IPO Bookbuilding: Investor Sentiment, Filing Range and Bidding Behavior The behavioral factors have already been important factors that can't be neglected in the field of asset pricing and investing behaviors in recent years. This paper sets out to determine whether investor sentiment could affect the relevant decision in initial stage of bookbuilding, including the setting of preliminary offer price filing range and bid decision of investors. We want to know whether underwriters adjust the filing range by observing the investor sentiment in the pre-IPO market. Furthermore, we examine how investor sentiment affects bidding decision of investors, including the decision about whether or not to bid, bidding quantity and price. In most of countries, when-issued trading is illegal for IPOs. Consequently, there is little prior research on pre-IPO market. Most studies of bookbuilding literatures focus on the impact of bidding information on allocation and issued price. However, we know little about the decision on the initial pricing and how investor bid. A special pre-IPO market of Taiwan equity market, namely the Emerging Stock Market, is adopted in this research to examine the relationships among the investor sentiment, filing range, and bid behavior of investors. Trading data from the Emerging Stock Market allow us to improve the proxies of investor sentiment. In addition, we compare the bidding behaviors of institutional investors to those of retail investors to see if the influence of investor sentiment is different between these two kinds of investors. IPO 詢價圈購初始價格設定及投資人圈購行為之研究：投資人情緒的影響 近年來行為的因素在資產訂價與投資行為這些領域中已成為不可忽略的重要因 子。本研究主要探討投資人情緒是否會影響IPO詢價圈購初期的相關決策，包括承銷商 的訂價決策(承銷價格區間設定)，及投資人的圈購決策。我們了解承銷商是否會利用自 pre-IPO市場觀察到的投資人情緒資訊，調整詢價圈購中價格區間的設定。另外，進一步 了解pre-IPO市場的投資人情緒又是如何影響投資人的圈購的決策，包括要不要圈購、圈 購數量及圈購價格等。在大部份其它國家， IPO發行過程中的股票交易是不合法的，因 此運用IPO前市場資訊的相關研究相當少。此外，文獻上對於詢價圈購過程相關決策行 為的研究，主要在探討投資人圈購單的資訊對分配及承銷價的影響，很少有文獻進行詢 價圈購前半段決策行為的研究。本計畫則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-來檢定從興櫃股票市場中觀察到的投資人情緒如何影響這些決策。興 櫃市場的交易資訊使得我們得以建構較健全的投資人情緒代理變數。另外，在對投資人 下標行為的研究部份，本研究區分法人及散戶分別探討，以了解散戶及法人投資人的圈 購行為受投資人情緒的影響程度是否有所差異。
