| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 97 === The long-run and the short-run stock price performance of the IPOs of common stock listed on Taiwan-stock-exchange and the Over-the-counter market in Taiwan was studied, the period was from January 2003 to June 2007. We detected the short-run and the long-run abnormal returns based on different methods of calculating abnormal returns and different approaches for developing a long-run returns benchmark.
The experiment result shows the short-run abnormal returns still exist after the revolution of underwriting system in Taiwan. And the abnormal returns have the trend to be more apparent. However, after excluding the short-run abnormal returns, the long-run abnormal returns will not exist. This result means Initial Public Offerings (IPOs) have short-run abnormal returns are caused by the under-price instead of the deviation to the real value in the beginning of stock.
The purpose of underpricing includes the reasons that companies want to express the good constitution via the under-price and compensate investors for the reverse-selection risks. Therefore, adverse-selection hypothesis and signaling hypothesis may explain the purpose of underpricing IPOs. Perhaps, due to the offer price was set based on emerging stock prices by issuing companies and underwriters, investors may receive the information of the degree of the under-pricing by emerging stock price.
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