臺灣初次上市股票訂價效率性之研究

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Title:	臺灣初次上市股票訂價效率性之研究
Other Titles:	A study of the efficiency of IPO pricing process in Taiwan 台灣初次上市股票訂價效率性之研究
Authors:	蘇佳蘋;Sue, Jia-pin
Contributors:	淡江大學國際貿易學系國際企業學碩士班謝志柔;Hsieh, Chih-jou
Keywords:	初次公開上市;折價;承銷價訂價偏誤;配售方式;承銷商;承銷制度;IPO;UNDERPRICING;OFFER PRICING ERROR;OFFERING METHOD;UNDERWRITERS;UNDERWRITING SYSTEM
Date:	2007
Issue Date:	2010-01-11 01:31:26 (UTC+8)
Abstract:	證券發行市場是資本市場重要環節之一，對提升企業籌資效益及促進國家經濟發展之影響甚鉅，證券發行市場之健全可取決於證券承銷功能之發揮，而證券承銷功能之發揮又端賴完善之承銷制度與法令。由於初次上市股票在上市前，具備絕對資訊不對稱的特質，而在承銷制度的設計中，公開說明書係解決原始股東與潛在新股東間資訊不對稱之主要工具，因此在新上市承銷公開揭露體系中，承銷價應如何制定以確切反映公司價值的評估，一直都是備受關切的問題。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.
Appears in Collections:	[Graduate Institute & Department of International Business] Thesis

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