| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 102 === The overallotment system, which provides underwriters stabilization activity, has been applied to Taiwan IPO market since October 2005. In Taiwan, Financial Supervision Commission (FSC) requests underwriters to disclose information of overallotment and stabilization activity. This study investigates whether the information of overallotment and stabilization activity can be helpful on investors' decision makings. The result indicates that the higher the overallotment ratio, the lower its IPO cumulative abnormal returns (CARs). In addition, during the first five-trading days of listing, the higher the intensity of underwriters' execution of greenshoe option , the higher the CARs; the higher the intensity of underwriters' execution of short covering, the lower the CARs. We also found that IPOs listed on the OTC market outperform IPOs listed on the TWSE in initial, short-term and long-term returns. Market momentum is positive correlated with initial and short-term returns. From risk perspectives, the larger the size IPO issuing, the worse its long-term return. On the other hand, the measures of the demand of IPOs, i.e. the price adjustment and the first-day turnover ratio, are positively related to initial returns, but negatively related to long-term returns. IPO initial abnormal return is negatively related to aftermarket return. However, the prestige of the underwriter is not related to IPO returns.
|
|---|
