| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === In the study uses Smooth Transition Regression Model proposed by Granger and Terasvirta (1993) and Terasvirta (1994) to investigate whether the earnings per share (EPS) before the IPO has nonlinear impact on the efficiency in IPO pricing.
To verify the nonlinear impacts between (1) the efficiency of IPO pricing process, whether the information to be incorporated into the price update between initial price range and offer price (2) the initial return whether the information to be incorporated into the spread between offer price and first-day closing price (3) EPS before listed whether to exist smooth transition effect under different levels of transition variables.
According to the empirical research, when the EPS is the transition variable that has two key findings. First, in the filing period, IPO pricing is almost efficient in the lower EPS companies. Second, the IPO firms that high quality firms and low quality firms take the same pricing strategy, which is consistent with the predictions of Lu and Liu (2005). In summary, the final winner is often the corporations and professional investors in the IPO pricing process.
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