IPO期初報酬之資訊性-以台灣股票市場為例

邱淑萍(Chiu Shu Ping)

指導教授 ： 林子綾

國立中正大學/管理學院/財務金融學系/碩士(2014年)

摘要

本文旨在探討1985至2013年在台灣上市及上櫃的公司，其IPO期初報酬之波動度與公司資訊不對稱程度的關係。本文以公司特性及承銷規模作為資訊不對稱之代理變數，探討是否影響期初報酬與期初報酬波動度，並進而分析當資訊不對稱程度越高時，期初報酬與期初報酬波動度兩者之間的關係為何。實證結果顯示當公司在櫃買中心初次公開上櫃、成立日至發行日期間越短時會有較高的期初報酬波動度，由此推論當公司資訊不對稱程度較高時，投資者及承銷商較難以去評價，因此期初報酬波動度相對來說也較高。且從整體樣本趨勢來看，台灣IPO股票期初報酬與期初報酬波動度之間存在一正向關係。

關鍵字

初次公開發行 ； IPO期初報酬波動度 ； 資訊不對稱

並列摘要

This study discusses the relation between volatility of initial returns and degree of asymmetric information of IPOs in Taiwan during 1985~2013. We use the firm and offering-specific characteristics as proxies for asymmetric information to analyze whether they affect initial returns and volatility of initial returns. Furthermore, what the relation between initial returns and volatility of initial returns is when the higher degree of asymmetric information. Empirical results indicate that if an IPO firm is traded on the OTC market and young, it would have higher volatility of initial returns. Therefore, a firm with higher degree of asymmetric information, because it is more difficult for investors and underwriters to value the IPO stock, its volatility of initial returns would be higher. And there exists a positive relation between initial returns and volatility of initial returns from the overall sample trend.

並列關鍵字

initial public offering ； volatility of IPO initial returns ； asymmetric information

參考文獻

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