事前不確定性假說、訊號發射假說及熱潮假說與IPO期初報酬率之關聯性分析

An Analysis of the Relationships between Ex-ante Uncertainty Hypothesis, Signaling Hypothesis, and Fad Effects and the IPO Initial Returns

10.6985/TBFQ.201203.0087

沈鳳儀(Fong-Yi Shen)；簡明哲(Ming-Che Chien)

IPO ； 期初報酬率 ； 事前不確定性假說 ； 訊號發射假說 ； 熱潮假說 ； IPO ； Initial Return ； Ex-ante Uncertainty Hypothesis ； Signaling Hypothesis ； Fad Effect

台灣金融財務季刊

13卷1期（2012 / 03 / 01）

87 - 113

繁體中文

本研究旨在應用1998年至2007年間台灣586家IPO上市櫃公司之資料來探討事前不確定性假說、訊號發射假說及熱潮假說與IPO期初報酬率之關聯性，為免樣本右偏之特性造成估計偏誤，本研究採用分量迴歸分析法並與傳統最小平方法進行比較，主要研究發現如下：一、分量迴歸分析法與普通最小平方法之實證結果確實存在顯著差異，部份變數在不同分量下對被解釋變數的影響無法以普通最小平方法來檢驗。二、本研究以發行規模、承銷日至上市櫃日的天數及股利等三個變數來檢驗其如何影響折價程度，結果顯示台灣IPO市場確實存在事前不確定性，也就是投資人之間存在資訊不對稱的現象，此結果支持Rock(1986)所提出的投資人間資訊不對稱所造成的「贏家詛咒」現象可能存在於 台灣的IPO市場。三、本研究考慮現金增資及承銷制度對IPO折價的影響，結果顯示「訊號發射」理論存在台灣的IPO市場，且不同的承銷制度確實會有不同的折價程度，其中以公開申購方式或是競價拍賣方式來辦理IPO，其期初報酬率都小於以詢價方式來辦理IPO。四、本研究以市場動能及中籤率來驗證台灣的IPO市場是否存在過度反應的「熱潮假說」，研究發現市場景氣愈熱絡時，折價幅度也愈大，且中籤率越小折價幅度也越大，除了可能是低估 了IPO公司的價值外，也可能為市場過度反應所致。五、本研究以資產報酬率、每股盈餘及市場波動性分別探討公司經營績效及市場面因素如何影響IPO期初報酬，研究發現公司經營績效越好，期初報酬越高，且市場波動性越大，折價也越 大，此結果與過去文獻一致。本研究實證結果顯示台灣IPO市場確實存在資訊不對稱及市場過度反應的現象，資訊不對 稱會增加投資人資訊蒐集成本與投資風險，市場過度反應則容易造成投資者非理性的「從眾認購」行為。未來政府決策單位應在制度上更加強化IPO公司的資訊揭露機制，而在IPO申請審核流程 及審議委員會的運作上，應考慮賦予更多的決策彈性，以因應多變的市場狀況。

The purpose of this study is to employ the quantile regression to analyze the relationships between the ex-ante uncertainty hypothesis, signaling hypothesis, and fad effects and the IPO initial returns, respectively, of 586 Taiwanese IPO firms between 1998 and 2007. The results of this study are as follow.First, quantile regression results of the significance of explanatory variables are different substantially from those of OLS. Some variables are found significantly influencing IPO initial return for the quantile regression but not for OLS.Second, this study considers variables of IPO volumes, IPO offering dates, and dividends to test if the ex-ante hypothesis does exist in Taiwan's IPO market. Results show that there exists asymmetric information among IPO investors and the ex-ante hypothesis does exist. This result also supports the 'winner's curse' of Rock (1986) of Taiwan's IPO market.Third, by considering the underwriting scheme, results found that the signaling hypothesis does exist in Taiwan's IPO market. The initial returns of the underwriting scheme of book building are found higher than that of the auction or public offering.Fourth, this study uses the market capacity and drawn rate to test if there exist the over reaction of the fad effect in Taiwan's IPO market. Results show that when market is trading extensively or the lower the drawn rate, there will be larger under pricing. This result may result from undervalued IPO firm's value or a result of over reaction of the market.Lastly, this study considers the effects of ROA and EPS and market volatility representing, respectively, firm's performance and market situation, on IPO initial returns. Results show that ROA and market volatility are significantly positively related to the IPO initial return.Results of this study suggest that asymmetric information and overreaction do exist in Taiwan's IPO investors. Policy makers should put some more efforts on the transparency of the IPO information disclosure and give some more authorized flexibility in the process of IPO application in response to market situation.

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