The announcement effects of exchange and OTC listing – a study of the emerging OTC stocks in Taiwan.
|關鍵字:||興櫃公司;興櫃股票;異常報酬;超額報酬;初次申請上市;IPO;Emerging companies;Emerging Stock;Abnormal returns;Excess returns;Initial application for listing;IPO|
This study investigates the short-term abnormal returns for emerging OTC stocks that initially apply for being listed on the OTC or Taiwan Stock Exchange. The paper analyzes five announcement effects during the process of going public using event study for sample period during 1997 to 2011, and investigates the factors affect the short-term abnormal returns of each incidence. This study uses traditional t-test for nonparametric test method to test the average abnormal return of 5 event dates and cumulative average abnormal returns, however the empirical results were not significant, that means investors whose investment strategy of short-term access for buying stocks 5 days before the announcement day and selling it out 5 days after didn’t reach the goal of profit. In addition, it was found through the empirical results of investigating the factors affected each incidence of short-term abnormal returns that there had no effect factors between delivery date and listing date; during the event of hearing date, emerging trading days of the variables showed a positive low significance ; during the event of board of directors , the company’s established seniority and its after-tax EPS were both negative low significance、the profit margin variable was negative moderate significant; in the event period of effective date for capital increase of initial application for being publicly traded, the company size variables were highly significant negative, and the gross margin variable was positive and moderate significant.
|Appears in Collections:||Thesis|