台灣上市櫃公司IPO後一年內之價格行為分析

Abstract

股票市場中首次公開發行之股票，上市時若是折價發行，則參與IPO的股東預期可有資本利得的機會。然而，若IPO股票為溢價發行，則投資者會有立即的損失。我國證券市場自2005年3月1日起實施首次上市普通股票，自上市日起五個交易日，其股價升降幅度改為無漲跌幅限制，投資者因參與IPO股票發行，其預期溢價發行的下檔風險也因此隨之增加。本研究擷取2005年至2008年在臺灣集中市場及櫃檯買賣中心初次公開發行公司，觀察IPO股票發行後股價一年內價格發生變動情形，並透過用統計相關檢定方法來檢識，如發行年份、上市櫃的差異、公司規模、產業別、承銷價格與內部人持股比率等變數，對股價下跌最大幅度與下跌幅度平均天數之影響。 本研究實證結果歸納彙整如下：(1)不同年度發行股價下跌達10%以上之平均天數有顯著差異存在。(2)上市公司下跌天數大於上櫃公司，且上櫃公司風險高於上市公司 。(3)依承銷價格分析：承銷價格愈高，下跌天數愈短趨勢。 (4)依產業別分析：高科技業下跌天數均小於非高科技業，顯示高科技業有較高風險。(5)依股本規模分析： 下跌平均天數與股本之大小並無顯著關係。

Investor can get capital gains in investing IPO stocks if they were issued under discount. However, if the IPO stocks were issued with a premium investor will suffer immediate capital loss. Furthermore, Taiwan Security Exchange had release the limitation of offer price of IPO stocks within the 1st five trade days since March 1st, 2005.This modification of regulation make investor expose to much downside risk. This research aims to investigate the aftermarket performance of IPO stocks within 1 year after their offering. We use the TEJ database of Taiwan listed firms between 2005 and 2008, and study of the relationship between the discount rate and the issuing year, market type, industry type, IPO price,…etc. The results of this empirical study are summarized as below: (1)The days to fell more than 10% are different between the year 2005 to 2008 each other.(2)The fallen down days of TSE IPO stocks is more than OTC ones, we argue the downside risk of OTC IPO stocks is more than TSE ones.(3)The higher the IPO price is, the little the fallen down days is.(4) The fallen down days of high-tech industry IPO stocks are more than traditional ones, we argue that high-tech industry IPO stocks are with higher downside risk.(5) The fallen down days of IPO stocks is not related their paid-up capital.