A Study of TDR’s Stock Performance During the Initial Public Offering Period: Sovereign Credit Rating and Asymmetric Information Perspectives

• Main Authors: Yang, Wei-Ting, 楊惟婷
• Other Authors: Chen, Tsung-Kang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/82185700029229856719

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 100 === This study employs 32 Taiwan Depositary Receipts (TDR) from year 2009 to 2011 to investigate whether there exits abnormal returns during the TDR’s ex-post IPO period from the perspectives of sovereign credit rating, information asymmetry and financing purpose. The empirical results show that the TDR issued by an overseas firm with higher sovereign credit rating than that of Taiwan significantly has lower performance than the stock market during the ex-post IPO short-term period (three months). This research also finds that the TDR with lower degree of order imbalance significantly has higher performance than the stock market during the ex-post IPO long-term period (six month or one year). However, the characteristics of financing purpose have no significant impacts on the TDR’s abnormal returns of the ex-post IPO periods.