factors influencing on return on initial public offerings...

of 61/61
ปัจจัยที่มีอิทธิพลต่อผลตอบแทนของหลักทรัพย์ที่ออกจาหน่ายแก่สาธารณชนเป็นครั้งแรก ในตลาดหลักทรัพย์แห่งประเทศไทย Factors Influencing on Return on Initial Public Offerings of Stock Exchange of Thailand

Post on 10-Mar-2018

216 views

Category:

Documents

1 download

Embed Size (px)

TRANSCRIPT

  • Factors Influencing on Return on Initial Public Offerings of Stock Exchange

    of Thailand

  • Factors Influencing on Return on Initial Public Offerings of Stock Exchange of Thailand

    2559

  • 2559

  • . , 2559, . (48 ) : .

    2009 2016 (OLS Regression)

    IPO

    : IPO, ,

  • Keawsang, S. M.S. (Finance), November 2016, Graduate School, Bangkok University. Factors Influencing on Return on Initial Public Offerings of Stock Exchange of Thailand (48 pp.) Advisor: Karnjana Songwathana, Ph.D.

    ABSTRACT

    This research aims to study factors that influence the return of Initial Public Offering (IPO) of Stock Exchange of Thailand (SET). The study uses data in the period of 2009 to 2016. The variables are consisted of IPO price, offer size, SET Index of Day 1, SET Index of Day 60, interest rates on government bonds, the value of Foreign Direct Investment, Manufacturing Production Index. The Ordinary Least Square regression is applied in this study.

    The results showed that the factors that influence the first day return of IPO of SET are consisted of SET Index of Day 1 and offer size. The factors that influence the 60th day return of IPO of SET are consisted of SET Index of Day 60, offer size and the change of manufacturing production index. Keywords: Initial Public Offering, Short-Return, Macroeconimic Factors

  • .

    MS Finance

  • 1 1.1 1 1.2 3 1.3 4 1.4 5 1.5 5 1.6 5 1.7 6 2 2.1 8 2.2 14 3 3.1 18 3.2 IPO 25 3.3 26 3.4 27 4 4.1 28 4.1.1 (Descriptive Statistics) 4.1.2 4.1.3 (ReturnP1) (ReturnP60)

  • () 5 5.1 41 5.2 42 5.3 44 45 48

  • 2.1: IPO 14 3.1: 2009 18 3.2: 2010 19 3.3: 2011 19 3.4: 2012 19 3.5: 2013 20 3.6: 2014 21 3.7: 2015 22 3.8: 2016 23 3.9: 24 4.1: 28 4.2: Correlation 31 4.3: Variance Inflation Factor (VIF) 32 IPO (ReturnP1) 4.4: Variance Inflation Factor (VIF) 32 (ReturnP60) 4.5: 34 IPO (ReturnP1) 4.6: 35 (Heteroskedasticity) 4.7: 36 IPO (ReturnP1) (WeighSetP1) 4.8: (Heteroscedasticity) 37 (Weight ReturnP1) 4.9: IPO 38 (ReturnP60) 4.10: (Heteroscedasticity) 40 IPO (ReturnP60)

  • 1.1: IPO 1 2007-2016 1.2: IPO 2007-2016 (: ) 2 1.3: 4

  • 1

    1.1 (Stock Exchange of Thailand: SET) 1975 SET (Securities) ( , 2009) 700 () IPO (Initial Public Offering) 1.1: IPO 2007-2016

    : . (2559). IPO IPO . http://www.settrade.com/C13_StockIpo.jsp.

    10

    13 11

    8 9

    14

    23 25

    28

    11

    0

    5

    10

    15

    20

    25

    30

    35

    0

    5

    10

    15

    20

    25

    30

    2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

    IPO TAX

  • 2

    1.1 10 IPO 2012-2015 2014 10 30% 23% 20% 1.2: IPO 2007-2016 (: )

    : . (2559). IPO IPO . http://www.settrade.com/C13_StockIpo.jsp. 1.2 IPO 2012 IPO 2014 203,447 2012 22,105 820% IPO IPO IPO (Ritter, 1991; Finn & Higham, 1988 Boudriga, Slama & Boulila, 2009) (Gntrkn, Grarda & Erdoan, 2012) IPO 7.7% (Bakara &

