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題名 競價拍賣折價程度與承銷商市占率之關係
The relationship between the degree of underpricing of auction and changes in underwriters’ market shares作者 郭峻豪
Kuo, Chun Hao貢獻者 姜堯民
Chiang, Yao Min
郭峻豪
Kuo, Chun Hao關鍵詞 競價拍賣
承銷
市占率日期 2009 上傳時間 9-五月-2016 15:16:07 (UTC+8) 摘要 從過去承銷市場的經驗來看，初次公開發行的股票總是擁有顯著的初期報酬率，因此吸引許多投資人參與這塊市場。隨著承銷商的定價方針和市場新制度的引進，更增加了初次公開發行市場的效率性與自由度。台灣市場的競價拍賣經驗完整，本文根據Beatty and Ritter (1986)的假說，探討初次公開發行的折價程度與公司事前的不確定性之相關性，以及承銷商的定價經驗對於競價拍賣市占率之影響。結果發現，雖然競價拍賣具有價格發現之功能，市場整體的帄均值仍呈現顯著的初期報酬率。事前的不確定性因子則與推論相違背，並沒有和折價程度具有一致的單調關係。此外，銷商折價程度與其市占率之結果也不符合假說，但在加入分組的控制因子之後，較能呈現市場會因承銷商定價錯誤而給予懲罰。
There have been significant initial returns in IPO market based on past experience and information that elicit lots of investors to participate. With the changes in pricing policy of underwriters and derivation of new underwriting systems, the efficiency and the degree of freedom in IPO market have been enhanced more than before. According to the propositions of Beatty and Ritter (1986), we found weak evidence to approve the monotone relationship between initial return and the proxies of ex ante uncertainty. Moreover, the changes in market shares has a positive relationship with the degree of underpricing that violates the proposition. After adding the control proxies of grouping into the model, we were able to get the result of punishment effect from the underwriting market.參考文獻 【中文參考文獻】李青娟, 公司新股上市時配售方式之選擇與影響. 中正財研所碩士論文, 1998李怡宗，林基財，劉玉珍, What is IPO Auction` Weakness? working paper, presented in EFMA, 2003.林象山, 薛富井, 陳長利, 新股訂價偏誤對承銷商公司價值的影響. 管理評論, 1999. 18(1): p. 97-111.邱煥翔, 不同配售方式對公司初次上市發行與上市後折價幅度及變異程度的影響, 政治大學財務管理學研究所碩士論文, 2003施光訓，蔡明春，陸仲華, IPO議價因素之探討─承銷商觀點. 會計與公司治理, 2005. 2(2).洪崇洋, 承銷配售方式檢討及新股折價之影響, 中山大學財務管理研究所碩士論文, 1997【英文參考文獻】Akerlof, G. A., 1970. The Market for `Lemons`: Quality Uncertainty and the Market Mechanism, The Quarterly Journal of Economics 84, 488-500.Amihud, Y., S. Hauser, and A. Kirsh, 2003. Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics 68, 137-158.Beatty, R. P., and J. R. Ritter, 1986. Investment Banking, Reputation and the Underpricing of Initial Public Offerings, Journal of Financial Economics, 213-232.Benveniste, L. M., and P. A. Spindt, 1989. How investment bankers determine the offer price and allocation of new issues, Journal of Financial Economics 24, 343-361.Bikhchandani, S., and C.-f. Huang, 1989. Auctions with resale markets: an exploratory model of Treasury bill markets, Review of Financial Studies 2, 311-339.49Capen, E. C., R. V. Clapp, and W. M. Campbell, 1971. Competitive Bidding in High-Risk Situations Journal of Petroleum Technology 23-6, 641-653.Carola, S., 2004. The Effect of Banking Relationships on the Firm`s IPO Underpricing, Journal of Finance 59, 2903-2958.Carter, R. B., F. H. Dark, and A. K. Singh, 1998. Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks, Journal of Finance 53, 285-311.Carter, R. B., and S. Manaster, 1990. Initial Public Offerings and Underwriter Reputation, Journal of Finance 45, 1045-1067.Chemmanur, T. J., 1993. The Pricing of Initial Public Offerings: A Dynamic Model with Information Production, Journal of Finance 48, 285-304.Chen, C. R., and N. Mohan, 2002. Underwriter Spread, Underwriter Reputation, and IPO Underpricing: A Simultaneous Equation Analysis, Journal of Business Finance & Accounting, 521-540.Chen, H.