|摘要: ||興櫃市場於 2002 年 1 月 2 日開始議價交易,興櫃股票交易市場的加入,儼 然成為證券市場的預備市場。有意投資未上市股票的投資人,即可在興櫃股票市場 中透過證券商買賣未上市股票。現在興櫃市場發展已趨於成熟。本研究在檢驗興櫃 公司從申請上市(櫃)(IPOs)至上市(櫃)(IPOs)期間是否存在超額報酬。及興 櫃公司從交易所董事會通過上市(櫃)至上市(櫃)(IPOs)期間是否存在超額報酬。 並探討『公司於興櫃市場股權分佈』、『公司基本因素』、『公司於興櫃市場申請上(櫃) 時條件因素』與『市場景氣與制度因素』等四大類,對於興櫃公司初次申請上市(櫃) (IPOs)股票的影響。進而建立一個投資策略。|
由實證結果發現從申請上市(櫃)與交易所董事會通過上市(櫃)到上市(櫃)確實 存在超額報酬,並且從申請上市日買進至 IPO 的前一天賣出會有較好的報酬。再者, 本研究從三大面向『公司於興櫃市場股權分佈』、『公司基本因素』及『公司於興櫃 市場申請上(櫃)時條件因素』變數對報酬率的影響。本研究最主要之貢獻為找出 能獲得超越台灣大盤指數報酬的交易策略,本文中亦建構了兩種投資組合分別為 PREIPO_SCORE 與迴歸分析顯著變數,提供投資人在找尋投資方向時一個選擇。
Jan 2, 2012 was the first trading date for Taiwanese emerging stock market, or “pre-IPO market”. Since the day it was born, this market has been serving its function as a market for pre-IPO securities. Investors interested in investing those securities could trade through brokers. In respect that the market is well-developed, this paper would like to test whether there contains any abnormal returns in these firms during the period between IPO application date and IPO date, and between IPO permission date and IPO date. This paper further discusses 4 factors that may contribute to price change in securities applying for IPO for the first time, and construct an investment strategy. These 4 factors include “equity distribution before IPO”, “company fundamentals”, “specific condition in IPO application”, as well as “macroeconomic condition and regulations”.
The empirical results show that there contains abnormal returns during the period between IPO application date and IPO date, and between IPO permission date and IPO date. The abnormal returns would be greater if investors choose to hold pre-IPO securities from IPO application date to one day before IPO date. Moreover, this paper examines the effect of 3 different factors to investment returns, namely “equity distribution before IPO”, “company fundamentals”, and “specific condition in IPO application”. The paper introduces a new investment strategy that defeats the market performance as the main contribution. The paper also constructs two investment portfolios, named “PREIPO_SCORE” and “Regression results”, to provide an alternative for investors.