IPO Underpricing and Information Proxy: A Note

IPO折價與訊息的代理變數

10.6545/JFS.2002.10(3).3

徐燕山(Yen-Shan Hsu)；徐政義(Cheng-Yi Shiu)

初次公開上市 ； 訊息的代理變數 ； 上市初期報酬 ； IPOs ； Informauon proxy ； Initial profits

財務金融學刊

10卷3期（2002 / 12 / 31）

63 - 88

英文

本文以臺灣IPO市場的競價拍賣為樣本，探討投資人的身分類別（機構投資人、散戶）以及申講金額（大戶、小戶）兩種資訊代理變數的解釋能力。結果發現，申購金額大小是較好的資訊代理變數。本文也分別以申購以及分配的資料，來檢定兩種資訊不對稱的代理變數對於新股上市初期報酬的解釋程度。實證結果顯示，無論在申購的資料，或是分配的資料，申購金額大小的差異比投資人之身分別有較好的解釋能力，此外，在解釋新股上市初期報酬的能力上，申購資料較分配資料有較強的解釋力。

This paper compares the capability of investor's type (institutional vs individual investors) and of application value (large vs. small investors) to proxy for the information asymmetry among investors in IPOs. The results show that application value IS a better information proxy than investor's type. We also examine the relative merit of investor's type and application value as an information proxy in explaining the initial profit in both application and allocation schedules. Empirical results show that application value has a stronger explanative power than investor's type in both application and allocation schedules. Moreover, application schedule has a stronger explanative power than allocation schedule in explaining initial profits.

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