-C., and J. R. Ritter, 2000. The Seven Percent Solution, Journal of Finance 55, 1105-1131.Dunbar, C. G., 2000. Factors affecting investment bank initial public offering market share, Journal of Financial Economics 55, 3-41.Fang, L. H., 2005. Investment Bank Reputation and the Price and Quality of Underwriting Services, Journal of Finance 60, 2729-2761.Grinblatt, M., and C. Y. Hwang, 1989. Signalling and the Pricing of New Issues, Journal of Finance 44, 393-420.Ibbotson, R. G., 1975. Price performance of common stock new issues, Journal of Financial Economics 2, 235-272.Kaneko, T., and R. H. Pettway, 2003. Auctions versus book building of Japanese IPOs, Pacific-Basin Finance Journal 11, 439-462.Katrina, E., M. Roni, and O. H. Maureen, 2000. When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket, Journal of Finance 55, 1039-1074.Kerins, F., K. Kutsuna, and R. Smith, 2007. Why are IPOs underpriced? Evidence from Japan`s hybrid auction-method offerings, Journal of Financial Economics 85, 637-666.Kirkulak, B., and C. Davis, 2005. Underwriter reputation and underpricing: Evidence from the Japanese IPO market, Pacific-Basin Finance Journal 13, 451-470.Koh, F., and T. Walter, 1989. A direct test of Rock`s model of the pricing of unseasoned issues, Journal of Financial Economics 23, 251-272.50Kutsuna, K., and R. Smith, 2004. Why Does Book Building Drive Out Auction Methods of IPO Issuance? Evidence from Japan, Review of Financial Studies 17, 1129-1166.Leland, H. E., and D. H. Pyle, 1977. Informational Asymmetries, Financial Structure, and Financial Intermediation, Journal of Finance 32, 371-387.Lin, J.-C., Y.-T. Lee, and Y.-J. Liu, 2007. IPO auctions and private information, Journal of Banking & Finance 31, 1483-1500.Liu, Y.-J., K. C. J. Wei, and G. Liaw, 2001. On the Demand Elasticity of Initial Public Offerings: An Analysis of Discriminatory Auctions, International Review of Finance 2, 151-178.Loderer, C. F., D. P. Sheehan, and G. B. Kadlec, 1991. The pricing of equity offerings, Journal of Financial Economics 29, 35-57.Logue, D. E., 1973. On the pricing of unseasoned equity issues: 1965-1969, Journal of Financial and Quantitative Analysis 8(1), 91-103.Loughran, T., and J. R. Ritter, 2004. Why Has IPO Underpricing Changed Over Time?, Financial Management 33(3).Lowry, M., M. S. Officer, and G. W. Schwert, 2006. The Variability of IPO Initial Returns, National Bureau of Economic Research Working Paper Series No. 12295.Ma, T., 1999. The Issuer`s Decision of IPO Mechanism: Fixed Price versus Auction(Istanbul, Turkey).Ma, T., and T.-C. Hu, 2003. The Determination of Underwriting Mechanisms and It`s Impact on IPO Discount: Auction, Bookbuilding and Fixed Price, Journal of Financial Studies 11(1).Michaely, R., and W. H. Shaw, 1994. The pricing of initial public offerings: tests of adverse-selection and signaling theories, Review of Financial Studies 7, 279-319.Neuberger, B. M., and C. A. La Chapelle, 1983. Unseasoned new issue price performance on three tiers: 1975-1980, Financial Management 12(3), 23-28.Pettway, R. H., and T. Kaneko, 1996. The effects of removing price limits and introducing auctions upon short-term IPO returns: The case of Japanese IPOs, Pacific-Basin Finance Journal 4, 241-258.Rahman, H., and K. Yung, 1999. Insurance IPOs - a test of the underpricing theories, Journal of Insurance Issues 22(1), 61-77.Reena, A., and C. Pat, 2000. Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter, Journal of Finance 55, 2903-2922.Ritter, J. R., 1984. The "Hot Issue" Market of 1980, Journal of Business 57, 215-240.51Ritter, J. R., 1984. Signaling and the Valuation of Unseasoned New Issues: A Comment, Journal of Finance 39, 1231-1237.Rock, K., 1986. Why new issues are underpriced, Journal of Financial Economics 15, 187-212.Sherman, A. E., 2005. Global trends in IPO methods: Book building versus auctions with endogenous entry, Journal of Financial Economics 78, 615-649.Sherman, A. E., and S. Titman, 2002. Building the IPO Order Book: Underpricing and Participation Limits With Costly Information, Journal of Financial Economics 65, 3-29.Shih, K.-H., M.-C. Tsai, and C. H. Lou, 2005. An Exploration of Bargain Factors on the IPOs Price Negotiation - Underwriters’ Perspectives, Journal of Accounting and Corporate Governance 2-2, 79-108.Smith, C., Jr., 1977. Alternative methods for raising capital : Rights versus underwritten offerings, Journal of Financial Economics 5, 273-307.Titman, S., and B. Trueman, 1986. Information quality and the valuation of new issues, Journal of Accounting and Economics 8, 159-172.Wong, K. A., and H. L. Chiang, 1986. Pricing of new equity issues in Singapore, Asia Pacific Journal of Management 4, 1-10. 描述 碩士
國立政治大學
財務管理研究所
96357003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357003 資料類型 thesis dc.contributor.advisor 姜堯民 zh_TW dc.contributor.advisor Chiang, Yao Min en_US dc.contributor.author (作者) 郭峻豪 zh_TW dc.contributor.author (作者) Kuo, Chun Hao en_US dc.creator (作者) 郭峻豪 zh_TW dc.creator (作者) Kuo, Chun Hao en_US dc.date (日期) 2009 en_US dc.date.accessioned 9-五月-2016 15:16:07 (UTC+8) - dc.date.available 9-五月-2016 15:16:07 (UTC+8) - dc.date.issued (上傳時間) 9-五月-2016 15:16:07 (UTC+8) - dc.identifier (其他 識別碼) G0096357003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95140 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 96357003 zh_TW dc.description.abstract (摘要) 從過去承銷市場的經驗來看，初次公開發行的股票總是擁有顯著的初期報酬率，因此吸引許多投資人參與這塊市場。隨著承銷商的定價方針和市場新制度的引進，更增加了初次公開發行市場的效率性與自由度。台灣市場的競價拍賣經驗完整，本文根據Beatty and Ritter (1986)的假說，探討初次公開發行的折價程度與公司事前的不確定性之相關性，以及承銷商的定價經驗對於競價拍賣市占率之影響。結果發現，雖然競價拍賣具有價格發現之功能，市場整體的帄均值仍呈現顯著的初期報酬率。事前的不確定性因子則與推論相違背，並沒有和折價程度具有一致的單調關係。此外，銷商折價程度與其市占率之結果也不符合假說，但在加入分組的控制因子之後，較能呈現市場會因承銷商定價錯誤而給予懲罰。 zh_TW dc.description.abstract (摘要) There have been significant initial returns in IPO market based on past experience and information that elicit lots of investors to participate. With the changes in pricing policy of underwriters and derivation of new underwriting systems, the efficiency and the degree of freedom in IPO market have been enhanced more than before. According to the propositions of Beatty and Ritter (1986), we found weak evidence to approve the monotone relationship between initial return and the proxies of ex ante uncertainty. Moreover, the changes in market shares has a positive relationship with the degree of underpricing that violates the proposition. After adding the control proxies of grouping into the model, we were able to get the result of punishment effect from the underwriting market. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構與流程 3第二章 文獻探討與提出假說 5第一節 承銷制度 5第二節 文獻整理與假說 8第三章 研究方法 16第一節 樣本蒐集 16第二節 變數定義 19第三節 研究方法 24第四章 實證結果分析 30第一節 報酬率分析 30第二節 前後期表現之差異分析 31第三節 贏家詛咒與溢價比值 32第四節 預期折價與不確定性因子 33第五節 承銷商與聲譽 36第六節 定價偏離程度與市占變化率 37第五章 結論與建議 45第一節 結論 45第二節 研究限制 47參考文獻 48 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357003 en_US dc.subject (關鍵詞) 競價拍賣 zh_TW dc.subject (關鍵詞) 承銷 zh_TW dc.subject (關鍵詞) 市占率 zh_TW dc.title (題名) 競價拍賣折價程度與承銷商市占率之關係 zh_TW dc.title (題名) The relationship between the degree of underpricing of auction and changes in underwriters’ market shares en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 【中文參考文獻】李青娟, 公司新股上市時配售方式之選擇與影響. 