신규공모상장 종목의 성과에 대한 실증 연구: 상장 직후 일중자료를 사용한 예측가능성

초록

We examine the initial returns (underpricing) and post-IPO stock performance of the IPOs in Korean stock market. Specifically, we exploit the intraday data on the IPO dates which consist of order data during pre-opening period and regular trading period after the market opening for our empirical analyses. The results support the conjecture that strategic order placement behaviors exist during the pre-opening period which determines the opening price of IPOs. These strategic order placement behaviors are observed in the canceled buy order during the pre-opening period and increase the initial returns of IPOs on listing date. Also, our empirical evidence suggests that these strategic orders might decrease the long-term stock performance of the IPOs after the listing date. The generality and statistical power of the evidence, however, appear to be quite limited. Additional sub-sample analysis shows that the main results in the full sample is mainly driven by the strategic orders made by individuals, not institutions nor foreigners.

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