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題名 承銷制度對承銷價訂定暨短期報酬之探討 作者 羅胤麒
Lo, Ying-Chi貢獻者 戚務君
羅胤麒
Lo, Ying-Chi關鍵詞 競價拍賣
承銷價
折價
auctions
underwriting price
underpricing日期 2019 上傳時間 7-八月-2019 15:53:57 (UTC+8) 摘要 本研究旨在探討競價拍賣與公司承銷價訂定之關聯性。本研究以2013至2018年度於台灣資本市場初次上市櫃之公司作為研究對象進行分析。以開盤日異常報酬率、承銷溢價報酬率作為異常報酬率的代理變數，以承銷價淨值比、市價淨值比作為承銷折溢價的代理變數。實證結果發現，承銷制度與異常報酬率無關，但競價拍賣制度與承銷價淨值比、市價淨值比呈顯著負相關，顯示競價拍賣制度下的折價幅度較高，可能受到法規競價價格限制的影響，並且不支持過去學者認為競價拍賣具備價格發現之功能。本研究推測我國此次競價改革目的為除弊大於興利，係因在新制度下，可避免承銷商賺取異常資本利得、配售以圖利特定人士疑慮、違法退佣問題。本研究建議後續之學者可透過制度之變化分析承銷商收入模式之改變對承銷價暨資本市場之報酬之影響。
The purpose of this study is to explore the correlation between the competitive auction and the offering price of the securities. In this study we analyze IPO companies in the Taiwan Capital Market from 2013 to 2018. We take the abnormal rate of return on the first trading day and the underwriting premium rate as the proxy variable of the abnormal rate of return, Also, The offering price to book ratio and price to book ratio are used as the proxy variable of the offering price discount (premium) rate. The empirical results show no significant relationship between the underwriting system and the abnormal rate of return, while the competitive auction has a significantly negative correlation with the offering price to book ratio and price to book ratio. This indicates that the underpricing in the competitive auction system is relatively high probably affected by the regulatory restriction of auction price. Furthermore, it does not support the conclusions of many researches that competitive auction has a stronger ability in “price discovery” This study argues that the underwriting system reform in Taiwan implies the priority of fraud prevention overweighing the benefit. This is because under the competitive auction system, the problems such as abnormal capital gains taken by the underwriters, illegal gain allocated to specific persons, and illegal rebate can be avoided. Therefore, this study suggests that forth coming researchers can analyze the impact of changes in the underwriting system on offering price and return of capital market.參考文獻 中文參考文獻\n林象山，1995年，承銷商信譽對新上市股票之影響，中國財務學刊，第三卷，第1期：119–143\n高蘭芬、陳振遠與李焮慈，2006，資訊透明度及席次控制權與現金流量權偏離對公司績效之影響-以台灣電子業為例，臺灣管理學刊，第六卷，第2期：81-104。\n湯惠雯，2008年，承銷商聲譽之訊號傳遞效果－完美貝氏均衡分析，管理科學與統計決策，第五卷，第1期：16– 25\n姜堯民與戴維芯，2016年，台灣股票初次上市櫃相關研究文獻回顧，經濟論文叢刊，第四十四卷，第1期77–125。\n徐燕山與徐政義，2002，IPO 折價與訊息的代理變數，財務金融學刊，第十卷，第3期：63– 88。\n徐政義，2007，初次上市櫃詢價圈購承銷，經濟日報\n陳湘琴，2015年12月16日，推動初次上市(櫃)案件優先採用競價拍賣方式辦理承銷，證券暨期貨月刊，第三十三卷，第12期：24-41。\n陳軒基、葉秀娟與陳右超，2003年，承銷制度與折價幅度:台灣初次上市櫃股票之實證分析(1980–2000)，證券市場發展季刊，第十四卷，第4期：175–198。\n馬黛與胡德中，2003年，承銷配售機制之決定及其對IPO 折價之影響:競價拍賣、詢價圈購與公開申購，財務金融學刊，第十一卷，第1期：1–40。\n黃佩佩，2011，淺談承銷制度與改革，證券暨期貨月刊 第二十九卷，第5期：5-23。\n黃蘭霙，2004年，我國證券承銷制度的演進與沿革，券暨期貨月刊 第二十九卷，第5期：4-16。\n外文參考文獻\nAffleck-Graves, J., S. P. Hedges, Miller, R.E., and Reilly, F. K.. 1993. The effect of the\ntrading system on the underpricing of initial public offerings. Financial\nManagement, 22: 99-108.\nAlford, A.,1992,The effect of the set of comparable firms on the accuracy of the price-earnings valuation method. Journal of Accounting Research,30:94-108.\nBenveniste, Lawrence M. and Paul A. Spindt, 1989, How investment bankers\ndetermine the offer price and allocation of new issues, Journal of Financial\nEconomics, 24:343-361.\nBiais, B., P. Hillion, and C. Spatt, 1995,“An empirical analysis of the limit order book and the order flow in the paris bourse＂, Journal of Finance, 50:1655-1689.