2005-07-10 09:22:58marco
金融EMBA》市場對公司初次公開發行股票之反應
金融EMBA》市場對公司初次公開發行股票之反應
■ 何耕宇（Keng-Yu Ho）
在所有的金融資產中，最受投資人青睞的工具莫過於股票。股票市場擁有高周轉率與高流動性。是故，儘管外部融資成本較高，公司仍熱衷於透過初次公開市場發行(IPO)上市。如此一來，公司不僅可以籌措資金，同時也幫助股東創造一個便利的變現途徑。
今天，我們討論兩個與IPO相關的有趣議題：分別為IPO股票短期承銷價格低估以及長期績效不佳之現象。這些議題與市場對於IPO活動的反應有關，因此對投資人而言十分重要。
(1)IPO股票短期承銷價格低估
IPO股票的承銷價低估是一眾所週知的現象。在美國股票市場，第一個交易日的收盤價平均超過承銷價約20%。而台灣股票IPO承銷價平均而言亦低估了30%。由於台灣股市有漲跌幅限制，這個數據並非真的是第一天報酬（更精確的說，應該是IPO後數天內的報酬），但仍足以證明IPO股票發行後幾天內的強勢表現。
美國股票的平均日報酬為0.05%，因此上述IPO承銷價低估的程度大到無法單純用傳統的風險溢酬來解釋。試想，如果投資人在IPO當天要求風險溢酬以補償所承擔的系統風險，那麼為何在IPO後幾天買股票的投資人卻不要求呢？
學術界因而提出許多理論來解釋IPO股票承銷價低估迷思，而大多數的模型與承銷價之訂定息息相關。例如，承銷商為了避免投資人對「贏家詛咒」的疑慮而降低承銷價。再者，發行公司有時會利用較低的承銷價給投資人「嘗些甜頭」以利將來籌資。一般而言，釐清發行公司、承銷商、以及投資人的目標有助於解釋承銷價格低估的現象。
(2)IPO股票長期績效不佳
另一個近年來被廣泛討論的現象，則是IPO股票有長期績效表現不佳的情形。以美國市場為例，在公司IPO後的五年間，投資人必須多投資44%的錢在這些IPO股票，方能達成與相似規模的非IPO股票相同的買入持有報酬。此一發現為市場無效率性的直接證據，且代表IPO股票長期或許不是個有利的投資標的。
許多研究也致力於找出對於IPO股票績效不佳的合理解釋。其中一種可能的解釋來自於投資人與經理人對IPO公司過度樂觀。畢竟，IPO公司多為該產業中的佼佼者。這樣的過度樂觀會導致過度投資，造成利潤的降低進而使公司股價不振。
另一個可能的原因來自於經理人相對於投資人擁有較多的資訊。因此，公司會利用此「機會櫥窗」在股價被高估時進行IPO。而往後發生的績效不彰正反映了公司股價回歸到基本價值的過程。儘管以上兩個關於IPO的現象是由學術界率先提出的，但了解IPO股票的走勢特性對於投資人的投資決策仍是很有助益的。
（作者是國立中央大學財務金融學系助理教授）
Market Reaction on Initial Public Offerings
A mong all financial assets, equity is one of the most popular instruments to investors.One reason for this popularity is that stock market enjoys large turnover and high liquidity. Therefore, despite of the high cost for external financing, firms are still interested in going public via initial public offerings (IPOs). Through IPOs, firms can not only raise capital but also create a public market for shareholders to easily convert their wealth into cash. For the past decades, IPOs have drawn attention from both practitioners and finance academia.
Today, we would like to discuss two interesting issues on IPOs. These two issues, the short-run IPO underpricing and long-run IPO underperformance, are important to investors, since they are related to the market reaction on IPO activities.
(1) Short-Run IPO Underpricing
The IPO underpricing is one of the well-known IPO phenomena, which shows the large average first-day return of IPO firms. In the U.S. stock market, the closing market price on the first trading day exceeds the offer price by around 20% on average. The IPO underpricing is also found in many other countries, including Taiwan. The recent literature shows that the underpricing of IPO is about 30% in Taiwan stock market.
