在大部份國家，股票初次公開發行公司(IPOs)上市發行時的股票交易是不合 法的，因此有關IPO前交易的相關研究相當稀少。在這個計畫中，我們利用台灣 股票市場特有的IPO前的股票交易市場-興櫃股票市場-來檢定IPO公司的價格發 現、訂價行為及IPO折價(underpricing)的現象。要解決IPO underpricing之迷， 分析發行過程中是誰及何時知道了價格資訊是一件重要的事。本計畫首先計算並 檢定訂價誤差，以了解IPO前在興櫃股票市場中的價格對價格發現是否具有資訊 內涵。接下來我們進一步分析承銷商及發行公司的訂價行為，我們檢定部份調整 假設，以了解發行價格是否完全反應IPO前的價格資訊，或者承銷商只對觀察到 的價格資訊進行部份調整。最後我們進行橫斷面迴歸分析以了解IPO前在興櫃股 票市場的報酬對IPO的unerpricing是否具有預測力。除了文獻上所使用的報價資 訊，本研究尚利用交易價格資訊進行分析，另外，我們的較長期間的日內交易資 料，使本研究能較完整的分析pre-IPO市場的資訊內涵。 In most of countries, when-issued trading is illegal for IPOs. Consequently, there is little prior research on pre-IPO trading. In this research we exploit a special pre-IPO market of the Taiwan equity market, namely the Emerging Stock Market to examine the price discovery, pricing behavior and underpricing of IPOs. To resolve the IPO underpricing puzzle, it is essential to analyze who knows what when during the issuing process. At first, we calculate and examine the pricing error to see if the pre-IPO prices are highly informative on price discovery. Next, we analyze the pricing behavior of the underwriters and issuers. We test the partial adjustment hypothesis to see if the issued price fully reflects the information contained in pre-IPO prices. Finally, we run cross-sectional regressions to see if the pre-IPO return provides the predictive power on the IPO initial return. In addition to the quotation data as the literature adopting, we add the transaction data in our analysis. Otherwise, our intraday data of longer period enable us to analyze the information content of pre-IPO market more completely.
