| Summary: | 碩士 === 輔仁大學 === 管理學研究所 === 96 === In financial and economic theory, rationality is the main assumption. After 1980 year, there are many abnormal phenomenon which proved that rationality does not exist. Kahneman and Tverskey develop a set of methods to explain the theory; which is called “prospect theory”. There are many viewpoints about prospect theory. Sheferin and Statman(1985) indicate that the disposition effect which explain the reason why investor hold the loss stock and sell the gain stock. In past research, there are few articles about primary market. The purpose of the research is to investigate seasoned equity offerings market during 1997 to June, 2007 in Taiwan.
The research has three parts: the seasoned equity offerings market, the underwriting method and the investor. It uses abnormal trade method and the disposition coefficient method to do the research. The result are as follows: (1) the seasoned equity offerings market has the effects of disposition. (2) Because the discounts of fixed-price are greater than that of book-building method, the effect of disposition of fixed-price is more obvious. (3)For investor, when you use purchase price to calculate return ratio, noise traders and institution investors have the effect of disposition; when you use ex-rights price to calculate return ratio, institution investors has the effect of disposition before SEO, but noise traders has the effect of disposition before ex-rights. The effect of disposition between noise traders and institution investor is significantly different in SEO. (4)About the period of the effect of disposition: all investors have significant difference due to the different period. (5)From ex-rights day to new listing date and 60 days after new listing, we use the price difference ratio and purchase ratio to analyze the investor’s behavior. For price difference: when you use purchase price to calculate return ratio, price difference ratio has positive effect to the effect of disposition; when you use ex-rights price to calculate return ratio, price difference ratio does not affect the disposition effect. For subscription ratio: the disposition effect is not different for various investors.
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