申購積極性對上市公司股票績效的影響

Investors' Aggressiveness in Open Subscription and the Performance of Initial Public Offerings

本研究旨在探討投資人在申購市場之積極性對IPOs 上市後績效的影響，並嘗試解釋影響投資人申購積極性的因素。實證結果顯示，當投資人對IPOs 的申購高度積極時，雖然其上市初期的績效表現較佳，但長期投資績效卻會產生虧損。反之，雖然投資人申購積極性低的IPOs 會有較差的上市初期績效，但其長期績效卻將超越投資人申購高度積極的IPOs。究其原因，應是資訊不對稱程度隨著IPOs 上市日久而逐漸減輕，使得投資人評價偏誤能獲得矯正。因此，基於IPOs 長期績效會產生復歸現象，本研究建議可買進投資人申購積極性低的IPOs，如此不但可避開申購市場嚴重資訊不對稱所可能衍生的風險，且更能大幅提升獲利機會。此外，本研究發現承銷價、市場時機、掛牌交易市場與所屬產業類別等因素，皆顯著影響IPOs 投資人的申購積極性。

Based on the assumption of human rationality, the Efficient Market Hypothesis (EMH) asserts that security prices reflect all available relevant information. When new information is released, it is fully and spontaneously incorporated into the price. And thus, trading strategy is incapable of producing superior returns. The insight behind EMH is that no one can beat the market if the relevant information is equally shared among all market participants, which is not the case in practices. Due to prevailing information asymmetry between investors and corporate management, investors cannot access full disclosure information and thus would cause bias in security valuation. In spite of especially serious information asymmetry in the initial public offerings (IPOs) market, investors still aggressively take position in open subscription. Some literatures discuss IPOs price deviation with information availability and contend that IPOs’ higher initial returns stem from fad investing under such chaotic circumstances. However, as more information is received over time, investors further amend valuation bias after analyzing IPOs’ fundamental profiles and absorbing them into the structure of prices. In consequence, under the context of rationality, no investors would pursue new issued stocks as IPOs’ long-term performance alleviate from fads investing through time. Therefore, investors’ aggressiveness in open subscription for IPOs may imply the existence of valuation bias in the aftermarket. To verify the above conjecture, this study investigates the relation between investors’ aggressiveness in open subscription and the performance of initial offerings. This research also tries to unveil the key factors that dominate investors’ aggressiveness. The empirical results reveal that investors grasp higher initial returns of IPOs along with higher level of investors’ aggressiveness but have negative returns in the long run. With lower level of investors’ aggressiveness, on the contrary, IPOs will have comparatively worse initial returns and better long-term returns than those with higher investors’ aggressiveness. The phenomena should be attributed to the descending level of information asymmetry due to more opportunities for investors to rectify valuation bias as time passes. In response to reverting situation in the long-term returns of IPOs, this research therefore suggests that investors should subscribe for IPOs with lower investors’ aggressiveness. In doing so, investors can both reduce relevant risk resulting from severe information asymmetry in subscription market and increase the possibility of profit. Additionally, this study identifies underwriting prices, market timing, listing markets, and industry groupings have significant influence on investors’ aggressiveness in open subscription of IPOs.