IPO Underpricing and One-Year Post IPO Performance Analysis: Evidence from the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI)
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Abstract
This research aims to study the IPO underpricing phenomenon of the issuance of new shares which is explained by the theory of asymmetric information during 2016 - 2020 in the Stock Exchange of Thailand (SET) and the Market for Alternative Investment in Thailand (MAI). The analyses found evidence of positive returns and anomalies of investment which reflects information asymmetry when investing in IPO stocks in both markets. The characteristics of IPO underpricing phenomenon of these two markets are slightly different. Furthermore, the study has found that, in Stock Exchange of Thailand (SET), investors can predict returns and anomalies of IPO stock investment using realized returns and anomalies in the preceding investment periods. The evidence of prediction capability is not obvious in the Market for Alternative Investment in Thailand (MAI). Lastly, the research has concluded that the difference of the degrees of IPO underpricing in the Stock Exchange of Thailand (SET) and the Market for Alternative Investment in Thailand (MAI) is not statistically significant.
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