Abstract
By using Tobit model to remove price limit regulation from the limited price data, this study analyzes the IPO aftermarket¡¦s rationality using a sample of 362 stocks which conducted IPO between 1991 and 1998 in Taiwan stock markets. Two market efficiency hypotheses were examined: the efficient markets hypothesis (EMH) and the hypothesis of efficiently learning market (ELM). The later relaxed EMH by letting prior beliefs to be unspecified. Risk was valued by market portfolio return, market model, and an alteration of Fama-French three-factor model. Tobit model is used to remove price limits in case of limit-move day. In addition to examining the hypotheses of market efficiency, this study also explores cross-section and time-series return patterns. We are interested in the effect of competitive bidding on market efficiency, the role of SEO on IPOs long-run performance, the implication of heavy issuance return pattern, and momentum and mean reversion. The results show that our IPO sample does learn rationally from information in the sense of ELM in conjunction with market model or thee-factor model. The cross-section and time-series results indicate that market is not ¡¥overreaction¡¦ or ¡¥fad¡¦, but learning sequentially and cautiously. Thus, the IPOs long-run anomalies disappear in our sample if model is properly defined.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0729103-171101 |
| Date | 29 July 2003 |
| Creators | L.Chiou, Sue |
| Contributors | Chinshun Wu, Ruey-Dang Chang, Hisnan Hsu, Shyan-Rong Chou, David S. Shyu, Anlin Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0729103-171101 |
| Rights | not_available, Copyright information available at source archive |
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