\nBrennan, M.J., Franks, J., 1997, Underpricing, Ownership and control in initial public offerings of equity securities in the U. K., Journal of Financial Economics, 45: 391-413.\nBrockman, P., and D. Chung, 1999, “Bid-ask spread components in an order driven environment＂, Journal of Financial Research ,22, 2:227-246.\nBrock, W. A., and A. W. Kleidon, 1992, “Periodic market closure and trading volume: a model of intraday bids and asks＂, Journal of Economic Dynamics and Control, 16:451-489.\nChang, Chun, Yao-Min Chiang, Yiming Qian, and Jay R. Ritter, 2014, Pre-market trading and ipo pricing : evidence from Taiwan, Working Paper, National Taiwan University.\nChen, Anlin, Chen Chein Hung, and Chin-Shun Wu, 2002, The underpricing and excess returns of initial public offerings in Taiwan based on noisy trading: a stochastic frontier model, Review of Quantitative Finance and Accounting, 18:139-159.\nChen, Hsuan-Chi and Sheng-Ching Wu ,2015, Who makes the choice in ipo underwriting methods? issuers vs. underwriters, Financial Management,44:753-783.\nChen, Hsuan-Chi, Robert C. W. Fok, and Yu-Jen Wang, 2006, Why do underwriters charge low underwriting fees for initial public offerings in Taiwan? , Journal of Business Finance and Accounting, 33:979-1005.\nChiang, Yao-Min, Michelle Lowry, and Yiming Qian, 2014, The Information advantage of underwriters in ipo, Working Paper, National Taiwan University.\nChiang, Yao-Min, Yiming Qian, and Ann E. Sherman, 2010, Endogenous entry and partial adjustment in ipo auctions: are institutionalinvestors better informed? , Review of Financial Studies, 23: 1200-1230.\nChordia, T., Subrahmanyam, A., 2004, “Order Imbalance and Individual Stock Returns: Theory and evidence”, Journal of Financial Economics, Vol.72:485-518.\nClaessens, S., S. Djankov, and L. H. P. Lang, 2000, The separation of ownership and control in East Asian corporations, Journal of Financial Economics,58:81-112.\nCopeland, T. and D. Galai., 1983, Informational effects and the bid-ask spreads, Journal of Finance 38:1457-1469.\nCornell, Bradford and Marc E. Reinganum, 1981, Forward and futures prices : evidence from foreign exchange market, Journal of Finance ,36:1035-1045.\nDeGeorge, Francois, Francois Derrien, and Kent L. Womack, 2004, Quid Pro Quo in ipos：why book-building is dominating auctions. CEPR Discussion Paper No. 4462:1-49\nDerrien, Francois and Ambrus Kesckés, 2007, The initial public offerings of listed firms, Journal of Finance, 62:447-479.\nDerrien, Francois and Kent L. Womack, 2003, Auctions vs. Bookbuilding and the Control of Underpricing in Hot IPO Markets, Review of Financial Studies, 16:31-61.\nDownes, D. H. and R. Heinkel, 1982, Signaling and the valuation of unseasoned new issues, Journal of Financial Economics, 37:1-10.\nEasley, D. and M. O’ Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics,19:69-90.\nFrancois Derrien and Kent L. Womack, 2003, Auctions vs. bookbuilding and the control of underpricing in the hot ipo markets. The Review of Financial Studies Spring 2003 ,16:31-61.\nGoldstein, Michael A., Paul Irvine, and Andy Puckett, 2011, Purchasing ipos with commissions, Journal of Financial and Quantitative Analysis, 46:1193-1225.\nHarris, M., and A. Raviv, 1981, A theory of molopoly pricing schemes with demand uncertainty. American Economic Review, 71:347-365.\nHsu, Y., C.H. Hung, and C.Y. Shiu, 2009, Why have ipo auctions lost market share to fixed-price offers? evidence from Taiwan, Journal of Financial Studies ,17:1-36.