投資人是否過度反應新上市股票的申購結果？

Do Investors Overreact to the Result of Initial Public Offering Subscriptions?

10.6226/NTUMR.2015.NOV.R.13017

王朝仕(Chao-Shi Wang)

新上市股票 ； 申購需求 ； 過度反應 ； initial public offerings (IPOs) ； subscription demand ； overreaction

臺大管理論叢

26卷1期（2015 / 12 / 01）

33 - 63

繁體中文;英文

以新上市股票（IPOs）市場的高度資訊不對稱環境，申購結果提供投資人決策參考的依據。然而如此的跟隨行為，引述Welch（1992）的資訊瀑布概念，可能令市場需求走向極端。為檢測過度反應申購結果的情況，本研究提出評估IPOs首日開盤交易導向的架構，以區別申購結果對投資人決策形成的干預程度。實證顯示，相對於發行公司的基本條件，投資人交易方向更加倚重申購需求。雖然上市初期績效表現與投資人跟隨方向一致，但是針對申購需求交易基礎主導的樣本，其長期績效走勢卻切合過度反應的描述。另一方面，檢視其他消息交易基礎引導首日開盤表現的樣本，則未觀察到過度反應的跡象。

In the initial public offerings (IPOs) market, an environment with high information asymmetry, subscription results provide concrete data that serve as a decision reference for investors. However, according to Welch (1992), who introduced the information cascade concept, this type of herd behavior can drive market demand to extremes. To examine investor overreactions to subscription results, this study proposed an assessment of the transaction-oriented framework of IPOs first-day openings to identify the intervening effect that subscription results have on investment decisions. Empirical evidence of transaction behavior shows that investors place greater emphasis on subscription results compared to the fundamental conditions of the issuing company. Although performance during the initial listing period was consistent with the investor herding direction, samples with subscription demand-guided transactions exhibited overreaction in the long term. By contrast, the phenomenon of overreaction was not observed in samples with first-day opening performances that were driven by transactions guided by other types of information.

1. Chen, A.(2001).The long-run performance puzzle of initial public offerings in Taiwan: Empirical findings from various models.Journal of Financial Studies,9(3),1-20.
   連結：
2. 王朝仕(2011)。申購熱潮是長期績效的反指標嗎？。臺大管理論叢，22(1)，31-66。
   連結：
3. 王朝仕、陳振遠(2008)。申購積極性對新上市公司股票績效的影響。管理學報，25(2)，245-267。
   連結：
4. 王朝仕、陳振遠、陳安琳(2007)。新上市公司股票投資人狂熱行為之研究。中山管理評論，15(4)，713-750。
   連結：
5. 洪振虔、吳欽杉、陳安琳(2002)。非理性投資行為對新上市股票價格績效之影響。管理評論，21(2)，53-79。
   連結：
6. 徐政義、徐燕山(2005)。內部人股票強制集保結束期間之股價行為研究─以臺灣股票市場為例。管理學報，22(5)，569-584。
   連結：
7. 臺灣證券交易所，2012，公開申購公告－抽籤日程表，http://www.twse.com.tw/ch/announcement/public.php，搜尋日期：2012 年12 月31 日。(Taiwan Stock Exchange. 2012. Announcements. http://www.twse.com.tw/ch/announcement/public.php. Accessed Dec. 31, 2012.)
8. Aggarwal, R.,Rivoli, P.(1990).Fads in the initial public offering market?.Financial Management,19(4),45-57.
9. Amihud, Y.,Hauser, S.,Kirsh, A.(2003).Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv stock exchange.Journal of Financial Economics,68(1),137-158.
10. Baker, M.,Wurgler, J.(2006).Investor sentiment and the cross-section of stock returns.The Journal of Finance,61(4),1645-1680.
11. Chowdhry, B.,Sherman, A.(1996).The winner's curse and international methods of allocating initial public offerings.Pacific-Basin Finance Journal,4(1),15-30.
12. Coakley, J.,Hadass, L.,Wood, A.(2008).Hot IPOs can damage your long-run wealth!.Applied Financial Economics,18(14),1111-1120.
13. Daniel, K. D.,Hirshleifer, D.,Subrahmanyam, A.(2001).Overconfidence, arbitrage, and equilibrium asset pricing.The Journal of Finance,56(3),921-965.
14. De Bondt, W. F. M.,Thaler, R.(1985).Does the stock market overreact?.The Journal of Finance,40(3),793-805.
15. Derrien, F.(2005).IPO pricing in "hot" market conditions: Who leaves money on the table?.The Journal of Finance,60(1),487-521.
16. Fama, E. F.,French, K. R.(1992).The cross-section of expected stock returns.The Journal of Finance,47(2),427-465.
17. Hirshleifer, D.,Shumway, T.(2003).Good day sunshine: Stock returns and the weather.The Journal of Finance,58(3),1009-1032.
18. Ibbotson, R. G.(1975).Price performance of common stock new issues.Journal of Financial Economics,2(3),235-272.
19. Kahneman, D.,Tversky, A.(1979).Prospect theory: An analysis of decision under risk.Econometrica,47(2),263-292.
20. Kaustia, M.,Knüpfer, S.(2008).Do investors overweight personal experience? Evidence from IPO subscriptions.The Journal of Finance,63(6),2679-2702.
21. Keloharju, M.(1993).The winner's curse, legal liability, and the long-term price performance of initial public offerings in Finland.Journal of Financial Economics,34(2),251-277.
22. Koh, F.,Walter, T.(1989).A direct test of Rock's model of the pricing of unseasoned issues.Journal of Financial Economics,23(2),251-272.
23. Kumar, A.,Lee, C. M. C.(2006).Retail investor sentiment and return comovements.The Journal of Finance,61(5),2451-2486.
24. Levis, M.(1993).The long-run performance of initial public offerings: The UK experience 1980-1988.Financial Management,22(1),28-41.
25. Lin, D. K. J.,Kao, L.,Chen, A.(2010).Winner's curse in initial public offering subscriptions with investors' withdrawal options.Asia-Pacific Journal of Financial Studies,39(1),3-27.
26. Ljungqvist, A.,Nanda, V.,Singh, R.(2006).Hot markets, investor sentiment, and IPO pricing.Journal of Business,79(4),1667-1702.
27. Lowry, M.(2003).Why does IPO volume fluctuate so much?.Journal of Financial Economics,67(1),3-40.
28. Reilly, F. K.(1977).New issue revisited.Financial Management,6(4),28-42.
29. Reilly, F. K.,Hatfield, K.(1969).Investor experience with new stock issue.Financial Analysts Journal,25(5),73-80.
30. Ritter, J. R.(1984).The "hot issue" market of 1980.Journal of Business,57(2),215-240.
31. Rock, K.(1986).Why new issues are underpriced.Journal of Financial Economics,15(1-2),187-212.
32. Ross, S. A.,Westerfield, R. W.,Jaffe, F. J.,Jordan, B. D.(2009).Corporate Finance : Core Principles and Applications (2nd ed.).Singapore, Singapore:McGraw-Hill.
33. Welch, I.(1992).Sequential sales, learning, and cascades.The Journal of Finance,47(2),695-732.

1. 王朝仕(2018)。新上市公司股票申購需求是否取決於折扣多寡？。管理學報，35(1)，79-102。