Newly listed stocks,forecasting models of breakdown of IPO price and diverse type rate-of-return.

• Main Authors: Tsai, Shine-Yi, 蔡憲毅
• Other Authors: You-Kong Lee
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/80386736802441590990

碩士 === 淡江大學 === 國際貿易學系 === 85 === In Taiwan stock market,the newly listed stocks are the investors'''' favorite targets owing to exist the"honey moon" effect.However in the recent years,there were many newly listed stocks broken down its initial public offering(IPO)prices .So ,the main objective of this paper is tring to find some investing guideline through empirical study in order to handle the behavior of investing in the newly listed stocks. The reaserching period of this paper is divided into two periods.The establishment period of forecasting model is from 1987 to 1995,and the testing preiod is the whole year of 1996.In this study ,first we adopt "stepwise regression" to establish forecasting models of the breakdown of IPO prices of the newly listed stocks accroding to different attributions.Second, we test the performance of seven forecasting models over the newly listed stocks of 1996.Finally,we choice the best model to analyze the relations between the rate of premium(discount) of IPO prices and the different kinds of duration return.The main resurts of this paper include:1.The newly listed stocks IPO prices become more easy to breakdown duringthe bearish period of 1996.After the middle of march , the"honey moon"effect restarted under the stimulus of bullish market.2. We have contemplate four different attributions in the establishment of forecasting models.Those attributions can effectively capture the behavior of the breakdown of IPO prices in our testing period.3.Accroding to the testing results of seven forecasting models,the best modles are the modle 1 and modle 7.So, when investors want to invest in the newly listed stocks,we recommend that the key points should be the following two factors：a.If investors try to establish forecasting models of the breakdown of IPO prices with different duration,to extend the duration will increse the predictive power of the econometric model.b.Investors must to perceive the finacial statement about the formula in establishing IPO prices in public issue communigue .Investors can pierce the powerful stockholders attitude to IPO price which will affect the supportability of price of the newly listed stocks.4. Accroding to the result of correlation coefficient analysis,we recommendinvestors should invest in those newly listed stocks with higher degree of premium of IPO prices .