\nJagannathan and Sherman,2008, Why have ipo auctions failed the market test ?, unpulish paper , Northwestern University\nJain, Bharat A. and Omesh Kini, 1994, The Post-issue Operating Performance of IPO Firms, Journal of Finance, 49:1699-1726.\nJames, C. and P. Wier,1990, Borrowing relationship, intermediation , and the cost of issuing public securities, Journal of Financial Economics,28:149-171\nJay R. Ritter and Ivo Welch, 2002, A review of ipo activity, pricing, and allocations. 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Stulz,1996, Leverage, investment, and firm growth, Journal of Financial Economics, 40: 3-29\nLaurie Krigman, Wayne H. Shaw, Kent L. Womack, 2000, Why do firms switch underwriters? Journal of Financial Economics ,60:245-284.\nLee, C. M.C., B. Mucklow, and M. J. Ready, 1993, spreads, depths, and impact of earnings information：an intraday analysis, Review of Financial Studies, 6:345-374.\nLee, Jen-Sin, Chin-Tai Kuo, and Pi-Hsia Yen, 2011, market states and initial returns: evidence from Taiwanese ipo, Emerging Markets Finance and Trade, 47: 6-20.\nLee, Yi-Tsung, J.C. Lin and Yu-Jane Liu, 2003, What is ipo auction’ weakness? , working paper, presented in EFMA.\nLie, E.,Lie, H,2002,Multiples used to estimate corporate value. Financial Analysts Journal,58:44-53.\nLiao, Tsai-Ling, Min-Teh Yu, and Chih-Jen Huang, 2011, Independent directors and the long-run performance of ipos, Journal of Applied Finance and Banking, 11:137-161.\nLin, T and R. Fok., 1997, The information content of ipos price adjustment, International Journal of Finance, 52:650-667.\nLiu, Xiaoding and Jay R. Ritter, 2011, Local underwriter oligopolies and ipo underpricing, Journal of Financial Economics, 102:579-601.\nLiu, Yu-Jane, K. C. John Wei, and Gwohorng Liaw, 2001, On the demand elasticity of initial public offerings: an analysis of discriminatory auctions, International Review of Finance, 2:151-178.\nLjungqvist, Alexander P., Vikram Nanda, and Ragdeep Singh, 2006, Hot markets, investor sentiment, and ipo pricing, Journal of Business, 79:1667-1702.\nLogue, D., 1973, On the pricng of unseasoned equity issues：1965-1969. Journal of Financial and Quantitative Analysis, 8 :91–103.\nLoughran, Tim and Jay R. Ritter, 1995, The new issue puzzle, Journal of Finance, 50: 23-51.\nLowry, Michelle, Micah S. Officer, and G. William Schwert, 2010, The variability of ipo initial returns, Journal of Finance, 65: 425-465.\nMenen, K., and Williams, D., 1991, Auditor credibility and initial public offerings, The Accounting Review, 66:327-342.\nM.J. Brennan, J. Franks, 1997, Underpricing, ownership and control in initial public offerings of equity securities in the UK. Journal of Financial Economics , 45:391-413.\nM. Nimalendran, Jay R. Ritter and Donghang Zhang, 2006, Do today’s trades affect tomorrow’s ipo allocations? Journal of Financial Economics, 84:87-109\nPhilip J. Lee, Stephen L. Taylor and Terry S. Walter, 1999, IPO underpricing explanations: implications from investor application and allocation schedules. The Journal of Financial and Quantitative Analysis, 34:425-444.\nQ Hao, 2007, Laddering in initial public offerings. Journal of Financial Economics, 85: 102-122.\nRitter, Jay R., 1984, The hot issue market of 1980, Journal of Business, 57:215–240.\nRitter and Welch,2002,A review of ipo activity, pricing, and allocations, The Journal of Financial,57:1795-1828\nRoberto Arosio, Giancarlo Giudici and Stefano Paleari, 2000, What drives the initial market performance of italian ipos? an empirical investigation on underpricing and price support. Working Paper, Politecnico di Milano.