| Summary: | 碩士 === 東吳大學 === 會計學系 === 100 === The phenomenon of Initial Public Offerings (IPOs) company's initial positive abnormal returns and long-term negative abnormal returns had been found by domestic and international studies. In such circumstances, by using industry value-weighted P/E ratio to estimate the intrinsic value of the IPOs, the study separates the 421 IPOs that gone public on the TSE and OTC market in Taiwan form 1991 to 2005 into two portions by the intrinsic value. One portion is the over-reaction and deviation subjects and another is the under-reaction subjects. Moreover, the multiple regression analysis is used to investigate the relationship between the initial abnormal returns and long-term abnormal returns of IPOs on the TSE and OTC market in Taiwan.
The empirical results of the whole sample and the sub-sample, over-reaction and deviation subjects, show the relation between the initial abnormal returns and long-term abnormal returns are significantly and negatively. Furthermore, the reversal of the sub-sample, over-reaction and deviation subjects, is bigger than that of the whole sample in the long-term period .The regression analysis results are consistent with the first hypothesis of this study infer the expected results and direction. The empirical result of the sub-sample, the under-reaction subjects, shows that the relation between the initial abnormal returns and ccumulated one year long-term abnormal returns is insignificantly and positively. The regression analysis result is inconsistent with the second hypothesis of this study infer the expected results.
Most prior studies considered that long-term negative abnormal returns of IPOs are due to the phenomenon of over-reaction. However, by estimating intrinsic value, this study distinguished under-reaction subjects from the whole sample and found the long-term accumulated abnormal returns of these subjects remain positively. Moreover, it also be found obviously that the relation between the initial abnormal returns and cumulative abnormal returns of under-reaction subjects is very different from over-reaction and deviation subjects. It shows that prior studies explaining the IPOs market only with over-reaction phenomenon were insufficient. The future researches should investigate the under-reaction phenomenon on the events of IPOs to make up the lack of academic studies.
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