新上市股票系統風險變動行為之探討－－資訊量與財務結構的觀點

Study in Systematic Risk Behavior of IPOs after Offering: Amount of Information and Financial Structure Perspective

本研究針對新上市股票，以Kalman-filter 法來估計Fama-French 三因子模式中的各項系統風險因子於上市後的變動行為，並就所呈現的變動趨勢檢驗其原因。同時，利用所估計得的與時俱變系統風險因子來設定正常報酬，以另一種新的衡量方式來評量新上市股票長期價格績效。結果顯示，大致上新上市股票的市場風險長期而言係由略低的水準往1 貼近，規模相關風險並沒有特定的變動趨勢，至於淨值市價比相關風險則為負數且於上市後逐漸下降，此現象經實證為上市後資訊量增加及財務結構調整交互影響的結果。在系統風險變動下所衡量的平均長期超常報酬雖然低於零且有統計顯著差異，但是程度不大而沒有明顯的經濟涵意。

According to the differential information hypothesis, the systematic risk of initial public offerings（IPOs）should decline as time passes and information on the issuer increases. In addition, Hamada Formula points out that the change in financial structure may affect the systematic risk of firms. These indicate that risk estimate of IPOs after offering may contain a time-dependent component. Hence, to investigate systematic risk behavior after offering is essential in understanding the underpricing of IPOs, as well as their subsequent long run price performance. The purposes of this paper are to estimate time-varying risk factors based on the three-factor model for IPOs via the Kalman-filter approach, analyze the behaviors of these estimated risk factors from offering, and investigate the reasons causing the particular pattern of any one of these risk factors. Furthermore, we propose a new measurement which uses the three time-varying risk factors to set up the normal return to evaluate the long-run price performance of IPOs. The results show that in general, the value of the market risk of IPOs approaches to 1 from less in the long run. The size-related risk displays without any specific pattern during the analysis period. For book-to-market related risk, it is a negative value and the value descends with time, which in part, results from the intersect effect of the reduction of information risk and the change in financial structure after offering. We finally conclude that while the average long-run abnormal return is statistically significantly different from 0, the magnitude is trivial without any economic implication.