IPOfirmsbythebivariatesignalingmodel.doc.docVIP

新上市之內部人持股率、強制性財務預測與初期異常報酬 吳桂燕 輔仁大學企業管理學系副教授 摘要 本研究目的在同時考慮內部人持股與財務預測訊息下，以二因子模式探討上市後初期異常報酬之相關性。研究結果發現新上市前宣告預測公司之初期報酬顯著低於新上市後宣告預測公司之初期報酬，新上市前宣告之財測盈餘具有訊息效果。其次，在新上市前宣告財務預測的新上市公司，內部人持股率與初期報酬無顯著相關，盈餘預測訊息與內部人持股比率作為訊息傳遞因子之比較，盈餘預測訊息取代內部人持股率為主要傳遞因子，但新上市後宣告財務預測的新上市公司，內部人持股率仍呈現顯著相關。此外，在新上市前宣告財務預測的新上市公司，不論以每股預測盈餘或本益比衡量，皆顯示與上市之初期報酬呈現相關性，而且新上市股具有低本益比的價值股或高本益比的成長股的特性，會有較高的蜜月期報酬，亦即上市承銷價有較高折價幅度，支持評價攸關假說，亦即強制財務預測盈餘訊息預期可作為公司價值訊息之傳遞因子。為降低投資人訊息不對稱或事前不確定性，內部人持股率愈高、預測每股盈餘愈高或高P/E值成長股的公司，有較高的可能性選擇提前釋放預測盈餘訊息。 關鍵詞：訊息不對稱，二因子訊息模式 Abstract The purpose of this study is to investigate the initial abnormal return of IPO firms by the bivariate signaling model with the insider ownership and the management earnings forecast. The empirical results show that the initial returns of the firms which announced the management earnings forecast before IPO listing are lower than those which announced after IPO listing. The provision of management earnings forecast is a value-relevant signal for the sample of IPO firms which announced earnings forecasts before listing. Besides, there is substitution effect between the signal of earnings forecast and the insider ownership for the sample firms which announced the management earnings forecast before IPO listing. However, there is non-linearly negative relationship between the insider ownership and the initial return with the sample which announced the earnings forecast after listing. In addition, to reduce asymmetric information and ex ante uncertainty, companies with higher insider ownership, higher level of earnings forecast or higher PE ratio inclined to announce the earnings forecast before IPO listing. Keyword: Information asymmetry, bivariate signaling model 1. 研究動機與目的 有關新上市股票初期異常報酬的研究，國內外許多相關實證研究(Ibbotson et al,1988; Loughran et al,1994; 陳安琳，1997)皆顯示新上市公司初期存在正異常報酬。Rock(1986)的研究說明承銷價折價在投資人訊息不對稱市場下是均衡的現象，藉著承銷價折價使沒有訊息投資人賺取零風險調整與配額調整報酬率(risk-adjusted and ration-adjusted return)。有關新股折價之研究，Leland and Pyle(1977)推