資訊、雜訊與新上市公司股票績效

Information, Noise, and the Performance of IPO

投資人在無法完全瞭解或獲取資訊的情況下，可能僅以其主觀偏好或其他非理性的行為進行投資決策的判斷，也造就雜訊交易的行為，而雜訊交易亦將影響均衡價格的形成過程。尤其新上市公司股票在交易初期，並無過去股票價格可供投資人參考，故其股票績效即成為探討資訊績效與雜訊績效的最佳範例。本研究根據報酬的可預測性以及ARMA的邏輯，將均衡價格拆解出資訊成份與雜訊成份，並將其分別為資訊績效與雜訊績效的代理變數，期望能深入暸解投資人在操作行為上的差異。實證結果顯示，資訊績效不但高於雜訊績效，且其長期的走勢亦較為平穩，而雜訊續效的走勢則呈現大漲大跌的波動現象。換言之，依雜訊進行交易的投資人，即使承擔高度的風險，但其獲利情況就明顯不如依資訊交易的投資人，亦即投資人對於資訊的瞭解程度足以使其他條件發生改變，進而影響風險與報酬之間的關係。

While the investors can’t understand or obtain totally accurate information, they may develop investing strategy by preference or irrational behavior that is commonly known as "noise trade". Noise trade adversely affects the process of equilibrium price, most notably during the inception of IPO, which prevents past prices from being used as reference. Therefore, the IPO stock performance becomes the best way to compare information- and noise-performance. According to return predictability and logic of ARMA, we separate the equilibrium price into information and noise components and they are also the proxy variables of information- and noise-performance. We find out that information-performance is not only higher but also steadier in long-term tendency than noise-performance, and noise-performance is far more fluctuating and those investing by noise accept significantly higher risks, and generate less revenue than those investing by information. Consequently, the more reliable information available will greatly increase the chance of tipping the scales to affect the fundamental relationship between risk and return.