    101,978

    68,886

    24,386 49,644

    22,105

    58,019

    148,989

    203,447 179,882

    122,357

    0

    50,000

    100,000

    150,000

    200,000

    250,000

    2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

  • 3

    Uzak, 2013) 420 28.82% Bakara & Uzak ( Jelic, 2001) IPO 1980-1995 99% IPO Underpricing IPO ( , 2540 , 2542) Mohan (2007) (FDI) GDP IPO Underpricing IPO 1.2 1.2.1 IPO 1.2.2 IPO

  • 4

    1.3 1.3: (Independent Variables) (Dependent Variables)

    - (Initial Price)

    - IPO (Offer Size)

    - (Age Years) -

    (SetP1) -

    (SetP60) -

    (DBond) -

    (DMPI) -

    (DFDI)

    IPO

    (ReturnP1)

    IPO

    (ReturnP60)

  • 5

    1.4 1.4.1 SET IPO 102 2009-2016 1.4.2 (Initial Price) IPO (Offer Size) (Age Years) (SetP1) (SetP60) (DBond) (DMPI) (DFDI) 1.5 1.5.1 IPO (SetP1) (SetP60) (DBond) (DMPI) (FDIP) 1.5.2 IPO (Initial Price) IPO (Offer Size) (Age Years) 1.6 1.6.1 IPO 1.6.2

  • 6

    1.7 1.7.1 SET The Stock Exchange of Thailand 1974 30 1974 1.7.2 (SET INDEX) SET Index (Market Capitalization Weighted) (Current Market Value: CMV) (Base Market Value: BMV) 30 2009 100 (SET Index) SET INDEN = (Current Market Value) x 100 (Base Market Value) 1.7.3 (Manufacturing Index) 45 62.39% 11 (Thailand Standard Industry Classification : TSIC) 255 1995 1987 1.7.4 1 (Bond) 1.7.5 (Initial Price)

  • 7

    1.7.6 IPO (Offer Size) ( * ) 1.7.7 (FDI) (Source Countries) (Host Countries) 2 - (Horizontal FDI) - (Vertical FDI) (Davis, 2010)

  • 2

    2.1 2.1.1 (, 2551) (Efficient Market Hypothesis: EMH) (Rational Expectations) (Normal Profit) (Intrinsic Value) 1. 2. (Homogeneous Expectation) (Probability Distribution)

  • 9

    3. (Perfect Knowledge) 4. (Equilibrium Price) (Intrinsic Value) 3 1. (Weak Efficient Market) Buy and Hold Investment (Serial Correlation) (Run Test) 2. (Semi-Strong Efficient Market) (Split Par)

  • 10

    3. (Strong Efficient Market) (Inside Information) (Inside) 2.1.2 Signaling Theory ( , 2549) Signaling Theory Signaling Theory (Shares Repurchased) Treasury Stocks Treasury Stocks Shares Repurchased P/E Signaling (Cashflow From Operations) (Cashflow From Investment) "Free Cash Flow"

  • 11

    Signaling "Dividend Signaling" (Positive) (Associated Company) ( 20-50%) Stock Dividends (Cash Dividends) (Share Outstanding) (Earnings Dilution) (Decreasing Dividend Payout Ratio) (Increasing Dividend Payout Ratio) Prudent Rule Man Overweight Position (Growth) (Private Placement Public Offering) Price / Book Value (P/BV)

  • 12

    P/BV Premiums Price Per Share Right Issues Par Par Split Under Research Stock Split 8% 12% 3 Stock Repurchase Stock Repurchase (EPS Earnings Per Share) Stock Repurchase Stock Repurchase (Price Per Book Value ) 0.7 Outperform Repurchase Price / Book value Initial Public Offering (IPO) Behavior Finance IPO Outperform () Underperform ( ) IPO IPO (First Day Return) IPO IPO IPO (First Day Trading) IPO Demand Supply () IPO Behavior Finance IPO Book Build

