IPO Price Discovery Efficiency under Alternative Regulatory Constraints: Taiwan, Hong Kong and the U.S.

• Main Authors: Hsiu-Hua Chang, 張秀華
• Other Authors: Chin Shun Wu
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/32898977938311271015

博士 === 國立中山大學 === 企業管理學系研究所 === 101 === It has been proven by Ljungqvist and Wilhelm (2002) that constraints on underwriters’ allocation discretion reduce price revisions. The dual-tranche of IPO bookbuilding in Taiwan and Hong Kong impose more regulatory constraints limiting underwriters than U.S. bookbuilding does, but price revisions of Taiwan and Hong Kong IPOs are significantly higher than those in the U.S. This is due not to increased information production but to the price discovery inefficiency in primary markets. Price discovery inefficiency in primary markets compels price discovery in secondary markets, then the underpricing is not a pure “partial adjustment” effect. Due to the endogenous heterogeneity of price revisions related to underpricing among Taiwan, Hong Kong and the U.S., this dissertation uses the variance ratios to prove the empirical evidence in Taiwan and Hong Kong is not contradictory to that of Ljungqvist and Wilhelm (2002).