A STUDY OF THE IPO''S INITIAL EXCESS RETURNS UNDER DIFFERENT MARKET SITUATIONS

• Main Authors: Pei-ching Cheng, 鄭佩青
• Other Authors: Ming-chuan Pan
• Format: Others
• Language: en_US
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/75718905060777391205

碩士 === 大同大學 === 事業經營研究所 === 89 === Initial Public Offerings (IPOs), which provide abnormal returns to investors who purchased them at the initial offerings, have always been the main subject of research for the past decades. In the year 2000, we find that IPOs often fall down the underwriting prices after going public. Does it suggest that the initial abnormal stock returns doesn’t exist in the local stock market anymore? The research continues the early research on the initial excess returns of IPOs with cross-sectional analysis and signaling hypothesis, in order to find the changes of the initial abnormal returns of stocks newly listed on the market. Furthermore, the samples of research are collected under three different types of market, bull market, bear market and market-adjusted period, because the investors’ expectation always results in the sharply rising and falling in Taiwan’s stock market. The differences and similarities of the initial excess returns are discussed under different market types. Besides, this study also tries to find out the best method of calculating the honeymoon period expected to discuss the initial excess returns of IPOs more appropriately. The samples of research come from 199 firms on the TSEC and 231 firms on the OTC market from 1996 to 2000, using multiple regression models to provide evidence and analyze. The empirical findings of this research are as follows: 1.Initial excess returns commonly exist in Taiwan’s stock market, and on average, the return of the stocks newly listed on the OTC is apparently higher than the stocks newly listed on the TSEC. 2.Abnormal stock returns of IPOs are statistically different under different market situations─ bull market, bear market and market-adjusted period. 3.Initial returns of IPOs are estimated by concerning the negative and positive returns during the honeymoon period, which are closer to the real situation on the market. 4.Earnings per share and age of signaling factors have the effect of transforming a company’s information. 5.The signaling factors and the ability of signaling are different from the samples collected from different market types─non-classified market, bull market, bear market and market-adjusted period.