  • 13

    Range IPO Underperform Low Demand IPO Book Build Range IPO Outperform () IPO Price / Book Value Discount () IPO Underperform IPO Price Per Share / Book Value Per Share Price Per Share / Book Value Per Share Price Per Share/ Earning Per Share P/E IPO 2.1.4 (, 2558) 1. 2. 3. 3.1 - - -

  • 14

    - - - - 3.2 - - - - 2.2 2.2 2.1: IPO

    (%) Ibbotson (1975) 11.40 Ritter (1991) 14.32 Fin and Higham (1998) 29.20

    Abdelkader Boudriga, Sarra Ben Slama & Neila Boulila (2009)

    16.07

    Mustafa Hakan Gntrkn, evin Grarda and Hilal Hmeyra Erdoan (2012)

    7.70

    Paratee Rasamee (2010) 19.00 Gallayanee Parkatt (2016) 61.43

  • 15

    Ritter (1991) IPO 1975-1984 1,256 14.32% 3 34.47% Fin & Higham (1998) IPO 1966-1978 29.2% Boudriga, Slama & Boulila (2009) IPO 1992-2008 IPO Underpriced 16.07% (Retained Capital) IPO (Underwriters Price Support) (Oversubscription) Listing Delay IPO (Offer Price) Underpriced (Age of the Firm) (The Size of the Offer) Underpriced Boubake (2011) IPO 143 2006-2010 (Cross-Sectional Analysis) 11 Listing Delay, Capital Collected Capitalization, Capital Collected, Oversubscription Ratio, Transaction Volume, Firme Size, Dummy Variable Offer Price IPO Parkatt (2016) IPO 2010-2014 SET MAI 101 3 IPO Log IPO IPO 20 61.43% 2014 IPO 80.18% IPO 2010 Khananrurak (2011) IPO 1994-2004 8 (Age) (Asset) (Audit) (Retention) (Underwriter) (Market Return) (Period) IPO (IPO Value) IPO 10.9% 18.4% (Initial Return) (Asset) (Market Return)

  • 16

    (Asset) (Market Return) IPO Underpriced ( Carter, 1998 Ritter, 1991, p. 15) Under Priced IPO Underpriced Ritter (1991 Ritter, 1984; Hensler, 1997 Bilson, 2003, pp. 16-17) Underpriced SET IPO Under Priced Boudriga ( Miller & Reilly, 1987; Clarkson & Simunic,1994; Carter, 1998 Jain & Kini, 2000, p. 17) IPO IPO IPO IPO Under Pricing (Boudriga Fernando, 1999 Daily, 2003, p. 15) Under Pricing

  • 17

    Boudriga ( Gompers & Metrick, 1998; Jain & Kini ,1999 Ibbotson, 1988, p. 15) Under Pricing IPO Under Pricing (Ibbotson, 1988) Under Pricing

  • 3

    3.1 (IPO) (SET) 300 2 3 50 30 (MAI) IPO 2009-2016 102 3.1 - 3.8 3.1: 2009

    2009 TTCL () 2009 JMART () 2009 SENA () 2009 GLOBAL () 2009 SMT () () 2009 BLA () 2009 TLOGIS

  • 19

    3.2: 2010

    2010 IVL () 2010 IFS () () 2010 GUNKUL () 2010 SYMC ()

    3.3: 2011

    2011 LHBANK () 2011 KBS () 2011 APCS ()

    3.4: 2012

    2012 VIH () 2012 AAV () 2012 SRICHA () 2012 VGI () 2012 WHA () 2012 ANAN () 2012 BEAUTY ()

  • 20

    3.5: 2013

    2013 PPP () 2013 UREKA () 2013 ERWPF 2013 BTSGIF 2013 KPNPF 2013 CHG () 2013 PTG () 2013 NOK () 2013 CRYSTAL 2013 MC () 2013 CKP () 2013 PACE () 2013 SPWPF 2013 M () 2013 CSS () 2013 ABPIF . 2013 THREL () 2013 UNIPF 2013 MEGA () 2013 NYT () 2013 BJCHI () 2013 CPTGF .. 2013 TGROWTH 2013 DIF

