| Summary: | 碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 96 === This study investigates the price behavior of the pre-IPO market of Taiwan established in 2002. We examines changes in price around the IPO filing and permission days, in which uncertainty decreases and vanishes around these two days, respectively. We show that, on average, prices increase following these two days, which is consistent with the classic theory of pricing under uncertainty. We also find that company risk is positive associated with uncertainty and mitigates stock value, implying that risk aversion generates price premium. In addition, we find that pre-IPO prices are generally higher than post-IPO prices, indicating that investors tend to be overoptimistic about prices prior to the IPOs.
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