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題名 新上市股票逆選擇問題之研究
作者 林淑娟
貢獻者 姜堯民
林淑娟
日期 2002
上傳時間 9-May-2016 16:24:31 (UTC+8)
摘要 　　本研究針對Rock(1986)以逆選擇理論解釋新上市股票承銷價低估原因進行實證研究。Rock(1986)認為由於投資人之間存在有資訊不對稱，造成資訊充分投資人(informed investor)在IPO股票承銷價被高估的時候不會參與IPO股票的投資，因此資訊不充分投資人(uninformed investor)得到股票配售的機率很高；但在IPO股票承銷價被低估的時候，資訊充分投資人會參與投資，對資訊不充分投資人造成排擠，使資訊不充分投資人得到股票配售的機率很低。這種現象就是逆選擇，由於有逆選擇的情況存在，Rock(1986)認為資訊不充分投資人在考慮了配售率(allocation rate)之後，只能獲得無風險利率的報酬。
　　本研究的結果顯示，台灣新上市股票異常報酬與配售率之間有顯著的負向關係，且承銷價被低估的IPO股票的配售率顯著低於承銷價被高估的IPO股票的配售率，強烈的支持台灣新上市股票承銷市場存在逆選擇的情形。且使用不同的配售方式對於逆選擇的程度並沒有顯著影響。在考慮了配售率之後，台灣新上市股票配售率加權異常報酬為不顯著的正值(0.716%)，也與Rock(1986)的理論一致。
參考文獻 【國內參考文獻】
1. 江建政，「新上市股票承銷價故意低估與期初異常報酬之研究」，朝陽科技大學財務金融學系未出版碩士論文，民國86年6月。
【國外參考文獻】
1. Amihud, Y., S. Hauser and A. Kirsh, “Allocations, Adverse Selection and Cascades in IPOs: Evidence from Israel.” Oct 2001, Working Paper.
2. Beatty, R. P. and J. R. Ritter, “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings.” Journal of Financial Economics, 1986, Vol.15, 213-232.
3. Benveniste, L. M., and P. A. Spindt, “How Investment Bank Determine the Offer Price and Allocation of New Issues,” Journal of Financial Economics, 1989, Vol. 24, 343-361.
4. Benveniste, L. M., and W. J. Wilhelm, “A Comparative Analysis of IPO Proceeds Under Alternative Regulatory Environments.” Journal of Financial Economics, 1990, Vol. 28, 173-207.
5. Benveniste, L. M., and W. Y. Busaba, “Bookbuilding vs. Fix Price: an Analysis of Competing Strategies for Marketing IPOs. ” Journal of Financial and Quantitative Analysis, 1997, Vol. 32, 383-403.
6. Carter, R., and S. Manaster, “Initial Public Offering and Underwriter Ruputation.” Journal of Finance, 1990, Vol. 45, 1045-1047.
7. Chiang, Y. M. and T. Houge “Demand Distribution, the Choice of Initial Public Offering Method and Underpricing.” 2001 Financial Management Association International Annual Meeting, Oct 2001, Toronto, Canada.
8. Chow, G. C. “Tests of Equality between Sets of Coefficients in Two Linear Regressions.” Econometrica, 1960, Vol.52, 211-222.
9. Derrien, F., and K. L. Womack, “Auction vs. Bookbuilding and the Control of Underpricing in Hot IPO Market.” 2000, Working Paper.
10. Ibbotson, R., J. Sindelar, and J. Ritter, “Initial Public Offerings.” Journal of Applied Corporate Finance, 1988, Vol. 1, 37-45.
11. Keloharju, M., “The Winner’s Curse, Legal Liability, and the Long-Term Price Performance of Initial Public Offerings in Finland.” Journal of Financial Economic, 1993, Vol. 34, 251-277.
12. Koh, F. and T. Walter, “A Direct Test of Rock’s Model of the Pricing of Unseasoned Issues.” Journal of Financial Economics, 1989, Vol. 23 ,251-272.
13. Kraus, A. and H. R. Stoll, “Price Impacts of Block Trading on New York Stock Exchange,” Journal of Finance, 1972, Vol. 27, 569-588.
14. Kutsuna, K. and R. Smith, “How IPO Pricing Method Affects Underpricing and Issue Cost: Evidence on Japan’s Change from Auction Method Pricing to Book-Building.” October 2000, Working Paper.
15. Lee, P. J., S. L. Taylor, and T. S. Walter, “IPO Underpricing Explanations: Implcations from Investor Application and Allocation Schedules.” Journal of Financial Quantitative Analysis, Dec 1999, Vol. 34, 425-444.
16. Levis, M., “The Winner’s Curse Problem, Interest Costs and the Underpricing of Initial Public Offerings.” Economic Journal, 1990, Vol. 100, 76-89.
17. Logue, D. E., “On the Pricing of Unseasoned Equity Issues: 1965-1969.” Journal of Financial and Quantitative Analysis, 1973, Vol. 30, 91-103.