  • 21

    3.6: 2014

    2014 HPF 2014 AJD () 2014 PCSGH ... () 2014 SUTHA () 2014 SIRIP 2014 ICHI () 2014 KTIS () 2014 SWAD 1979 () 2014 TAE () 2014 THIF 2014 TSR () 2014 M-PAT 2014 SAPPE () 2014 PPF 2014 RICHY 2002 () 2014 SSTSS 2014 IMPACT 2014 BA () 2014 BRR () 2014 NCL () 2014 CBG () 2014 VPO () 2014 MTLS ()

    2014 WHART

    2014 EPG () ()

  • 22

    3.6 (): 2014

    2014 LHSC

    3.7: 2015

    2015 TREIT

    2015 NDR .. () 2015 JASIF 2015 PLANB () 2015 SCN () 2015 S11 11 () 2015 PLAT () 2015 PMTA () 2015 SLP () 2015 GPSC ()

    2015 AMATAR

    2015 EGATIF 1

    2015 BR () 2015 WICE () 2015 ASEFA () 2015 COM7 () 2015 JWD ()

    ()

  • 23

    3.7 (): 2015

    2015 ORI () 2015 TFG () 2015 SCI () 2015 LPH () 2015 J ()

    2015 WHABT

    2015 TLHPF 2015 TKN () 2015 SPRC () 2015 AMATAV () 2015 LHHOTEL 2015 MIT

    3.8: 2016

    2016 TPBI () 2016 GVREIT

    3.1.1 IPO IPO IPO 3.1.2 IPO SETSMART 3.1.3 (Bond) 1 (Bank of Thailand)

  • 24

    3.1.4 Foreign Direct Investment (Bank of Thailand) 3.1.5 Manufacturing Production Index (Bank of Thailand) 3.1.6 IPO IPO (Bond) (Manufacturing Production Index) (Foreign Direct Investment) 3.9:

    Initial Price IPO

    IPO

    Offer Size

    Age Years

    SetP1 IPO

    SetP60 IPO

    DBond 1

    DFDI

    DMPI

  • 25

    3.2 IPO 3.2.1 IPO (Return P1) IPO (Initial Price) IPO Return P1 = (P1-P0) x 100 P0 ReturnP1 = IPO P0 = P1 = IPO 3.2.2 IPO (Return P60) IPO IPO IPO Return P60 = (P60-P1) x 100 P1 ReturnP60 = IPO P1 = IPO P60 = IPO 3.2.3 (DBond) IPO

    - DBond = BondP0 = BondP1 = IPO

  • 26

    3.2.4 (DFDI) IPO

    - DFDI = FDIP0 = FDIP1 = IPO 3.2.5 IPO

    - DMPI = MPIP0 = MPIP1 = IPO 3.3 3.3.1 (OLS Regression) IPO (ReturnP1) (ReturnP60) (Initial Price) IPO (Offer Size) (Age Years) (SetP1) (SetP60) (DBond) (DFDI) (DMPI) 3.3.2

  • 27

    + ( )+ ( )+ ( )

    + ( ) +

    ( )+ ( )+ ( )

    Y IPO (Return P1) IPO (ReturnP60)

    Intercept ( Y) Initial Price IPO Offer Size IPO Age Years SetP1 SetP60 DBond DFDI DMPI 3.4 3.4.1 (Descriptive Statistics) 3.4.2 (OLS Regression) Stata (Correlation, Homoscedasticity, Variance Inflation Factor) Correlation 0.8 Variance Inflation Factor 5 3.4.3 (Initial Price) IPO (Offer Size) (Age Years) (SetP1) (SetP60) (DBond) (DMPI) (DFDI) IPO (ReturnP1) IPO (ReturnP60)

  • 4

    4.1

    2009-2016 4.1.1 (Descriptive Statistics) (Mean) (Standard Deviation) (Max) (Min) 4.1

    4.1:

