新上市股票異常報酬再探討 : 市場波動狀態、掛牌期間、群體上市 與示範效果

Abstract

本文針對1995年到2003年所有初次上市、上櫃的電子產業公司，探討市場波動狀態、掛牌期間、群體上市、示範效果對IPO期初超額報酬之影響。本文實證結果發現，第一、上市當時市場處於高波動狀態有助於新上市公司股價表現；第二、掛牌期間長短對IPO期初超額報酬並無顯著影響；笫三、當月份同時上市的公司家數越多，將會分散資金降低報酬；第四、前期的IPO報酬對上市期初的超額報酬具正向影響。

This paper establishes and examines four new determinants of IPO returns including the market states, the length of working days for listing and the clustering effects as well as the demonstration effects. We use the Taiwan electronic corporations from 1995 to 2003 as the sample. Our empirical findings are consistent with the following notions. First, the more volatile market periods would be associated with the greater IPO initial returns. Second, the length of listing days did not pronounce a significant influence on the IPO returns. Third, the greater numbers of IPO companies in the same month would be associated with less IPO initial returns. Fourth, the pre-IPO returns had a significant positive impact on the current IPO returns.