The Effect of Underwriting Systems on the Short-Run and Long-Run Performance of Initial Public Offerings in Taiwan

• Main Authors: Chih-Yi Yeh, 葉志毅
• Other Authors: 顧廣平
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/63030801561357951911

碩士 === 淡江大學 === 財務金融學系碩士班 === 98 === The subjects for this study were 976 initial public offerings from 1990 to 2007 in Taiwan. We separate this 18-year-long sample period to three periods by underwriting systems, in order to compare the abnormal returns of initial public offerings under different underwriting systems in Taiwan. Finally, we explore what caused the initial public offerings in Taiwan having positive short-run abnormal returns, and compare the short-run abnormal returns of initial public offerings under different debt ratios, IPO market and other factors. The empirical results show that IPO stocks in Taiwan exist significantly positive short-run average abnormal returns, but the long-run average abnormal returns are insignificant different from zero after issuing 20 days. We can judge that IPO stocks would not exist long-run abnormal returns when the short-run abnormal returns were excluded, which means IPOs exist short-run abnormal returns are caused by the underpricing of offer price. To compare three kinds of underwriting systems, the short-run average abnormal returns are all significantly greater than zero; but the long-run performances of three periods are different, it means various underwriting systems would affect IPOs’ long-run abnormal returns. All the samples in regression analysis, odd ratio and short-run abnormal returns show significant negative relationship, while the size of the company and short-run abnormal returns show significant positive relationship. The results confirm to signal theory; and short-run abnormal returns of the listed companies smaller than the Otc companies confirm the information asymmetry hypothesis.