    IPO 19.94 31.39 -34.72 109.86

    IPO

    24.56 39.60 -56.46 132.30

    9.19 7.47 1.25 49.00

    IPO 50.19 89.18 3.54 578.80

    13.17 13.39 0.01 58.04

    1,351.73 249.85 590.60 1,617.89

    1,361.12 234.02 707.81 1,617.89

    -0.01 0.09 -0.22 0.25

    0.58 5.81 -13.60 19.06

    -49.53 1,423.81 -

    4,186.45 5,736.56

  • 29

    4.1 IPO (ReturnP1) (Mean) 19.94% (Standard Deviation) 31.39 IPO IPO 109.8% IPO -34.7% IPO (ReturnP60) (Mean) 24.56% (Standard Deviation) 39.60 IPO 132.3% -56.5% (Initial price) (Mean) 9.19 (Standard Deviation) 7.47 (IPO) 49 1.25 (Age Years) (Mean) 13.17 (Standard Deviation) 13.39 58.04 1 () (SetP1) (Mean) 1,351.73 (Standard Deviation) 249.85 1,617.9 590 2009-2016 (SetP60) (Mean) 1,361.12 (Standard Deviation) 234.02 1,617.89 707.81 2009-2016 (DBond) (Mean) -0.01% (Standard Deviation) 0.09% 0.25% -0.22% (DMPI) (Mean) 0.58% (Standard Deviation) 5.81% 19.06% -13.6%

  • 30

    (DFDI) (Mean) 49.53 5,736.56 -4,186.45

    4.1.2 (Collinearity) 2 Correlation 1 Variance Inflation Factor 5 (Heteroskedasticity) IPO ReturnP1 IPO ReturnP60

  • 31

    4.2: Correlation

    Variables Initial Price

    Offer Size 10m

    Age Years

    SetP1 SetP60 DBond DMPI DFDI

    Initial Price

    1

    Offer Size -0.0122 1

    Age Years 0.0159 -0.2354 1

    SetP1 0.1543 0.1595 -0.1243 1

    SetP60 0.1229 0.1218 -0.1374 0.9203 1

    DBond -0.2635 -0.031 0.2216 -0.5075 -0.4874 1

    DMPI 0.021 -0.0711 0.117 -0.2801 -0.3575 0.0564 1

    DFDI 0.0066 0.1356 -0.1954 0.0871 0.0674 -0.0989 -0.0664 1

    4.2 (SetP60) (SetP1) 92.03% (SetP1) IPO (SetP1) (SetP60) IPO 50%

  • 32

    4.3: Variance Inflation Factor (VIF) IPO (ReturnP1)

    1.32 (Weight) 1.32 1.13 IPO 1.09 1.07 1.06 1.05 1.15

    4.3 Variance Inflation Factor (VIF) 1.15

    (Correlation)

    4.4: Variance Inflation Factor (VIF) (ReturnP60)

    1.56 1.49 1.19 1.15 IPO 1.09 1.08 1.05 1.23

  • 33

    4.4 Variance Inflation Factor 1.15 5 (Correlation)

    4.1.3 (ReturnP1) (ReturnP60) (OLS Regression) (Dependent variable, Y) (Independent variable, X)

    ReturnP1(Y) = + ( )+ ( )+ ( )+

    ( ) +

    ( )+ ( )+ ( )

    Y IPO (Return P1)

    Intercept ( Y) Initial Price Offer Size IPO Age Years SetP1 SetP60 DBond DFDI DMPI

  • 34

    4.5: IPO (ReturnP1)

    IPO Coefficient Standard error P>t -0.9373 0.3894 0.018** IPO -0.0805 0.0329 0.016** 0.4714 0.2255 0.039** 0.0520 0.0138 0.000*** 77.6209 38.6275 0.047** -0.0271 0.5084 0.958 0.0015 0.0020 0.449 -42.9596 18.8146 0.025** F( 7, 93)

    4.63

    Prob > F

    0.0002 R-squared 0.2584

    Number of obs 101 *** 1% ** 5% * 10% 4.5 IPO (RerurnP1) (SetP1) 99% (Age Years) 95% (Initial Price) 95% IPO (Offer Size) 95% (DMPI) (DBond) (DFDI) IPO (ReturnP1) 95%

  • 35

    (Heteroscedasticity) 4.6 Heteroscedasticity 0.05 Ho: Homoskedasticity Ha: Non-Homoskedasticity 4.6: (Heteroscedasticity)

    Source chi2 df prob Heteroskedasticity 53.48 35 0.024 Skewness 19.07 7 0.008 Kurtosis 0.92 1 0.336