\nRock, Kevin, 1986, Why new issues are underpriced, Journal of Financial Economics, 15:187–212.\nRoni Michaely and Kent L. Womack, 1999, Conflict of interest and the credibility of underwriter analyst recommendations, The Review of Financial Studies, 12:653–686.\nSherman, 2005, Global trends in ipo methods：bookbuilding versus auctions with endogenous entry, Journal of Financial Economics, 78:615-649.\nSherman, Ann E. and Sheridan Titman, 2002, Building the ipo order book: underpricing and participation limits with costly information, Journal of Financial Economics, 65:3-29.\nStoll, H. R., 1978, The pricing of security dealer services: an empirical study of Nasdaq stocks, Journal of Finance,33:1153-1172.\nTim Loughran and Jay R. Ritter, 2002, Why don’t issuers get upset about leaving money on the tables in ipos? The Review of Financial Studies Special 2002 ,15:413-443.\nTodd Houge, Tim Loughran, Gerry Suchanek and Xuemin Yan, 2002, Divergence of Opinion, uncertainty and the quality of initial public offerings, Financial Management, 30:5-23.\nWilliam A. Reese, Jr., 1998, IPO underpricing, trading volume, and investor interest. SSRN\nXiaoding Liu and Jay R. Ritter, 2010, The economic consequences of ipo spinning, The Review of Financial Studies, 23:2024–2059.\nJay R. Ritter,1991, The long-run performance of initial public offerings , Journal of Finance, 46:3–27.\nTim Loughran and Jay R. Ritter,2000, Uniformly least powerful tests of market efficiency, Journal of Financial Economics, 55:361–389.\nTim Loughran and Jay R. Ritter,2002, Why don’t issuers get upset about leaving money on the table in ipos?, Review of Financial Studies, 15:413–444. 描述 碩士
國立政治大學
會計學系
106353029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106353029 資料類型 thesis dc.contributor.advisor 戚務君 zh_TW dc.contributor.author (作者) 羅胤麒 zh_TW dc.contributor.author (作者) Lo, Ying-Chi en_US dc.creator (作者) 羅胤麒 zh_TW dc.creator (作者) Lo, Ying-Chi en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-八月-2019 15:53:57 (UTC+8) - dc.date.available 7-八月-2019 15:53:57 (UTC+8) - dc.date.issued (上傳時間) 7-八月-2019 15:53:57 (UTC+8) - dc.identifier (其他 識別碼) G0106353029 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=143123 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 會計學系 zh_TW dc.description (描述) 106353029 zh_TW dc.description.abstract (摘要) 本研究旨在探討競價拍賣與公司承銷價訂定之關聯性。本研究以2013至2018年度於台灣資本市場初次上市櫃之公司作為研究對象進行分析。以開盤日異常報酬率、承銷溢價報酬率作為異常報酬率的代理變數，以承銷價淨值比、市價淨值比作為承銷折溢價的代理變數。實證結果發現，承銷制度與異常報酬率無關，但競價拍賣制度與承銷價淨值比、市價淨值比呈顯著負相關，顯示競價拍賣制度下的折價幅度較高，可能受到法規競價價格限制的影響，並且不支持過去學者認為競價拍賣具備價格發現之功能。本研究推測我國此次競價改革目的為除弊大於興利，係因在新制度下，可避免承銷商賺取異常資本利得、配售以圖利特定人士疑慮、違法退佣問題。本研究建議後續之學者可透過制度之變化分析承銷商收入模式之改變對承銷價暨資本市場之報酬之影響。 zh_TW dc.description.abstract (摘要) The purpose of this study is to explore the correlation between the competitive auction and the offering price of the securities. In this study we analyze IPO companies in the Taiwan Capital Market from 2013 to 2018. We take the abnormal rate of return on the first trading day and the underwriting premium rate as the proxy variable of the abnormal rate of return, Also, The offering price to book ratio and price to book ratio are used as the proxy variable of the offering price discount (premium) rate. The empirical results show no significant relationship between the underwriting system and the abnormal rate of return, while the competitive auction has a significantly