The Pricing Efficiency of The IPO Process

• Main Authors: Jiun-Yi, HSU, 許峻義
• Other Authors: Kuei - Yen, WU
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/41600319182594889004

碩士 === 輔仁大學 === 企業管理學系管理學碩士班 === 101 === The purpose of this study is to investigate the extent to which the offer prices reflect public information for IPOs over the period from 2005 to 2012 in Taiwan. These samples of IPO corporations underwrite new stock by bookbuilding and public subscription. the percentage change between the middle of the range of prices in the initial and the offer price called price adjustment. This study analyze if significant relation between price adjustment and public information, and investigate public information if fully incorporated into underwriter pricing. In addition, investigate the relation between initial returns and public information, explain public information if fully incorporated into offer price, and the information of price adjustment if learned by investor to reflect market price after IPO. According to the rules of securities and futures institute in Taiwan, stocks have to be trade least at 6 month in Emerging Stock Market before IPO. Except the market returns before the offer date, we include the returns of the IPOs in Emerging Stock Market which was different from the previous study. The empirical results show that public information is partially incorporated into the price adjustment, the market return from the date of approval to the date before bookbuilding announcement is significantly related with price adjustment, which incorporated negative information more fully into the offer price than positive information. The result is consistent with the prior findings of Lowry and Schwert (2004). However, the finding that there is no relation between the price adjustment or market return and the initial return is inconsistent with the prior findings of Lowry and Schwert (2004). The effect of public information is replace by the price change of issuing firms in Emerging Market. Further, the low economic significant of the relation between the public information and the initial return show that the IPO pricing process is almost efficient.