中正財研所碩士論文, 1998李怡宗，林基財，劉玉珍, What is IPO Auction` Weakness? working paper, presented in EFMA, 2003.林象山, 薛富井, 陳長利, 新股訂價偏誤對承銷商公司價值的影響. 管理評論, 1999. 18(1): p. 97-111.邱煥翔, 不同配售方式對公司初次上市發行與上市後折價幅度及變異程度的影響, 政治大學財務管理學研究所碩士論文, 2003施光訓，蔡明春，陸仲華, IPO議價因素之探討─承銷商觀點. 會計與公司治理, 2005. 2(2).洪崇洋, 承銷配售方式檢討及新股折價之影響, 中山大學財務管理研究所碩士論文, 1997【英文參考文獻】Akerlof, G. A., 1970. The Market for `Lemons`: Quality Uncertainty and the Market Mechanism, The Quarterly Journal of Economics 84, 488-500.Amihud, Y., S. Hauser, and A. Kirsh, 2003. Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics 68, 137-158.Beatty, R. P., and J. R. Ritter, 1986. Investment Banking, Reputation and the Underpricing of Initial Public Offerings, Journal of Financial Economics, 213-232.Benveniste, L. M., and P. A. Spindt, 1989. How investment bankers determine the offer price and allocation of new issues, Journal of Financial Economics 24, 343-361.Bikhchandani, S., and C.-f. Huang, 1989. Auctions with resale markets: an exploratory model of Treasury bill markets, Review of Financial Studies 2, 311-339.49Capen, E. C., R. V. Clapp, and W. M. Campbell, 1971. Competitive Bidding in High-Risk Situations Journal of Petroleum Technology 23-6, 641-653.Carola, S., 2004. The Effect of Banking Relationships on the Firm`s IPO Underpricing, Journal of Finance 59, 2903-2958.Carter, R. B., F. H. Dark, and A. K. Singh, 1998. Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks, Journal of Finance 53, 285-311.Carter, R. B., and S. Manaster, 1990. Initial Public Offerings and Underwriter Reputation, Journal of Finance 45, 1045-1067.Chemmanur, T. J., 1993. The Pricing of Initial Public Offerings: A Dynamic Model with Information Production, Journal of Finance 48, 285-304.Chen, C. R., and N. Mohan, 2002. Underwriter Spread, Underwriter Reputation, and IPO Underpricing: A Simultaneous Equation Analysis, Journal of Business Finance & Accounting, 521-540.Chen, H.-C., and J. R. Ritter, 2000. The Seven Percent Solution, Journal of Finance 55, 1105-1131.Dunbar, C. G., 2000. Factors affecting investment bank initial public offering market share, Journal of Financial Economics 55, 3-41.Fang, L. H., 2005. Investment Bank Reputation and the Price and Quality of Underwriting Services, Journal of Finance 60, 2729-2761.Grinblatt, M., and C. Y. Hwang, 1989. Signalling and the Pricing of New Issues, Journal of Finance 44, 393-420.Ibbotson, R. G., 1975. Price performance of common stock new issues, Journal of Financial Economics 2, 235-272.Kaneko, T., and R. H. Pettway, 2003. Auctions versus book building of Japanese IPOs, Pacific-Basin Finance Journal 11, 439-462.Katrina, E., M. Roni, and O. H. Maureen, 2000. When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket, Journal of Finance 55, 1039-1074.Kerins, F., K. Kutsuna, and R. Smith, 2007. Why are IPOs underpriced? Evidence from Japan`s hybrid auction-method offerings, Journal of Financial Economics 85, 637-666.Kirkulak, B., and C. Davis, 2005. Underwriter reputation and underpricing: Evidence from the Japanese IPO market, Pacific-Basin Finance Journal 13, 451-470.Koh, F., and T. Walter, 1989. A direct test of Rock`s model of the pricing of unseasoned issues, Journal of Financial Economics 23, 251-272.50Kutsuna, K., and R. Smith, 2004. Why Does Book Building Drive Out Auction Methods of IPO Issuance? Evidence from Japan, Review of Financial Studies 17, 1129-1166.Leland, H. E., and D. H. Pyle, 1977. Informational Asymmetries, Financial Structure, and Financial Intermediation, Journal of Finance 32, 371-387.Lin, J.