台灣股票市場IPO期初報酬波動度之研究

Abstract

本文旨在探討1995至2008年在台灣上市及上櫃的公司，其IPO期初報酬之波動度與公司資訊不對稱程度的關係。在1995至2008年間，每月的平均IPO期初報酬與其波動度有高度的正向關係。本文以公司特性及承銷規模作為資訊不對稱之代理變數，由最大概似估計法的迴歸分析結果發現，IPO公司若為高科技產業、成立時間短、規模較小、由聲譽較低的承銷商承銷或是上櫃，則會有相對較高的期初報酬波動度。由此推論當公司資訊不對稱程度較高時，投資者及承銷商較難評估其股票之價值，因此期初報酬的波動度相對較高。實證結果亦發現採用詢價圈購之IPO，相較於競價拍賣及公開申購，其折價幅度及期初報酬波動度皆相對較高。

This study discussed the relation between volatility of initial returns and degree of information asymmetry of IPOs in Taiwan during 1995-2008. There is a strongly positive relation between mean and standard deviation of IPO initial returns each month during 1995-2008. We included some firm- and offering-specific characteristics to be proxies for degree of information asymmetry for an IPO. Then through the empirical result of MLE regressions, we find that if an IPO firm is high-tech, young, small, underwritten by underwriters with lower rank, or traded on the OTC market, it would have higher volatility of initial returns. Therefore, a firm with higher degree of information asymmetry, because it is more difficult for investors and underwriters to value the stock, its volatility of initial returns would be higher. Finally, our results show that IPO firms using book-building method would experience higher mean and volatility of first-day returns than hybrid auction and pure fixed-price offer method.