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    题名: 興櫃股票市場的資訊內涵---IPO訂價與投資人情緒
    其它题名: The Information Content of Pre-IPO Market---IPO Pricing and Investor Sentiment
    作者: 陳薇如;李怡宗
    贡献者: 淡江大學會計學系
    关键词: 興櫃股票市場;資訊內涵;投資人情緒;IPO 訂價;IPO 折價;pre-IPO market;information content;investor sentiment;IPO pricing;underpricing
    日期: 2009
    上传时间: 2010-04-15 15:49:05 (UTC+8)
    摘要: IPO公司的蜜月期(underpricing)是全球股市普遍存在的現象,也一直被學者 廣泛的研究,但至今這個現象也還是一個迷。早期的文獻主要從資訊不對稱等理 性的角度解釋這個現象,近期,對於難以運用理性決策架構解釋的一些資產訂價 現象,行為偏誤已經變成一個受歡迎的解釋。其中Cornelli et al. (2006)的研究, 運用IPO前交易市場的最後一筆交易價格代理散戶投資人情緒,發現散戶投資人 是不理性的,因此會被承銷商及機構投資者利用。在他們的研究中,由於資料取 得的限制,使得他們的散戶投資人情緒只以上市前最後一筆pre-IPO市場的交易 價格這個單一變數代理。在大部份其它國家,股票初次公開發行公司(IPOs)上市 發行時的股票交易是不合法的,因此運用IPO前市場資訊的相關研究很少。本計 畫則利用台灣股票市場特有的IPO前的股票交易市場-興櫃股票市場-來檢定從興 櫃股票市場中觀察到的投資人情緒與IPO訂價、短期初始報酬及長期報酬之間的 關係。由於可取得IPO前較長期間的日內交易資料,本研究除了參考Cornelli et al. (2006)的研究,建構在pre-IPO市場中投資人情緒的代理變數外,亦由其它投資人 情緒的相關參考文獻中,選取適合的變數,以代理pre-IPO市場中散戶投資人的 情緒。 The underpricing of initial public offerings (IPOs) has been widely studied across different stock markets around the world. It’s still a puzzle so far. The earlier studies explained it as a result of asymmetric information. However, behavioral biases, now, have become a popular explanation for a variety of asset pricing phenomena which are hard to be reconciled with a rational decision-making framework. Cornelli et al. (2006) use the grey market (pre-IPO market) prices as a proxy for investor sentiment. It is found that small investors are irrational, and are exploited by the underwriter and the institutional investors. In the research, they only adopt the last grey market price to proxy for investor sentiment, due to the limitation of data collection. As a matter of fact, the when-issued trading is illegal for IPOs in most countries. Therefore, there is little prior research on pre-IPO market. A special pre-IPO market of Taiwan equity market, namely the Emerging Stock Market, is adopted in this research to examine the relationships among the investor sentiment, pricing behavior, underpricing and the long-run performance of IPOs. By collecting the intraday trading data with longer period, except for the investor sentiment proxy of Cornelli et al. (2006), more proxies for investor sentiment, suggested by other literatures, will be adopted in this research.
    显示于类别:[會計學系暨研究所] 研究報告

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