興櫃市場首次公開發行超額報酬與資訊揭露效果之探討

台灣於西元2002年元月成立「興櫃股票市場」，將未上市（櫃）股票納入制度化管理，提供投資大眾合法、安全及資訊透明之交易市場。本研究檢視「興櫃股票」與「未興櫃股票」於首次掛牌上市後，其資訊揭露效果與股價行為是否存在顯著差異。透過興櫃市場，是否新上市股票價格能夠更有效率的反應出公司之真實價，降低上市後之超額報酬與蜜月天數。傳統定義下之初始報酬以上市後漲跌停打開日之收盤價和承銷價之差額除以承銷價來計算；有別於傳統定義，本文以興櫃市場登錄後首次成交日均價，重新定義興櫃股票的初始報酬，藉以衡量登錄興櫃後至上市期間之資訊揭露效果，並比較興櫃與未興櫃股票在兩種定義下之初始報酬是否存在顯著差異。實證結果顯示，興櫃市場之設立，的確具有訊息揭露的效果；經過興櫃市場再上市（櫃）的公司，有較短的蜜月期和超額報酬。傳統定義下之初始報酬，興櫃股票顯著為低；然在新的定義下，興櫃股票與未興櫃股票之初始報酬卻無顯著差異。最後，新上市股票初始報酬的大小受到淨值市價比、中籤率與市場動能等因素的影響。

關鍵字

興櫃股票市場；資訊揭露效果；超額報酬；初始報酬；折價幅度

並列摘要

The purpose of establishing the Emerging Stock Market (ESM) in January 2002 is to provide a safe and informational efficient IPO market in Taiwan. This study compares the ESM listing firms and the non-ESM listing firms with respect to IPO abnormal returns, initial returns, and honeymoon period. A different abnormal return measure was developed; we used the first trading price on the ESM instead of the IPO price to calculate the abnormal return. Empirical evidence shows that ESM listing firms have a shorter honeymoon period, however, the newly defined abnormal returns are not significantly different from those of the non-ESM listing firms. The implication is that pre-listing at the ESM does not seem to reduce the abnormal return of IPOs. Through regression analysis, IPOs initial returns can be explained by market-to-book ratio, odds of lottery and market momentum.