    Total 73.48 43 0.003 4.6 chi2(35) = 53.48 Prob > chi2 = 0.0236 0.0236 0.05 Ho 95% Heteroscedasticity (Weighted Least Squares) Weight (SetP1) SetP1 = 1/ SetP1 Heteroscedasticity R-Sqare Weight 25.84% Weight 24.16% 4.7

  • 36

    4.7: IPO (ReturnP1) (WeighSetP1)

    IPO Coefficient Standard

    error P>t

    -1.0153 0.397 0.012** IPO -0.0737 0.032 0.025** 0.5194 0.234 0.029** (Weight)

    -55431.5400 18868.160 0.004***

    78.0846 41.156 0.061

    -0.2103 0.554 0.705

    0.0013 0.002 0.524

    70.4811 15.905 0.000*** F( 7, 93)

    4.23

    Prob > F

    0.0004 R-squared

    0.2416

    Number of obs 101 *** 1% ** 5% * 10% 4.7 IPO (RerurnP1) (Initial Price) 95% 1 IPO 1.01% (Offer Size) 95%

  • 37

    10 IPO (RerurnP1) 0.07% (Age Years) 95% 1 IPO (RerurnP1) 0.51% (DMPI) (DBond) (DFDI) IPO (RerurnP1) 95% Underprice IPO (ReturnP1) 24.16% (ReturnP1) 24.16% (Age Years) Under Priced Underpriced (Weighted Least Squares SetP1) (Heteroscedasticity) 4.8 4.8: (Heteroscedasticity) (Weight ReturnP1)

    Source chi2 df p Heteroskedasticity 47.07 35 0.0836 Skewness 16.27 7 0.0228 Kurtosis 2.71 1 0.0999

    Total 66.04 43 0.0135 (Heteroscedasticity)

  • 38

    Ho: Homoskedasticity Ha: Non- Homoskedasticity 4.8 chi2(35) = 53.48 Prob > chi2 = 0.0836 0.0836 0.05 Ho 95% Weight ReturnP1 (Heteroscedasticity) 4.9: IPO (ReturnP60)

    IPO Coefficient Standard error P > t -0.3892 0.5215 0.457 IPO -0.0928 0.0439 0.037** 0.4349 0.3053 0.158 0.0473 0.0201 0.021** 79.2140 51.6140 0.128 1.4873 0.7073 0.038** 0.0032 0.0028 0.254 -36.9870 27.8382 0.187 F( 7, 91) 2.46 Prob > F

    0.0236

    R-squared

    0.1589 Number of obs 99 *** 1% ** 5% * 10%

    4.9 IPO (ReturnP60)

  • 39

    IPO (Offer Size) 95% IPO 1 IPO (ReturnP60) 0.09% (SetP60) 95% 1 IPO (ReturnP60) 0.05% (DMPI) 95% 1 IPO (ReturnP60) 1.49% (Initial Price) (Age Years) (DBond) (DFDI) Underprice IPO 95% R-Square R-Square 15.89% (ReturnP1) R-Square 24.16% (ReturnP1) Underprice IPO ReturnP60 IPO IPO ReturnP1 (Initial Price) IPO ReturnP60 (Market Adjust) (SetP60) 1 IPO 0.0473% T T T

  • 40

    (Heteroscedasticity) 4.10 4.10: (Heteroscedasticity) IPO (ReturnP60)

    Source chi2 df p Heteroskedasticity 36.08 35 0.418 Skewness 12.86 7 0.0756 Kurtosis 1.63 1 0.2019

    Total 50.57 43 0.1995

    Heteroscedasticity Ho: Homoscedasticity Ha: Non-Homoscedasticity 4.10 chi2(35) = 36.080 Prob > chi2 = 0.418 0.418 0.05 Ho 95% Heteroscedasticity

  • 5

    5.1

    IPO 102 2009-2016 (Initial Price) (Age Years) IPO (Offer Size) (SetP1) (SetP60) 1 (DBond) (DFDI) (DMPI) IPO IPO IPO (OLS Regression) Stata 2 IPO 19.94% IPO 24.56% 4.62% IPO (Age Years) IPO (Initial Price) IPO (Offer Size) (W_SetP1) IPO (ReturnP60) (SetP60) (DMPI) IPO (Offer Size) IPO IPO (Offer Size) (SetP1) IPO IPO IPO (ReturnP1) 2

