The Short-Run and Long-Run Returns of Initial Public Offerings in Taiwan

Transcription

1 »{ The Short-Run and Long-Run Returns of Initial Public Offerings in Taiwan ƒf6,'&!# % 1 '% ' '& & " pv v o { k k ku g²š{ { { k j g² ui k¼v {»» k { : k k Abstract Researches related to the study of initial public offerings pointed out two abnormal phenomenon: 1. There is significantly positive abnormal returns for shot-run price behavior. Two possible explanations to cause IPOs short-run abnormal retruns: IPOs are underpricing and initial prices of IPOs are not true prices. 2. There is significantly negative abnormal returns for long-run performance. The reasons causing IPOs long-run poor performance are still developing, but two explanations, namely the investors are too optimistic for the future earnings of IPOs firms and the managers successfully use the opportunity of overpricing to go public, has been proposed.. We will propose hypotheses that are suitable for description of the characteristics of Taiwan stock market by referring related studies and do empirical study. We intend to achieve the following two objectives: the reasons of IPOs short-run abnormal returns will be systematically searched. The IPOs long-run price behavior in Taiwan will be tested. Keywords: initial public offerings(ipos) short-run abnormal returns long-run abnormal returns. ƒ k k h g ² k j k»

2 k { --ä kå iœ Loughran and Ritter(1995) ä åj k g² i k¼ {» h g² w»k {» g» 1 kš ž (cf. Carter and Manaster(1990)) (adverse-selection) ¼ (signaling model) 2 k œ 3 k 4 k (cf. Grinblatt and Hwang(1989)) j j k k g² k 5 k (cf. (1995)) g²k 6 k ³ (cf. Carter & Manaster(1990), Affleck-raves, Hegde, Miller, Reilly (1993)) 7 k Š (cf. Affleck-Graves, Hegde, Miller and Reilly(1993) Drake and Vetsuypens(1993) Michaely and Shaw(1994)) g² Aggarwal and Rivoli(1990)i k¼ h { 8 k k (cf. Aggarwal and Rivoli(1990)) v{ 9Š (cf. Loughran, Ritter and Rydqvist(1994)) 10Š k (cf. Ritter(1991), Loughran, Ritter and Rydqvist (1994))

3 g² k Š ž œ ³Š 11 k Š ž (cf. Aggarwal and Rivoli(1990)) 12 k œ 13 k 14 k 15 k (cf. (1995)) 16 k ³ (cf. Ritter(1991), Loughran and Ritter(1995), Spiess and Affeck-Graves(1995)) 17 k Š (cf. Ritter(1991), Spiess and Affeck-Graves(1995)) (lawsuit avoidance hypothesis) (partial adjustment phenomenon) Š g²» m kk k k k k j y j k m Š ž Š ž j Š Š k ž j e Š Šk œ ( ) ( ) ( ) ( )³( ) œ Š{ v ³ k m Š ž Òž j Š Š k ž j e Š Š kóœ ( ) ( ) ( ) ( )³( )Š ( ) m { n

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