申請初次上市（櫃）前股價異常報酬之探討

An Examination on Abnormal Returns before the Initial Listing Application

為確保資訊之揭露能達到公平交易之目的，台灣1988 年之《證券交易法》即禁止內線交易，行政院金融監督管理委員於2006 年五月更進一步定義「重大消息」之範圍，要求公開發行股票公司如有發生重大消息事件，須將訊息對市場公開，且內部人於消息公開前不得對該有價證券進行買賣行為，以確保市場交易秩序之維持及投資人權益之保護。是以，一項事件是否被歸屬至重大消息範圍，將對內部及外部投資人之交易行為及公司資訊揭露之監理影響廣深，而台灣現行證券交易之相關法規，並未將「初次申請上市（櫃）」此一事件納入重大影響股票價格消息之範圍內。先前研究指出，公司上市（櫃）後相較於公司未上市（櫃）之前會發展出更佳之籌資機會及成長空間，股票之流動性亦可提昇，預期公司上市（櫃）對股價報酬有正面助益，故公司是否申請初次上市（櫃）似應屬重大經濟事項。本文採用事件研究法檢測興櫃公司在提出初次上市（櫃）前之股價報酬表現，並採取「整筆報酬法」(lump sum)及「交易至交易法」(trade to trade)修正興櫃市場流動性不佳之問題，本文結果顯示採用「整筆報酬法」下，估計期及事件期之平均異常報酬率分別為0.13%及0.28%，在1%信賴水準下，二段期間平均異常報酬差異異於零達統計上之顯著性。研究結果亦顯示在事件期60 個交易日中，日平均正異常報酬天數比率有5 日達到10%顯著水準，8 日達到5%顯著水準，1 日達到1%顯著水準；正累積異常報酬天數比率在事件期有53 日達到顯著水準，且自送件前45 日起即達到1%顯著水準。「交易至交易法」下之檢定結果相對於「整筆報酬法」更為強烈，在事件期60 個交易日中，日平均正異常報酬天數比率有9 日達到10%顯著水準，15 日達到5%顯著水準，6 日達到1%顯著水準；正累積異常報酬天數比率相同地在事件期間皆達到顯著水準，且自送件前56 日起即達到1%顯著水準（除送件前53 天係達到5%顯著水準）。本研究為首篇觀察台灣之興櫃公司提出申請上市（櫃）之股票價格效果，實證結果發現公司申請上市（櫃）具有正的資訊價值。由於我國目前尚未將公司申請上市（櫃）列為必須揭露之重大資訊，在資訊無須公開揭露情形下，形成投資大眾與內部人間存有資訊落差。本研究之實證結果顯示，公司在提出上市（櫃）申請案前60 日存在顯著為正之股價異常報酬，此結果隱喻公司內部人與外部投資者間資訊不對稱存在之可能性。本研究之發現將可提供主管機關在制訂「重大消息」範圍決策之參考。

Taiwan has legislated refraining insider trading in Taiwan’s Securities and Exchange Law since 1988. In May 2006, Taiwan’s Financial supervisory Commission (FSC) of the Executive Yuan issued the “Regulations Governing the Scope of Material Information and the Means of its Public Disclosure under Article 157-1, Paragraph 4, of the Securities and Exchange Law” to stipulate the scope of material information that is required to be disclosed for reducing insiders trading. According to this regulation, a company applying for initial listing is not included into the scope of “material information” in the stated SFC regulation. However, previous studies generally indicate listed firms have more opportunities in raising capital than private enterprises. In addition, better market liquidity for listed firms can expect positive rewards from stock prices. Therefore, applying for going public is a major economic affair in its nature. In this paper, we investigate the possibility that a company’s insiders use private information to make abnormal profits under current regulations. The event study is used to examine stock return occurred before applying for initial listing. The “lump sum method” and the “trade to trade method” are employed to adjust the low liquidity of emerging stock market. Under the “lump sum method”, our results show that average abnormal return in the estimate period and in the event period were 0.13% and 0.28% respectively. The difference between two periods was not zero and reached the statistical significance at confidence level of 1%. During the event period of 60 days, the daily average positive abnormal return reach the significance level of 10% in 5 days, 5% in 8 days, and 1% in 1 day; During event period, accumulated positive abnormal return reach significance levels in 53 days out of 60 days, and since the 45th days prior to the application date the returns reach the significance level of 1%. Under the trade to trade method, the results are more significant than under the lump sum method. During event period, daily average positive abnormal return reach significance level of 10% in 9 days out of 60 days, 5% in 15 days, 1% in 6 days. Similarly, accumulated positive abnormal return also reach significance levels during the event period, and from the 56th day prior to the applying date the returns have reached a significance level of 1% (except for the 53rd day prior to the application date, which reaches a significance level of 5%). This paper is the first study to observe the emerging stock price affected by the application for initial listing. Our results show that the application for initial listing exhibits positive information value. We further find significant positive abnormal stock returns prior to the application for initial listing, presumably caused by the insider trading. Our paper provides empirical evidence for government authority in re-formulating regulations concerning the scope of “material information” which is required to be disclosed for reducing insider trading.