  • 42

    5.2 IPO (Offer Size) 2

    Under Priced Boudrigaet (2011) Under Priced Under Priced IPO IPO Bouake (2011) (Age Years) IPO IPO Bouake ( Carter, 1998 Ritter, 1991) Under Priced IPO Underpriced Valuation Under Price Under Price IPO Under Priced (Initial Price) IPO Vhullar & Bhatnagar (2014) Boudriga (2009)

  • 43

    Under Pricing Boubaker (2011) (Set Index) IPO (2557) (2559) 20 (DMPI) IPO (ReturnP60) Gntrkn (2012) Consumer Confidence Index (CCI) 2006-2011 IPO (DBond) IPO (DMPI) IPO (DFDI) IPO Under Priced

  • 44

    5.3 Buy-And-Hold ( Fama, 1988) Bias IPO 102 IPO IPO IPO (Asymmetric Information) Under Priced

  • 45

    . (2559). . , 9(1). . (2554). IPO . , . . (2559). http://siamchart.com/stock/. . (2559). http://www.setsmart.com/ism/login. jspbot.or.th/statistics/BOTWEBSTATaspx?reportID=401&language=TH. . (2559). IPO IPO . http://www.settrade.com/C13_StockIpo.jsp. . (2553). (MAI). , . . (2551). https://www.salamanderr.wordpress. com/2008/12/16/. . (2559). . http://www2.bot.or.th/statistics/BOTWEBSTAT.aspx?reportID=401& language=TH. . (2559). . http://www2.bot.or.th/statistics/BOTWEBSTAT.aspx?reportID=654&language=T HA. . (2559). . https://www.bot.or.th/Thai/Statistics/FinancialMarkets/InterestRate/Pages/Inter estRate.aspx. . (2554). . , .

  • 46

    . (2558). . , . . (2558). http://cymiz.com/forum/index.php? topic=1966.0. . (2554). Underpricing and Firm Quality: Evidence from Thai IPO Firms. , . . (2549). Signaling Theory. http://thaiknowledgemanagement.blogspot.com/2006/12/signaling- theory.html. Binti, N., Bakara A., & Uzakib, K. (2013). An Empirical Study of Initial Public Offerings Underpricing For Shariah-compliant Companies: The Case of Malaysian Market. International Journal of Economics, Business and Finance. International Journal of Economics, Business and Finance, 1(9). Boudriga, A., Slama, S.B., & Boulila, N. (2009). What determines IPO underpricing? Evidence from a frontier market, MPRA Paper. Journal of Insurance and Financial Management, 2(1). Finn, F.J., & Higham, R. (1988). The Performance of Unseasoned New Equity Issues- Cum-Stock Exchange Listings in Australia. Journal of Banking and Finance, 12, 333-351. Gntrkn, M.H., Grarda, S., & Erdoan, H.H. (2012). Impact of Macroeconomic Factors on Underpricing of Initial Public Offerings before and after the Recent Global Financial Crisis Evidence from Istanbul Stock Exchange. Journal of Applied Finance & Banking, 2(5), 261-273. Ibbotson, R.G. (1975). Price Performance of Common Stock New Issues. Journal of Financial Economics, 2(3), 235-272. Mohan, R. (2007). A Panel Data Analysis of FDI, Trade Openness, and Liberalization on Economic Growth of the ASEAN-5. The Empirical Economics Letters, 6(1). Ritter, J. R. (1991). The Long-Run Performance of Initial Public Offerings. Journal of Finance, 46(1), 3-27.

  • 47

    Vhullar, P. S., & Bhatnagar, D. (2014). Analysis of facting Short Term Performance IPOs India. Pacific Bussiness International, 7(5).

  • 48

    - [email protected]

  • titleabstractacknowledgementcontentschapter 1chapter 2chapter 3chapter 4chapter 5bibliographybiodatalicenseimg-Z15110639-0001img-Z15110659-0001