Although such figure is not actually the first-day return due to the price limit restriction in Taiwan (to be precise, it should be the first few days of return after IPOs), it still clearly indicates that IPO firms perform strongly right after going public. With an average daily return of 0.05% in the U.S., the magnitude of IPO underpricing is simply too large to be explained by fundamental asset-pricing risk premium. For example, if investors on the first day of IPO require compensation for bearing systematic risk, then why do investors who purchase IPO stocks just a few days after not seem to require such premium
In finance academia, many theories have been raised to explain such interesting puzzle, and most of them focus on the determination of offer price. For instance, underwriters usually lower the offer prices in order to prevent investors from worrying about the "winner's curse". In addition, issuers sometimes prefer to leave a “good taste” for the investors by setting lower offer prices. This can be interpreted as a signal for profitable firms, so the investors would be willing to put more money in these companies when they raise capital in the future. In general, understanding the objectives of three key players, issuers, underwriters and investors, in the IPO process is helpful in explaining the underpricing phenomenon.
(2) Long-Run IPO Underperformance
Another recently well-documented IPO phenomenon is the long-run IPO underperformance, which shows that IPO stocks perform badly over five years after going public. Such anomaly is also found in various countries. For the U.S. stock market, investors have to invest 44% more money on IPO stocks during the five years after the offers in order to reach the same buy-and-hold returns of investing in non-IPO stocks with similar firm size. This finding is a direct evidence of market inefficiency and suggests that IPO may not be a profitable investment in the long run.
Like IPO underpricing, many researchers have tried to find explanations for the IPO underperformance anomaly. One possible explanation is that investors and managers are systematically over-optimistic at the time of IPO. After all, issuers tend to be firms that perform well in their industry. Such over-optimism leads to over investment, resulting in decreasing profit margin and poor stock price performance years after the issues.
Another possible reason for underperformance is that firms are able to issue overvalued equity when managers have superior information over the outside investors. Essentially, this "windows of opportunity" hypothesis suggests that managers time stock issues and sell overpriced stocks to optimistic investors. Therefore, the subsequent underperformance reflects that the stock price reverses back to the fundamental value. Although the above two issues on IPOs are originally found in academic research, understanding such pattern of IPO stocks is still important to practitioners and would be useful for investors.
（Assistant Professor, Department of Finance, National Central University）
【2005/07/10 經濟日報】
■ 何耕宇（Keng-Yu Ho）
在所有的金融資產中，最受投資人青睞的工具莫過於股票。股票市場擁有高周轉率與高流動性。是故，儘管外部融資成本較高，公司仍熱衷於透過初次公開市場發行(IPO)上市。如此一來，公司不僅可以籌措資金，同時也幫助股東創造一個便利的變現途徑。
今天，我們討論兩個與IPO相關的有趣議題：分別為IPO股票短期承銷價格低估以及長期績效不佳之現象。這些議題與市場對於IPO活動的反應有關，因此對投資人而言十分重要。
(1)IPO股票短期承銷價格低估
IPO股票的承銷價低估是一眾所週知的現象。在美國股票市場，第一個交易日的收盤價平均超過承銷價約20%。而台灣股票IPO承銷價平均而言亦低估了30%。由於台灣股市有漲跌幅限制，這個數據並非真的是第一天報酬（更精確的說，應該是IPO後數天內的報酬），但仍足以證明IPO股票發行後幾天內的強勢表現。
美國股票的平均日報酬為0.05%，因此上述IPO承銷價低估的程度大到無法單純用傳統的風險溢酬來解釋。試想，如果投資人在IPO當天要求風險溢酬以補償所承擔的系統風險，那麼為何在IPO後幾天買股票的投資人卻不要求呢？
學術界因而提出許多理論來解釋IPO股票承銷價低估迷思，而大多數的模型與承銷價之訂定息息相關。例如，承銷商為了避免投資人對「贏家詛咒」的疑慮而降低承銷價。再者，發行公司有時會利用較低的承銷價給投資人「嘗些甜頭」以利將來籌資。一般而言，釐清發行公司、承銷商、以及投資人的目標有助於解釋承銷價格低估的現象。
(2)IPO股票長期績效不佳
另一個近年來被廣泛討論的現象，則是IPO股票有長期績效表現不佳的情形。以美國市場為例，在公司IPO後的五年間，投資人必須多投資44%的錢在這些IPO股票，方能達成與相似規模的非IPO股票相同的買入持有報酬。此一發現為市場無效率性的直接證據，且代表IPO股票長期或許不是個有利的投資標的。
許多研究也致力於找出對於IPO股票績效不佳的合理解釋。其中一種可能的解釋來自於投資人與經理人對IPO公司過度樂觀。畢竟，IPO公司多為該產業中的佼佼者。這樣的過度樂觀會導致過度投資，造成利潤的降低進而使公司股價不振。
另一個可能的原因來自於經理人相對於投資人擁有較多的資訊。因此，公司會利用此「機會櫥窗」在股價被高估時進行IPO。而往後發生的績效不彰正反映了公司股價回歸到基本價值的過程。儘管以上兩個關於IPO的現象是由學術界率先提出的，但了解IPO股票的走勢特性對於投資人的投資決策仍是很有助益的。
（作者是國立中央大學財務金融學系助理教授）
Market Reaction on Initial Public Offerings
