Determinants of high and low IPO initial returns: Evidence from Taiwan's stock markets

Abstract

This paper employs the quantile regression method to investigate the determinants of high and low initial public off ering (IPO) initial returns in Taiwan's stock markets. It is found that various diff erences arise between the ordinary least squares approach and the quantile regression method. In addition, fi ve independent variables, namely, the set-up of independent directors and supervisors, market momentum, market volatility, fi rm size and electronic stocks, are found to have diff erent signifi cant eff ects on market-adjusted initial returns between high and low initial returns.