The investor behavior responses on first trading day of IPO experienced from set.

Abstract

This paper examines the initial and aftermarket performance of Thailand initial public offerings (IPOs) during January 2003 to December 2010. Using sample of 120 IPO firms listed in the Stock Exchange of Thailand (SET) to investigate the degree of underpricing, this study provides a number of interesting findings. First, there are statistically significant excess initial returns SET. The close prices in the first trading day are significantly higher than the offer prices. The study also emphasises on the investor respond on the first trading day. Mutual Fund and Foreign Investor are the group which sold out the IPOs at first trading day; on the other hand, Retail Investor would buy the IPOs. However, the result of OLS regression shows that there is no relationship between abnormal return on IPOs and the investor trading. The study of one year performance of IPOs provided the continuously decreasing in the cumulative abnormal return (CAR) and increasing in volatility (Standard Deviations) after the first trading day.

KEY WORDS: Initial return / long-term performance/ IPOs / Investor behavior / Underpricing.