18. Loughran, T., J. R. Ritter, and K. Rydkvist, “Initial Public Offerings: International Insights.” Pacific-Basin Finance Journal, 1994, Vol. 2, 165-199.
19. Michaely, R. and W. H. Shaw , “The Pricing of Initial Public Offerings: Tests of Adverse Selection and Signaling Theories.” Review of Financial Studies, 1994, Vol. 7, 279-317.
20. Parsons, J. and A. Raviv, “Alternative Methods for Floating New Issues.”, forthcoming.
21. Ritter, J., ”The ‘Hot Issues’ Market of 1980.” Journal of Bussiness, 1984, Vol. 57 ,215-240.
22. Rock, K. “Why New Issues are Underpriced.” Journal of Financial Economics, 1986, Vol. 15, 187-212.
23. Reilly, F. K., “Further Evidences on Short-Run Results for New Issue Investors.” Journal Financial and Quantitative Analysis, 1973, 83-90.
24. Young, J. E., and J. K. Zaima, “The Aftermarket Performance of Small Firm Initial Public Offerings.” Journal of Bussiness Ventureing, 1988, Winter, 77-87.
描述 碩士
國立政治大學
財務管理研究所
89357003
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000335
資料類型 thesis
dc.contributor.advisor 姜堯民zh_TW
dc.contributor.author (Authors) 林淑娟zh_TW
dc.creator (作者) 林淑娟zh_TW
dc.date (日期) 2002en_US
dc.date.accessioned 9-May-2016 16:24:31 (UTC+8)-
dc.date.available 9-May-2016 16:24:31 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 16:24:31 (UTC+8)-
dc.identifier (Other Identifiers) A2010000335en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95509-
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) 89357003zh_TW
dc.description.abstract (摘要) 　　本研究針對Rock(1986)以逆選擇理論解釋新上市股票承銷價低估原因進行實證研究。Rock(1986)認為由於投資人之間存在有資訊不對稱，造成資訊充分投資人(informed investor)在IPO股票承銷價被高估的時候不會參與IPO股票的投資，因此資訊不充分投資人(uninformed investor)得到股票配售的機率很高；但在IPO股票承銷價被低估的時候，資訊充分投資人會參與投資，對資訊不充分投資人造成排擠，使資訊不充分投資人得到股票配售的機率很低。這種現象就是逆選擇，由於有逆選擇的情況存在，Rock(1986)認為資訊不充分投資人在考慮了配售率(allocation rate)之後，只能獲得無風險利率的報酬。
　　本研究的結果顯示，台灣新上市股票異常報酬與配售率之間有顯著的負向關係，且承銷價被低估的IPO股票的配售率顯著低於承銷價被高估的IPO股票的配售率，強烈的支持台灣新上市股票承銷市場存在逆選擇的情形。且使用不同的配售方式對於逆選擇的程度並沒有顯著影響。在考慮了配售率之後，台灣新上市股票配售率加權異常報酬為不顯著的正值(0.716%)，也與Rock(1986)的理論一致。		zh_TW
dc.description.tableofcontents 謝辭
摘要
目錄-----i
表、圖目次-----ii
第一章　緒論-----1
　　第一節　研究動機-----1
　　第二節　研究目的-----4
　　第三節　研究流程與架構-----5
第二章　文獻探討-----7
　　第一節　相關理論文獻-----7
　　第二節　相關實證文獻-----10
　　第三節　影響承銷價低估程度與配售率的因素-----15
　　第四節　我國股票初次上市承銷配售制度-----18
第三章　研究方法-----23
　　第一節　研究假說-----23
　　第二節　樣本蒐集-----26
　　第三節　變數定義-----29
　　第四節　研究模型-----35
第四章　實證結果分析-----44
　　第一節　樣本特性分析-----44
　　第二節　影響新上市股票異常報酬與配售率因素的迴歸分析-----48
　　第三節　逆選擇理論直接實證結果分析-----51
第五章　結論-----60
參考文獻-----63

表目次
表3.2.1　樣本期間內分年度樣本分配表-----27
表3.2.2　樣本產業分配表-----27
表3.3.1　樣本期間市場景氣劃分表-----31
表3.3.2　民國85-90年承銷市場佔有率前四大承銷商名單-----34
表3.4.1　研究變數預期結果表-----36
表4.1.1　樣本敘述統計表-----44
表4.2.1　影響新上市股票異常報酬與配售率因素之迴歸分析-----48
表4.3.1　新上市股票異常報酬與配售率關係之迴歸結果-----51
表4.3.2　新上市股票異常報酬與配售率關係之迴歸結果（不含Alloc>0.95樣本）-----52
表4.3.3　配售率比較-----53
表4.3.4　Chow test-----54
表4.3.5　結構性改變檢定-----55
表4.3.6　配售率加權異常報酬之敘述統計量-----57
表4.3.7　平均配售率加權異常報酬之檢定-----58

圖目次
圖1.3.1　研究流程圖-----5
圖4.1.1　總樣本配售率分配圖-----47
圖4.3.1　總樣本配售率加權異常報酬分配圖-----57		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000335en_US
dc.title (題名) 新上市股票逆選擇問題之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 【國內參考文獻】
1. 江建政，「新上市股票承銷價故意低估與期初異常報酬之研究」，朝陽科技大學財務金融學系未出版碩士論文，民國86年6月。
【國外參考文獻】
1. Amihud, Y., S. Hauser and A. Kirsh, “Allocations, Adverse Selection and Cascades in IPOs: Evidence from Israel.” Oct 2001, Working Paper.
