在本研究中，以台灣證券市場1997-2006年初次公開上市買賣之股票為研究對象，採用SAS統計軟體及複迴歸統計分析方法，初次上市股票上市前之暫訂價格、最終承銷價以及上市收盤價為應變數，以投資人所能獲得之承銷商市佔率、產業別、資產總額、承銷金額以及各種不同計算方式的市場報酬率之公開資訊為自變數；根據不同市場報酬率及與各變數之間分別建立迴歸模型，藉以來解析台灣初次公開上市股票其價格訂定是否充份反應資訊以得知市場訂價具否效率性？本研究之最終結論為：(一) 暫定價格無法為最終承銷價格之不偏估計值，亦即承銷商或許未將資訊充分表達於價格之中以造成之偏誤；(二) 承銷商會併入私有資訊而僅併入部份公開資訊，因此可透露出初次上市股票市場仍然具有效率性；(三)與新上市股票價值最具顯著相關的是上市資產總額以及市場報酬。 Issue market is very important in capital market. It is to improve enterprise raising funds and to promote hardly national economic development. Before IPOs are listed, the prospectus can to solve information asymmetry problems, including those between investors and between management and investors. The enterprise makes its initial public offering (IPO) in issue market; there is no market price to compare. So, only a few people know its market price of securities and what price could worth to buy. Therefore we can through the prospectus information to understand the corporate value and evaluate the offer price rationality. In this study, the research data are collected from the publications of those companies that stocks are openly traded on the Taiwan Stock Market between 1997 and 2006. They are used to establish the multiple regression models. In order to analysis the effects on difference price-setting approach and initial raw returns on the public information to evaluate the efficiency of IPO’s price-setting, we used regression model to find the relations between offer price and temporary price of IPO’s stock and the variables, underwriters rank, total assets before the offering, industry classification, proceeds filed and market return. Empirical result suggests that: It indicates that the temporary price is not an unbiased predictor of the offer price. It seems that underwriters do not fully incorporate available public information at the time they set the temporary price. Underwriters only partially incorporate both the public and the private information that they learn during the registration period into the offer price. While there are reliable statistical relations between public information and underwriters’ pricing of the issue at various stages, these relations are relatively insignificant in economic terms. Thus, underwriters’ treatment of public information appears to be almost consistent with an efficient IPO pricing process. The total assets and market returns are positively correlated with IPO pricing.
