本研究利用兩階段最小平方法(Two-stage Least Squares, 2SLS)來討論民國84年至94年間信用評等、董事會和股權結構與IPO(initial public offerings)期初報酬率之間的關連性。本文發現董事會結構與股權結構確實會影響公司的信用評等,結果指出董事會規模愈大和外資持股愈多的公司,其信用評等愈高;但大股東持股比例和信用評等則呈負相關。再者,我們也發現信用評等愈佳的公司,其IPO期初報酬率相對較高,即信用評等是決定投資IPO股票是否有高報酬率的重要指標。另外,與先前研究一致,本文發現內部人及機構持股比例愈高的公司,其IPO的期初報酬率愈低。最後,在利用事件研究法及買入持有異常報酬率來觀察IPO公司在上市後的績效表現,發現信用評等較佳的公司之績效相對優於信用評等不佳的公司。
This study employs the two-stage least squares (2SLS) approach to examine the IPO initial returns under the endogenous relationship between credit ratings and ownership structures from 1995 to 2005. Our empirical findings indicate that the board size and foreign institutional shareholdings have significantly positive effects on credit ratings, but the blockholder's shareholdings have inverse effects on credit ratings. In addition, we find that credit ratings and IPO initial returns are positively related and statistically significant. This result supports the signaling theory of IPO underpricing. Furthermore, the findings also show that the level of credit ratings is the most important indicator for investors when they consider investing the IPO stocks. Finally, after observing the aftermarket performance for IPO stocks through event study and buy-and-hold abnormal return approach, we find that firms with good credit ratings have relatively better performance than those with bad ratings.