2. Beatty, R. P. and J. R. Ritter, “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings.” Journal of Financial Economics, 1986, Vol.15, 213-232.
3. Benveniste, L. M., and P. A. Spindt, “How Investment Bank Determine the Offer Price and Allocation of New Issues,” Journal of Financial Economics, 1989, Vol. 24, 343-361.
4. Benveniste, L. M., and W. J. Wilhelm, “A Comparative Analysis of IPO Proceeds Under Alternative Regulatory Environments.” Journal of Financial Economics, 1990, Vol. 28, 173-207.
5. Benveniste, L. M., and W. Y. Busaba, “Bookbuilding vs. Fix Price: an Analysis of Competing Strategies for Marketing IPOs. ” Journal of Financial and Quantitative Analysis, 1997, Vol. 32, 383-403.
6. Carter, R., and S. Manaster, “Initial Public Offering and Underwriter Ruputation.” Journal of Finance, 1990, Vol. 45, 1045-1047.
7. Chiang, Y. M. and T. Houge “Demand Distribution, the Choice of Initial Public Offering Method and Underpricing.” 2001 Financial Management Association International Annual Meeting, Oct 2001, Toronto, Canada.
8. Chow, G. C. “Tests of Equality between Sets of Coefficients in Two Linear Regressions.” Econometrica, 1960, Vol.52, 211-222.
9. Derrien, F., and K. L. Womack, “Auction vs. Bookbuilding and the Control of Underpricing in Hot IPO Market.” 2000, Working Paper.
10. Ibbotson, R., J. Sindelar, and J. Ritter, “Initial Public Offerings.” Journal of Applied Corporate Finance, 1988, Vol. 1, 37-45.
11. Keloharju, M., “The Winner’s Curse, Legal Liability, and the Long-Term Price Performance of Initial Public Offerings in Finland.” Journal of Financial Economic, 1993, Vol. 34, 251-277.
12. Koh, F. and T. Walter, “A Direct Test of Rock’s Model of the Pricing of Unseasoned Issues.” Journal of Financial Economics, 1989, Vol. 23 ,251-272.
13. Kraus, A. and H. R. Stoll, “Price Impacts of Block Trading on New York Stock Exchange,” Journal of Finance, 1972, Vol. 27, 569-588.
14. Kutsuna, K. and R. Smith, “How IPO Pricing Method Affects Underpricing and Issue Cost: Evidence on Japan’s Change from Auction Method Pricing to Book-Building.” October 2000, Working Paper.
15. Lee, P. J., S. L. Taylor, and T. S. Walter, “IPO Underpricing Explanations: Implcations from Investor Application and Allocation Schedules.” Journal of Financial Quantitative Analysis, Dec 1999, Vol. 34, 425-444.
16. Levis, M., “The Winner’s Curse Problem, Interest Costs and the Underpricing of Initial Public Offerings.” Economic Journal, 1990, Vol. 100, 76-89.
17. Logue, D. E., “On the Pricing of Unseasoned Equity Issues: 1965-1969.” Journal of Financial and Quantitative Analysis, 1973, Vol. 30, 91-103.
18. Loughran, T., J. R. Ritter, and K. Rydkvist, “Initial Public Offerings: International Insights.” Pacific-Basin Finance Journal, 1994, Vol. 2, 165-199.
19. Michaely, R. and W. H. Shaw , “The Pricing of Initial Public Offerings: Tests of Adverse Selection and Signaling Theories.” Review of Financial Studies, 1994, Vol. 7, 279-317.
20. Parsons, J. and A. Raviv, “Alternative Methods for Floating New Issues.”, forthcoming.
21. Ritter, J., ”The ‘Hot Issues’ Market of 1980.” Journal of Bussiness, 1984, Vol. 57 ,215-240.
22. Rock, K. “Why New Issues are Underpriced.” Journal of Financial Economics, 1986, Vol. 15, 187-212.
23. Reilly, F. K., “Further Evidences on Short-Run Results for New Issue Investors.” Journal Financial and Quantitative Analysis, 1973, 83-90.
24. Young, J. E., and J. K. Zaima, “The Aftermarket Performance of Small Firm Initial Public Offerings.” Journal of Bussiness Ventureing, 1988, Winter, 77-87.		zh_TW