高科技企業IPO折價幅度之預測－類神經網路之應用

在現今全球金融環境變化快速的時代裡，企業愈來愈仰賴大量的電腦資訊以維持競爭力，近來類神經網路的應用漸漸被使用在提高財務決策之品質與效益，以作為財務決策支援系統。類神經網路在財務方面之應用相當廣泛，由信用評等到許多財務上之預測，例如分析客戶資料庫以找尋潛在客戶群以及分析財務交易資料庫以找尋洗錢情形等等。因此，企業在龐大的資料庫中，運用由類神經網路所作之決策支援系統，將這些原先無法得知的資訊，用來增加獲利、加強客戶服務，最後將增加企業競爭力。 類神經網路有一項重要的特徵，就是在資料不完全的情況下，類神經網路有能力作出合理的解釋。財務資料常常含有許多雜訊或是財務資料不完整的情況出現，因此類神經網路的特性在財務領域上非常重要，這與多變數迴歸分析法對所有的變數須使用嚴謹的檢定後，才能使迴歸分析的結果具有解釋能力大不相同。 IPO是一個公開發行公司首次公開賣出股票的時機，公司得以由資本市場取得營運資金。而投資者如何評估一個公司的IPO價格是否允當，則需依賴許多的變數，加上它們彼此獨立而且關係不明確，這情況使得投資者或投資銀行不易決定IPO價格，此外，在決定IPO價格時只能依據不完全的資訊。本研究依據類神經網路的特性，從法人機構或投資銀行的角度，使用類神經網路對IPO蜜月期收盤價作預測，蜜月期收盤價是指經過數天漲停或跌停被打開之前一天的收盤價。類神經網路的預測績效將與多變數迴歸模型相比較，結果顯示，類神經網路預測值之相關係數及平均差異比率均優於多變數迴歸模型預測值之相關係數及平均差異比率，故類神經網路對IPO後之蜜月期結束之收盤價之預測能力較佳。 Financial Service Companies are getting more dependent on using computers to maintain competitiveness at today's rapidly changing financial environment. Artificial neural networks are getting more popular as a tool to aid in the quality of financial applications. Artificial neural network has found its way into many sectors of financial application, ranging from credit card authorization to various financial forecasting. Examples like analyzing database to find potential customers, and sip through database to isolate money-laundry activities. With this tool as a decision support system, corporation can find knowledge never found before and to use it to gain better benefit, enhance customer service, and increase competitiveness. One characteristics of artificial neural network is even with incomplete or imperfect data, it can still provide reasonable answer. And this is very important for financial forecasts since financial data are sometimes incomplete or containing erroneous data. And contrary to the strict data cleaning requirement for multiple regression technique to come up with a good answer, IPO is the first chance a corporation can garner public capital from the capital market by selling its stock to the market. How to evaluate the appropriate price for the post IPO price needs not only information regarding the subject company, but also the economic environment, also the input variables are independent no relation with each other, causing individual investors or investment bank hard to determine the post IPO price. And add to fact that available information is sometimes incomplete , it is even harder to do proper valuation. This report utilizes the characteristics of artificial neural network, from the perspective of an individual investor or investment bank, so with limited financial data available from the market, to do post IPO price forecast. While we define the post IPO price is the price of the previous day before the 7% up or down limitation lock is broken. The result of the artificial neural network is compared with the result from the multiple regression technique. And the conclusion is that the average deviation from artificial neural network is substantially lower then those from the multiple regression method, so artificial neural network has better performance in the case of post IPO price