| Summary: | 博士 === 國立中山大學 === 企業管理學系研究所 === 95 === ABSTRACT
Ibbotson and Ritter (1995) indicate that there are three anomalies in IPO markets: IPO underpricing, IPO long-run underperformance, and hot-issue market. Contrary to most of the previous studies which focus on IPO underpricing or IPO long-run performance, this dissertation examines the existence of hot-issue phenomenon in Taiwan IPO markets.
“Hot-Issue anomaly” means that cycle exists in both the IPO volume and IPO underpricing. Consequently, issuers tend to issue new equity to the public when faced with high average initial returns of IPOs. Ritter (1984) argues that IPOs in hot markets experience higher initial returns. Moreover, young IPOs experience more underpricing in hot markets. A possible explanation for hot-issue phenomenon is the positive feedback hypothesis: market investors positively react to IPO underpricing. When investors earn initial returns from IPOs, they are more likely to subscribe to future IPOs leading to the fact that issuers tend to issue when previous IPOs are more underpriced. Hot-issue is considered as an anomaly because underpricing or initial return is referred as an indirect cost of issuance. Issuers should try to reduce the extent of underpricing to raise IPO proceeds. From the point of view of maximizing proceeds, previous studies fail to explain the hot-issue anomaly in IPO markets. Ibbotson, Sindelar, and Ritter (1994) show that IPO hot-issue phenomenon exists not only in U.S. market but also in Germany, South Korea, and U.K. markets. To make up this gap, this dissertation first tests if there exists hot-issue anomaly in Taiwan and then examines why hot-issue anomaly exists to provide an explanation to the anomaly.
I find that IPO initial return leads IPO issuance. However, issuance of IPOs does not reduce the extent of underpricing of the followed up IPOs. I further show that IPO initial return is not related to the initial return of the followed up ones. The issuance of IPOs cannot be attributed to the information of initial returns of preceding IPOs. Rather, the market information between IPO filing date and IPO issuance date is the cause for the lead-lag relation between IPO initial return and IPO issuance. IPO offer price will fully reflect to the negative recent market return but simply partially to the recent positive market return. Most of the IPO initial return can be explained by the information revealed after offer price has been set implying that the offer price is set efficiently. The large amount of IPO volume following high IPO initial return can be attributed to the positive market reaction to the preceding IPOs instead of the filed IPO pricing of preceding IPOs. Our findings explain the hot-issue anomaly. During hot markets, investors’ excess demand on IPOs leads to high initial returns of IPOs. Faced with investors’ excess demand, issuers attempt to issue IPOs to take advantage of investors’ sentiments to maximize IPO proceeds.
|
|---|
