興櫃與承銷價格間折價幅度對投資人意願及績效之探討;The effect of discount magnitude between IPO offering prices and trading prices on investors' willingness and performance

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题名:	興櫃與承銷價格間折價幅度對投資人意願及績效之探討;The effect of discount magnitude between IPO offering prices and trading prices on investors' willingness and performance
作者:	黃元輝;Huang,Yuan-huei
贡献者:	財務金融研究所
关键词:	興櫃;折價;公開申購;IPO;IPO;public drawing;discount magnitude;Emerging Stock
日期:	2012-07-12
上传时间:	2012-09-11 19:07:44 (UTC+8)
出版者:	國立中央大學
摘要:	歷來國內一般投資人均熱衷於參與IPO公開申購，而2006年證券主管機關將提撥申購張數由固定比例改為彈性浮動調整後，投資人是否參加公開申購將對整個IPO承銷作業造成影響。故為探討影響投資人參與IPO公開申購意願的因素及實際績效表現，本研究以2007至2011年間初次上市及上櫃公司232家為樣本進行實證，結果顯示興櫃價格相對預計承銷價格間的折價幅度為影響投資人參與IPO公開申購意願的重要因素，兩者呈顯著正相關。在實際績效方面，公開申購投資人可獲取45.07%的異常報酬，而折價幅度亦為影響異常報酬的重要因素。此外，實際報酬明顯低於申購時期望報酬51.05%，顯示投資人雖然參考興櫃價格進行決策，卻可能因為過度樂觀而高估了期望報酬率，甚至預期獲利卻實際虧損。Taiwan individual investors have shown great interests in participating in public drawing of each Taiwan IPOs. However, since local regulators, in 2006, adopted the IPO Clawback Mechanism, i.e. accordingly adjusting the IPO portion allocated to retail tranche based on oversubscription times resulted from public drawing, individual investors’willingness to participate in public drawings has caused significant influences on Taiwan IPO underwriting. To explore the factors affecting individual investors’willingness to participate in IPO public drawings and demonstrate their investment return, an empirical examination toward 232 Taiwan IPO deals from 2007 to 2011 was conducted. The study discovered that discount percentages of IPO offering prices to trading prices on Emerging Stock Market were significantly and positively correlated with individual investors’ willingness to participate in IPO public drawings. In addition, the results also showed retail tranche investors averagely obtained 45.07% abnormal investment return with discount percentage as a crucial factor affecting the level of abnormal returns of each deal. Moreover,the fact that retail investors’ ultimate investment returns were significantly lower than their expected investment returns of 51.05% at the time when participating in public drawings, indicated that retail investors over estimated the expected investment return to a great extent, despite considered the trading prices on Emerging Stock Market a guidance for investment decision.
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