negative correlation with the offering price to book ratio and price to book ratio. This indicates that the underpricing in the competitive auction system is relatively high probably affected by the regulatory restriction of auction price. Furthermore, it does not support the conclusions of many researches that competitive auction has a stronger ability in “price discovery” This study argues that the underwriting system reform in Taiwan implies the priority of fraud prevention overweighing the benefit. This is because under the competitive auction system, the problems such as abnormal capital gains taken by the underwriters, illegal gain allocated to specific persons, and illegal rebate can be avoided. Therefore, this study suggests that forth coming researchers can analyze the impact of changes in the underwriting system on offering price and return of capital market. en_US dc.description.tableofcontents 第一章 緒論 1\n第一節 研究動機 1\n第二節 研究目的 4\n第三節 研究方法 6\n第四節 研究架構 7\n第二章 文獻探討 9\n第一節 承銷價格折價因素 9\n第二節 競價制度介紹 16\n第三章 研究方法 21\n第一節 研究假說 21\n第二節 資料來源 22\n第三節、研究模型 23\n第四節 變數定義與衡量 24\n第四章 實證結果與分析 32\n第一節 敘述性統計 32\n第二節 相關係數分析 36\n第三節 迴歸分析 38\n第五章 研究結論、限制及建議 44\n第一節 研究結論 44\n第二節 研究限制 44\n第三節 建議 45\n參考文獻 47\n中文參考文獻 47\n外文參考文獻 48\n表3-1假說一、假說二及假說三之樣本選取表 22\n表3-2景氣信號燈級距 29\n表3-3研究變數彙總表 31\n表4-1假說一、假說二之敘述性統計表 34\n表4-2假說一及假說二Pearson相關係數表 37\n表4-3承銷制度與異常報酬之迴歸結果 40\n表4-4承銷制度與報酬率之迴歸結果 41\n表4-5承銷制度與承銷溢酬之迴歸結果 42\n表4-6銷制度與市值淨值比之迴歸結果 43 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106353029 en_US dc.subject (關鍵詞) 競價拍賣 zh_TW dc.subject (關鍵詞) 承銷價 zh_TW dc.subject (關鍵詞) 折價 zh_TW dc.subject (關鍵詞) auctions en_US dc.subject (關鍵詞) underwriting price en_US dc.subject (關鍵詞) underpricing en_US dc.title (題名) 承銷制度對承銷價訂定暨短期報酬之探討 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻\n林象山，1995年，承銷商信譽對新上市股票之影響，中國財務學刊，第三卷，第1期：119–143\n高蘭芬、陳振遠與李焮慈，2006，資訊透明度及席次控制權與現金流量權偏離對公司績效之影響-以台灣電子業為例，臺灣管理學刊，第六卷，第2期：81-104。\n湯惠雯，2008年，承銷商聲譽之訊號傳遞效果－完美貝氏均衡分析，管理科學與統計決策，第五卷，第1期：16– 25\n姜堯民與戴維芯，2016年，台灣股票初次上市櫃相關研究文獻回顧，經濟論文叢刊，第四十四卷，第1期77–125。\n徐燕山與徐政義，2002，IPO 折價與訊息的代理變數，財務金融學刊，第十卷，第3期：63– 88。\n徐政義，2007，初次上市櫃詢價圈購承銷，經濟日報\n陳湘琴，2015年12月16日，推動初次上市(櫃)案件優先採用競價拍賣方式辦理承銷，證券暨期貨月刊，第三十三卷，第12期：24-41。\n陳軒基、葉秀娟與陳右超，2003年，承銷制度與折價幅度:台灣初次上市櫃股票之實證分析(1980–2000)，證券市場發展季刊，第十四卷，第4期：175–198。\n馬黛與胡德中，2003年，承銷配售機制之決定及其對IPO 折價之影響:競價拍賣、詢價圈購與公開申購，財務金融學刊，第十一卷，第1期：1–40。\n黃佩佩，2011，淺談承銷制度與改革，證券暨期貨月刊 第二十九卷，第5期：5-23。\n黃蘭霙，2004年，我國證券承銷制度的演進與沿革，券暨期貨月刊 第二十九卷，第5期：4-16。\n外文參考文獻\nAffleck-Graves, J., S. P. Hedges, Miller, R.E., and Reilly, F. K.. 1993. The effect of the\ntrading system on the underpricing of initial public offerings. Financial\nManagement, 22: 99-108.\nAlford, A.,1992,The effect of the set of comparable firms on the accuracy of the price-earnings valuation method. Journal of Accounting Research,30:94-108.\nBenveniste, Lawrence M. and Paul A. Spindt, 1989, How investment bankers\ndetermine the offer price and allocation of new issues, Journal of Financial\nEconomics, 24:343-361.\nBiais, B., P. Hillion, and C. Spatt, 1995,“An empirical analysis of the limit order book and the order flow in the paris bourse＂, Journal of Finance, 50:1655-1689.\nBrennan, M.J., Franks, J., 1997, Underpricing, Ownership and control in initial public offerings of equity securities in the U. K., Journal of Financial Economics, 45: 391-413.\nBrockman, P., and D. Chung, 1999, “Bid-ask spread components in an order driven environment＂, Journal of Financial Research ,22, 2:227-246.\nBrock, W. 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