本研究嘗試由投資人認知偏誤及市場情緒之角度，對IPO上市後之相關之異常現象加以解釋；與過去文獻的假設不同，本研究認為發行公司及承銷商決定之IPO發行價格確實反映了IPO的真實價值，IPO上市之後的異常報酬來自於IPO上市後市場中投資人的過度自信以及市場情緒的過度樂觀。
本研究利用1990年1月至2003年6月間，於臺灣股票市場上市櫃之423 IPO進行實證研究。研究結果發現平均而言，IPO上市初期之市場價格確實存在被錯估的現象，且IPO價格被錯估的程度，會與IPO上市初期之周轉率、波動性及期初異常報酬成正向的關係，而與IPO之長期股價表現呈反向的關係；這樣的研究結果支持IPO上市後之市場價值確實有偏離公司公平價值的現象存在，且此價值的偏離至少有部份可以被市場上投資人的認知偏誤來加以解釋。此外，IPO上市時之市場情緒，也與IPO之期初報酬成正向關係，而與IPO長期股價表現成負向關係。同時，投資人個人認知偏誤與市場情緒之間，並沒有交互作用存在。

The present paper considers the impact of individual cognitive biases and market sentiment on the aftermarket behavior of IPO shares. Unlike most of the existing IPO literature, the present paper assumed that the offer prices set by underwriters and offering firms reflect the true value of IPO shares while the aftermarket prices of IPOs are determined by investor behavior affected by cognitive biases and the market conditions prevailing at the time of an offering. If investors are overconfident or are bullish, they are ready to buy IPO shares at prices higher than their intrinsic value, vice versa.
The predictions of the argument are supported by an empirical analysis on 423 IPOs completed between January 1990 and June 2003. The results indicate that the degree of misvaluation is positively related to initial return, turnover and volatility while is negatively related to the long-term performance of IPO shares. These findings help confirm that IPO shares are misvalued in aftermarket and that these misvaluation can at least partially explained by the fact that investors are overconfidence. In addition, results show that market sentiment is positively related to the initial return of IPOs but the relationship in the long run is not as clear as it exhibits in initial period. These results hold even when bear market is taken into account. Besides, we find that there are no interactions between sentiment and cognitive biases.

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