雜訊交易、報酬變異與新上市股票價格績效

Noise Trading, Return Volatility and Price Performance of IPOs

10.6226/NTURM2008.19.1.269

洪振虔(Chen-Chien Hung)

新上市股票 ； 雜訊交易 ； 財富對比 ； IPOs ； noisy trading ； wealth relatives

臺大管理論叢

19卷1期（2008 / 12 / 01）

269 - 297

繁體中文

本文對於新上市股票價格績效之衡量，除了修正新上市偏誤與重新調整投資組合偏誤外，亦藉由幾何布朗運動將各期橫斷面平均長期價格績效解構為平均成份與波動成份以修正右偏的現象：同時，基於雜訊交易與波動成份具有的關聯，本文亦驗證雜訊交易的存在及其對上市後價格績效的影響。經由對280家新上市股票進行研究的結果顯示，整體而盲，台灣新上市股票雖然有偏低定價，但是程度不大（約5%），且長期價格績效並未有嚴重衰退現象。不過，證據顯示非資訊電子業於上市初期存在著雜訊交易；反之，資訊電子業無此現象。就公司屬性而言，資訊電子業未發現有雜訊交易的影響，應該與投資人中散戶投資者比例較少有關。

This study investigates long-run .price performance of IPOs not only by circumventing new listing and portfolio-rebalancing bias but also via the geometric Brownian motion model by decomposing average cross-sectional puce performance into mean and volatility components to adjust the right-skewed distribution of long-run buy-and-hold: returns. Meanwhile, based on the relationship between noise trading as well as volatility and mean component, this study also examines the existence of noise trading and its effect on price performance after offering. By examining 280 IPOs, the results show that as a whole, the magnitude of underpricing of IPOs in Taiwan is not much Which is about 5%. In addition, the deterioration of long-term price performance is not severe. Nevertheless noise trading exists in the IPO stage in traditional firms but not in hi-tech firms. In terms of firm characteristics, the reason that noise trading is not pervasive in hi-tech firms should be related to fewer retail investors in early aftermarket.

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