新上市股票承銷價格低估 : 承銷新制與舊制之比較

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Title:	新上市股票承銷價格低估 : 承銷新制與舊制之比較
Other Titles:	Underpricing of initial public offerings : the comparison between new and old underwriting system
Authors:	陳思如;Chen, Szu-ju
Contributors:	淡江大學財務金融學系碩士班林蒼祥;Lin, William T.
Keywords:	新上市(櫃);異常報酬;逆選擇假說;訊號發射假說;Initial public offerings;UNDERPRICING;adverse-selection hypothesis;signaling hypothesis
Date:	2009
Issue Date:	2010-01-11 00:43:03 (UTC+8)
Abstract:	本研究以2003年1月到2007年6月，台灣新上市(櫃)股票為研究樣本，同時使用四種衡量異常報酬方法搭配三種不同基準報酬，計算出三段短期與三段長期期間之平均異常績效，針對以下問題進行討論：一、觀察2003~2007年間，承銷制度改革前後，台灣新上市(櫃)股票短期與長期之價格行為，是否存在有異常報酬之現象。二、如有異常報酬之現象，再進一步探討是因承銷價低估，或是因新上市(櫃)股票之早期交易價格偏離真實價值所引起。三、檢定逆選擇假說與訊號發射假說是否能用以解釋台灣新上市(櫃)股票承銷價低估之目的，並觀察是否有因為承銷制度改變而有所不同。實證結果發現，台灣承銷制度改革後，仍存在短期正的異常績效，且有更加顯著之現象，而排除短期異常報酬後，就並未再顯現長期異常報酬。此結果意味著新上市(櫃)股票具有短期正的異常績效，是因為承銷價格被低估所造成，而非初期股價交易價格偏離真實價值所引起。至於，折價發行的目的包括發行公司藉由承銷價格低估來傳遞公司優良的體質，以及彌補投資者承擔之逆選擇風險，即證明逆選擇假說與訊號發射假說能用以解釋承銷價格低估之目的。或許是由於發行公司與承銷商參考興櫃價格訂定承銷價，因此，投資人可透過興櫃交易價格得到承銷價折價程度之資訊。 The long-run and the short-run stock price performance of the IPOs of common stock listed on Taiwan-stock-exchange and the Over-the-counter market in Taiwan was studied, the period was from January 2003 to June 2007. We detected the short-run and the long-run abnormal returns based on different methods of calculating abnormal returns and different approaches for developing a long-run returns benchmark. The experiment result shows the short-run abnormal returns still exist after the revolution of underwriting system in Taiwan. And the abnormal returns have the trend to be more apparent. However, after excluding the short-run abnormal returns, the long-run abnormal returns will not exist. This result means Initial Public Offerings (IPOs) have short-run abnormal returns are caused by the under-price instead of the deviation to the real value in the beginning of stock. The purpose of underpricing includes the reasons that companies want to express the good constitution via the under-price and compensate investors for the reverse-selection risks. Therefore, adverse-selection hypothesis and signaling hypothesis may explain the purpose of underpricing IPOs. Perhaps, due to the offer price was set based on emerging stock prices by issuing companies and underwriters, investors may receive the information of the degree of the under-pricing by emerging stock price.
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