A mong all financial assets, equity is one of the most popular instruments to investors.One reason for this popularity is that stock market enjoys large turnover and high liquidity. Therefore, despite of the high cost for external financing, firms are still interested in going public via initial public offerings (IPOs). Through IPOs, firms can not only raise capital but also create a public market for shareholders to easily convert their wealth into cash. For the past decades, IPOs have drawn attention from both practitioners and finance academia.
Today, we would like to discuss two interesting issues on IPOs. These two issues, the short-run IPO underpricing and long-run IPO underperformance, are important to investors, since they are related to the market reaction on IPO activities.
(1) Short-Run IPO Underpricing
The IPO underpricing is one of the well-known IPO phenomena, which shows the large average first-day return of IPO firms. In the U.S. stock market, the closing market price on the first trading day exceeds the offer price by around 20% on average. The IPO underpricing is also found in many other countries, including Taiwan. The recent literature shows that the underpricing of IPO is about 30% in Taiwan stock market.
Although such figure is not actually the first-day return due to the price limit restriction in Taiwan (to be precise, it should be the first few days of return after IPOs), it still clearly indicates that IPO firms perform strongly right after going public. With an average daily return of 0.05% in the U.S., the magnitude of IPO underpricing is simply too large to be explained by fundamental asset-pricing risk premium. For example, if investors on the first day of IPO require compensation for bearing systematic risk, then why do investors who purchase IPO stocks just a few days after not seem to require such premium
In finance academia, many theories have been raised to explain such interesting puzzle, and most of them focus on the determination of offer price. For instance, underwriters usually lower the offer prices in order to prevent investors from worrying about the "winner's curse". In addition, issuers sometimes prefer to leave a “good taste” for the investors by setting lower offer prices. This can be interpreted as a signal for profitable firms, so the investors would be willing to put more money in these companies when they raise capital in the future. In general, understanding the objectives of three key players, issuers, underwriters and investors, in the IPO process is helpful in explaining the underpricing phenomenon.
(2) Long-Run IPO Underperformance
Another recently well-documented IPO phenomenon is the long-run IPO underperformance, which shows that IPO stocks perform badly over five years after going public. Such anomaly is also found in various countries. For the U.S. stock market, investors have to invest 44% more money on IPO stocks during the five years after the offers in order to reach the same buy-and-hold returns of investing in non-IPO stocks with similar firm size. This finding is a direct evidence of market inefficiency and suggests that IPO may not be a profitable investment in the long run.
Like IPO underpricing, many researchers have tried to find explanations for the IPO underperformance anomaly. One possible explanation is that investors and managers are systematically over-optimistic at the time of IPO. After all, issuers tend to be firms that perform well in their industry. Such over-optimism leads to over investment, resulting in decreasing profit margin and poor stock price performance years after the issues.
Another possible reason for underperformance is that firms are able to issue overvalued equity when managers have superior information over the outside investors. Essentially, this "windows of opportunity" hypothesis suggests that managers time stock issues and sell overpriced stocks to optimistic investors. Therefore, the subsequent underperformance reflects that the stock price reverses back to the fundamental value. Although the above two issues on IPOs are originally found in academic research, understanding such pattern of IPO stocks is still important to practitioners and would be useful for investors.
（Assistant Professor, Department of Finance, National Central University）
【2005/07/10 經濟日報】