本論文利用證券交易所提供的日內成交資料可以追蹤投資人的交易記錄，並研究1995-2003年208家初次發行上市公司(IPO)的新舊投資人基礎以及其變動對於資金成本的影響。研究結果發現，大部分IPO確實能增加投資人基礎，而且投資人偏好報酬率與報酬率波動較大的股票；另外，投資人基礎的變動可以解釋Merton(1987) investor recognition hypothesis，即投資人基礎增加可以降低資金成本。
由第二章的分析可知大部分IPO的確能吸引更多的投資人交易，平均而言，第二年新增14.2%的投資人交易，而且有43.8%的公司增加投資人交易；另外，61.5%的公司吸引更多的新投資人，只有39.4%的公司吸引更多的舊投資人。投資人增加的比率與持有期間超額報酬有關，這可以解釋為何上市公司以及交易所皆努力提升投資人基礎。另外，新投資人在市場較熱絡時增加較為顯著，而且較偏好報酬率波動較大的股票。
除了研究第二年投資人基礎增加的情形，本論文亦研究第一年的投資人在第二年的股票持有變化情形，如果投資人在第一年曾經持有該公司的股票，並於期末前賣掉，則第二年股票的持有期間超額報酬率愈高時，將吸引愈多的投資人繼續交易該股票；但是如果投資人在第一年期末持有該IPO股票，當股票的第二年持有期間超額報酬率愈高時，投資人會傾向賣掉手中持股。
第三章檢驗Merton (1987) ‘investor recognition hypothesis’，即公司增加愈多投資人基礎將降低因為資訊不完全所產生之資金成本，並增加公司的價值。相對於之前針對投資人基礎增加會降低資金成本的研究，本論文以交易該公司股票的投資人代表知道該股票的投資人基礎，此代理變數較先前研究更能代表“awareness of the firm”。利用市場模型，發現公司在第二年平均減少超額報酬率，若將樣本分成電子與非電子產業，仍然得到類似的結果。最後，本論文發現投資人變動的確能解釋異常報酬的變動，即符合Merton (1987) investor recognition hypothesis，此現象不論在產業分類或法人皆得到一致的結論。

A unique dataset is analyzed in this study comprising of data obtained from the TSE transactions record database on trading activity for the 208 IPO firms. The investor’s identity can trace investor’s trading records. Thus, we can define new and old investors. Additionally, the identification of the type of investor (as either an individual or institutional investor) facilitates the examination of investor behavior for either type.
From the analysis in the chapter 2, we can see that there is an increase over time in the number of investors which IPOs are able to attract. An increase of 14.2 percent is found in the mean number of investors per firm, while 43.8 percent of firms are found to experience increases in the overall number of investors from the first year to the second year after their initial listing. On average, the mean rate of increase for new investors is larger than that for old investors, with 61.5 percent of IPO firms experiencing increases in the total number of new investors, as compared to the 39.4 percent of firms which experience increases in old investors.
The results reveal that the rate of increase in investors has a positive correlation with holding period excess returns (HPERs), which helps to explain why both firms and stock exchanges have such similar strong desires to see improvements in the overall number of investors. A significant increase in new investors is discernible in a ‘hot’ market, and in those firms with higher return volatility levels. Furthermore, all investors naturally prefer firms with higher returns.
The analysis of the changes in the investor base suggests that if investors do not hold the stock in first year, then the higher the HPERs, the greater the overall increase in the total number of investors; however, where investors had previously held the relevant stocks, we find that they will tend to sell their winning stocks.
Chapter 3 undertakes an examination of the Merton (1987) ‘investor recognition hypothesis’, in which he argues that an increase in the total number of investors with prior knowledge of a firm will ultimately lower the expected returns of investors by reducing the ‘shadow cost’ arising from the lack of knowledge on a particular security; the end result of this will invariably be an increase in the market value of the firm’s shares. In contrast to the prior studies, we employ the total number of traders to represent the awareness of any given firm among investors.
We examine the reduction in the costs of equity capital associated with listing using the ‘market model’ to compute the abnormal returns, and find a decline in the average daily abnormal return in the second year. Similar patterns are discernible for firms in both the non-electronics and electronics industries. Finally, our test of the Merton (1987) investor recognition hypothesis is undertaken by regressing the firms’ average abnormal returns against the changes in the overall numbers of traders. The results confirm the association between investor recognition and the costs of capital.

Acknowledgements i
Table of Contents ii
List of Tables iv
Abstract v
Chapter 1 Introduction 1
Chapter 2 How IPO Firms are Chosen by New and Old Investors 7
1. Introduction 7
2. Hypotheses 12
3. Data and Methodology 15
3.1 Data 15
3.2 Methodology 19
4. Empirical Results 20
4.1 The Relationship between the IPO Investor Base and Initial Returns 20
4.2 The Rate of Change in the Investor Base and Returns 23
4.3 The Evolution of the Investor Base and Returns 29
4.4 The Relationship between the Investor Base and Firm Characteristics 32
5. Conclusions 37
Chapter 3 The Impact of Investors on the Cost of Capital in Initial Public Offerings 40
1. Introduction 40
2. The Merton (1987) Investor Recognition Hypothesis 46
3. Data and Methodology 49
4. Empirical Results 52
4.1 Unconditional Tests 52
4.2 Risk-adjusted Returns 56
4.3 Univariate Cross-sectional Tests 60
4.4 Testing the Merton (1987) Investor Recognition Hypothesis 62
4.4 Robust Check: By Excluding the SEO events 64
5. Conclusions 67
Chapter 4 Summary and Conclusions 70
References 72

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