| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 90 === This thesis is an exploratory research on the abnormal return of the IT industry IPO stock and the factors affecting the abnormal return at the time from January 1999 to January 2002. The study adopts the statistical method like T-test, stepwise regression analysis, and multi-regression analysis to study the abnormal return of the IPO IT industry stock and the factors affecting it.
We first select five variables, including EPS, EPS growth rate, the institutional investors’ behavior, the OTC IT industry stock index, and the market trend indicator, to perform the stepwise regression analysis. The result of the stepwise regression analysis is to retain three factors in our model, including the institutional investors’ behavior, the OTC IT industry stock index, and the market trend indicator. The second step is to proceed the multi-regression analysis to analyze the relationship between the abnormal return and three factors. Finally, the pattern of how the institutional investors’ behavior and the market trend indicator affect the abnormal return is studied.
The results of our research are as follows:
1. The Taiwan IT industry IPO stock exists abnormal return, which is averaging 62%. Furthermore, there is no obvious abnormal return in the post-IPO market.
2. The main factor affecting the abnormal return is the stock market.
3. The investment from the institutional investor reveals some impact on the initial IPO abnormal return. The stocks which have the investment from the institutional investors exhibit higher abnormal return than that of the stocks which don’t have the investment from the institutional investors.
4. There is no obvious relationship between EPS as well as EPS growth rate and the abnormal return.
5. The pattern of initial abnormal return express three types:
The initial abnormal return is negative, and the IPO stock price is the highest one.
The initial abnormal return is positive, and the highest price appears in the initial IPO period.
The initial abnormal return is positive, and the highest price appears in the post IPO period.
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