-C., Y.-T. Lee, and Y.-J. Liu, 2007. IPO auctions and private information, Journal of Banking & Finance 31, 1483-1500.Liu, Y.-J., K. C. J. Wei, and G. Liaw, 2001. On the Demand Elasticity of Initial Public Offerings: An Analysis of Discriminatory Auctions, International Review of Finance 2, 151-178.Loderer, C. F., D. P. Sheehan, and G. B. Kadlec, 1991. The pricing of equity offerings, Journal of Financial Economics 29, 35-57.Logue, D. E., 1973. On the pricing of unseasoned equity issues: 1965-1969, Journal of Financial and Quantitative Analysis 8(1), 91-103.Loughran, T., and J. R. Ritter, 2004. Why Has IPO Underpricing Changed Over Time?, Financial Management 33(3).Lowry, M., M. S. Officer, and G. W. Schwert, 2006. The Variability of IPO Initial Returns, National Bureau of Economic Research Working Paper Series No. 12295.Ma, T., 1999. The Issuer`s Decision of IPO Mechanism: Fixed Price versus Auction(Istanbul, Turkey).Ma, T., and T.-C. Hu, 2003. The Determination of Underwriting Mechanisms and It`s Impact on IPO Discount: Auction, Bookbuilding and Fixed Price, Journal of Financial Studies 11(1).Michaely, R., and W. H. Shaw, 1994. The pricing of initial public offerings: tests of adverse-selection and signaling theories, Review of Financial Studies 7, 279-319.Neuberger, B. M., and C. A. La Chapelle, 1983. Unseasoned new issue price performance on three tiers: 1975-1980, Financial Management 12(3), 23-28.Pettway, R. H., and T. Kaneko, 1996. The effects of removing price limits and introducing auctions upon short-term IPO returns: The case of Japanese IPOs, Pacific-Basin Finance Journal 4, 241-258.Rahman, H., and K. Yung, 1999. Insurance IPOs - a test of the underpricing theories, Journal of Insurance Issues 22(1), 61-77.Reena, A., and C. Pat, 2000. Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter, Journal of Finance 55, 2903-2922.Ritter, J. R., 1984. The "Hot Issue" Market of 1980, Journal of Business 57, 215-240.51Ritter, J. R., 1984. Signaling and the Valuation of Unseasoned New Issues: A Comment, Journal of Finance 39, 1231-1237.Rock, K., 1986. Why new issues are underpriced, Journal of Financial Economics 15, 187-212.Sherman, A. E., 2005. Global trends in IPO methods: Book building versus auctions with endogenous entry, Journal of Financial Economics 78, 615-649.Sherman, A. E., and S. Titman, 2002. Building the IPO Order Book: Underpricing and Participation Limits With Costly Information, Journal of Financial Economics 65, 3-29.Shih, K.-H., M.-C. Tsai, and C. H. Lou, 2005. An Exploration of Bargain Factors on the IPOs Price Negotiation - Underwriters’ Perspectives, Journal of Accounting and Corporate Governance 2-2, 79-108.Smith, C., Jr., 1977. Alternative methods for raising capital : Rights versus underwritten offerings, Journal of Financial Economics 5, 273-307.Titman, S., and B. Trueman, 1986. Information quality and the valuation of new issues, Journal of Accounting and Economics 8, 159-172.Wong, K. A., and H. L. Chiang, 1986. Pricing of new equity issues in Singapore, Asia Pacific Journal of Management 4, 1-10. zh_TW
