The variability of IPO initial returns : evidence from Thailand

Name: Charoenjit Chantarasiri

keyword: IPO

; Underpriced

; Information asymmetry

; Investment bank reputation

; MAI

Abstract: Most Initial Public Offerings (IPOs) are underpriced. There are various theories and factors that explain this phenomenon. This research paper examines six factors that impact on initial returns with regard to information-asymmetry theory and the investment-bank-reputation hypothesis. With 291 observations during the 2001–2014 study period, this paper captures IPOs listed on both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI). Abnormal initial returns, the dependent variables, are separated into three levels-daily, bi-weekly and monthly-in order to focus on market conditions. The empirical results indicate that underpricing in the Thai market does exist and there is evidence of price stabilization in the first trading period. Most underpricing relates to MAI IPOs. Three factors explain underpricing, including value size of offering, volume size of offering and firm age. The impact of the two former factors is consistent with theory, but not the latter. A robustness test result suggests that these factors only influence MAI IPOs

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Suluck Pattarathammas

Role: advisor

Created: 2014

Modified: 2022-01-17

Issued: 2022-01-17

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2014.31

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

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