非理性投資行為對新上市股票價格績效之影響

The Effect of Irrational Investments on the Price Performance of Initial Public Offerings

洪振虔(Chen-Chein Hung) ； 吳欽杉(Chin-Shun Wu) ； 陳安琳(An-Lin Chen)

《管理評論》 21卷2期 (2002/07) Pp. 53-79

https://doi.org/10.6656/MR.2002.21.2.CHI.53

摘要

本文擬藉由隨機前緣模式以上市前與最適發行價之決定有關的資料來估計偏低定價程度，將初期報酬中屬於偏低定價所致的部份分離出來，直接驗證非理性投資行為對新上市股票初期報酬及其長期報酬的影響。實證結果證實初期超常報酬受雜訊交易因素的影響，而投資人對於新上市股票的過度反應是促使初期超常報酬形成的原因之一，而上市前獲利績效和上市前已成立年限長短所讓投資人產生的預期以及偏低定價程度，與上市後投資人過度反應產生有關；此外，市場對於上市初期非理性投資行為影響的修正將使長期報酬低落。

關鍵字

新上市股票 ； 初期報酬 ； 雜訊交易 ； 過度反應

並列摘要

In this study, we use the stochastic frontier model to measure the efficient offer prices of IPOs so that we can distinguish the ”true” underpricing from irrational investment behavior inside the initial return of IPOs. We find that noise-trading factors raise the initial return of IPOs and that there is a positive relationship between irrational investment behavior and overreaction of investors. The underpricing of IPO is another source that causes the overreaction phenomenon. Furthermore, the irrational investment behavior causes IPO performance to revert in the long run.

並列關鍵字

Initial public offerings ； Initial return ； noise trading ； overreaction

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