發行市場投資風險之探討－－IPOs初始報酬變異觀點

A Study on Investment Risk of Primary Market-The Perspective from the Volatility of IPO Returns

新上市上櫃公司股票 （Initial Public Offerings, IPOs） 初期高異常初始報酬是普遍的現象，但並不意謂IPOs是很好的投資標的，因為投資人不僅要考慮投資報酬，也同時要考慮投資風險才能做出正確的投資決策。因此，若能進一步提供投資人高異常初始報酬背後風險的意義，將能有效降低投資不確定性，發行公司也因而能夠訂定更為合理的承銷價格。本研究在於探討IPOs初始報酬變異的主要原因；同時也探討市場面波動性、產業面波動性、公司面波動性對初始報酬波動性之影響。實證結果顯示國內IPOs的初始報酬變異主要是由非系統風險所造成。也就是說，初始報酬波動性不會受到市場面波動性影響，但是卻與產業面、公司面波動性顯著有關。此外，發行市場IPO初始報酬變異與初始報酬之間的關係，明顯異於流通市場報酬變異與報酬之間的關係。究其原因，發現資訊不對稱才是造成IPO初始報酬與初始報酬變異同向變動的原因。資訊不對稱在IPOs發行市場中，造成用來衡量初始報酬率之IPOs期初價格下降，也就是折價更大；投資人則因資訊不對稱，對於IPOs的需求更加不確定，而使得上市後價格波動更大。而流通市場中，報酬波動性是造成衡量報酬率的期末價格下降，進而發生流通市場中報酬波動性與報酬率之間的反向關係。

It is well documented that initial public offerings (IPOs) have high initial returns. However, the high initial returns of IPOs do not necessarily imply that IPOs are good investment targets. Besides the initial return, IPO investors should take volatility of IPO initial return into account. With good understanding about the volatility of IPO initial return, IPO uncertainty can be reduced and IPO pricing can be more efficient. In this paper, we examine the causes of the volatility of IPO initial returns and find that the volatility of IPO initial returns is attributed to non-systematic volatility. We also find that the time-series relation between IPO initial return and initial return volatility is positive and is opposite to the time-series relation between return and volatility in the secondary markets. Information asymmetry is the cause for the positive relation between IPO initial return and initial return volatility because information asymmetry causes IPOs more underpriced and thus higher initial return and because asymmetry raises the uncertainty of investor demand on IPOs and thus the IPO volatility. Nevertheless, uncertainty in the secondary markets increases the discount rate and thus reduces the present value of stocks leading to a decline in stock return and the negative time-series relation between stock return and volatility.