPS及EPS成長率與新上櫃電子股之超額報酬並無明顯的顯著關係，本研究並發現這兩個因素已充分反映在承銷價上。 五、初期超額報酬的型態可分為三種： (一)初期超額報酬為負，承銷價即最高價。 (二)初期超額報酬為正，且最高價出現在初期超額報酬階段。 (三)初期超額報酬為正，且最高價出現在後市期間。

This thesis is an exploratory research on the abnormal return of the IT industry IPO stock and the factors affecting the abnormal return at the time from January 1999 to January 2002. The study adopts the statistical method like T-test, stepwise regression analysis, and multi-regression analysis to study the abnormal return of the IPO IT industry stock and the factors affecting it. We first select five variables, including EPS, EPS growth rate, the institutional investors’ behavior, the OTC IT industry stock index, and the market trend indicator, to perform the stepwise regression analysis. The result of the stepwise regression analysis is to retain three factors in our model, including the institutional investors’ behavior, the OTC IT industry stock index, and the market trend indicator. The second step is to proceed the multi-regression analysis to analyze the relationship between the abnormal return and three factors. Finally, the pattern of how the institutional investors’ behavior and the market trend indicator affect the abnormal return is studied. The results of our research are as follows: 1. The Taiwan IT industry IPO stock exists abnormal return, which is averaging 62%. Furthermore, there is no obvious abnormal return in the post-IPO market. 2. The main factor affecting the abnormal return is the stock market. 3. The investment from the institutional investor reveals some impact on the initial IPO abnormal return. The stocks which have the investment from the institutional investors exhibit higher abnormal return than that of the stocks which don’t have the investment from the institutional investors. 4. There is no obvious relationship between EPS as well as EPS growth rate and the abnormal return. 5. The pattern of initial abnormal return express three types: □ The initial abnormal return is negative, and the IPO stock price is the highest one. □ The initial abnormal return is positive, and the highest price appears in the initial IPO period. □ The initial abnormal return is positive, and the highest price appears in the post IPO period.