The Trade Information Relate with the Returns of Initial Public Offerings ---An Empirical Study in the Taiwan OTC Market
碩士 === 國立中央大學 === 產業經濟研究所 === 92 === In this thesis, I use a new empirical model, Informed Regression Model (IRM) to estimate the probability of trades generated by privately informed traders in the IPO market of Taiwan OTC. Meanwhile, I also follow the literatures on the IPO subjects, using Explici...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/09752314415874199629 |
| Summary: | 碩士 === 國立中央大學 === 產業經濟研究所 === 92 === In this thesis, I use a new empirical model, Informed Regression Model (IRM) to estimate the probability of trades generated by privately informed traders in the IPO market of Taiwan OTC. Meanwhile, I also follow the literatures on the IPO subjects, using Explicit-Variable Regression Model (EVRM), to find out the factors affecting the initial returns of the IPO securities. Appling the Non-nested Model testing method, I compare the IRM with the EVRM and find several empirical results as follows: (1) Evidence shows that the IPO market of Taiwan OTC existing initial returns. (2) The factors affecting the initial returns of the IPO securities are the drawing percentage and the number of shareholders before IPO. (3) The empirical results show that the factor of the informed traders has a significantly negative impact on the initial return of IPOs. (4) The result of the Non-nested model testing shows that the IRM is superior to EVRM.
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