The Performance of Initial Public Offerings Conditioning on Issue Information: The Case of Taiwan

Anlin Chen ； Roger C. Y. Chen ； Kuei-Ling Pan

《Asia Pacific Management Review》 7卷2期 (2002/06) Pp. 167-189

並列摘要

This study employs the Fama-French three-factor model as well as Jensen's alpha to measure the long-run performance of IPOs in Taiwan. Our results show that the long-run performance of IPOs based on market adjusted returns or returns adjusted by market model is poor. However, the long-run performance based on Fama-French three-factor model is similar to the normal return pattern of an ordinary asset. Therefore, we conclude that the underperformance of IPOs in Taiwan is attributed to the mis-specification of the measurement model. Furthermore, we also show that the performance of IPOs in Taiwan is significantly driven by young and electronic offerings.

並列關鍵字

Initial public offerings ； Long-run performance ； Fama-French model ； Underpricing ； Jensen's alpha

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