| Summary: | 碩士 === 崑山科技大學 === 企業管理研究所 === 101 === The research period of this study selected from January 2000 to December 2011, which included 132 months of IPOs performance. The short-term performance of IPOs in this study is defined as one month rate of return which an investor holding a portfolio. The target selected by this study which initially listed on Taiwan Stock Exchange. At last, we included 496 companies in our research, of which there are 343 IPOs belong to electronics industry, and the proportion of of all samples is 69.20%.
All samples regression under the three factor model, four factors –include sentiment indicators model, and the four factors-stock turnover model, three institutional investors turnover model and natural investors turnover model reached 1% significant level. Among above 5 models, natural investors’ turnover model has the highest exploratory power. The secondly exploratory power model is four factors-stock turnover model. The extra return index of IPO’s portofolio which represented by Jensen's alpha are significantly negative. Both market risk premium and ratio of equity book value to market value have positive impact on short term extra return index of IPO’s portofolio, while size risk premium and investor sentiment risk premium-GMB have significantly negative impact on on on short term extra return index of IPO’s portofolio. Stock turnover, especially natural investors’ stock turnover has significantly positive impact on on on short term extra return index of IPO’s portofolio. We can concluded that stock turnover and natural investors’ turnover are adequate sentiment indicators on short term extra return index of IPO’s portofolio
After separate all samples into electronics industry sample and non- electronics industry sample, empiral results show that sentiment risk factor-GMB has insignificantly positive impact on short term extra return of IPO’s portofolio under non-electronics industry sample. This implies that there exists some shine effect under non-electronics industry sample only. Stock turnover has significantly impact on short term extra return of IPO’s portofolio under electronics industry and non-electronics industry. While natural investors’ stock turnover has significantly impact on short term extra return index of IPO’s portofolio under electronics industry. We can conclude that stock turnover (especially natural investors’ stock turnover) is a good proxy indicator of investors’ sentiment factor.
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