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題名 誰握新股鑰匙？IPO階段機構投資人參與比例與公司後續表現之探討
Who Holds the Key to IPOs? Exploring the Impact of Institutional Participation Rates on Subsequent Firm Outcomes作者 黃郁琇
Huang, Yu-Hsiu貢獻者 黃嘉威
Huang, Chia-Wei
黃郁琇
Huang, Yu-Hsiu關鍵詞 機構投資人
IPO
詢圈配售比例
競價拍賣制度
長期績效
公司治理
流動性
制度改革
Institutional Investors
IPO
Bookbuilding Allocation Rate
Auction Mechanism
Long-term Performance
Corporate Governance
Liquidity
Regulatory Reform日期 2025 上傳時間 1-Jul-2025 14:50:44 (UTC+8) 摘要 本研究旨在探討機構投資人於 IPO 發行階段之實際參與比例是否影響發行公司後續之市場表現與公司特徵。相較於既有文獻多聚焦於 IPO 後機構持股比例與長期績效之關聯，本文改以 IPO 初次發行階段中機構投資人實際參與比例為核心變數，系統性分析其對定價、長期績效、風險、公司治理與流動性等五大面向之影響，並進一步以 2016 年台灣競價拍賣制度改革作為制度衝擊，檢視改革是否改變投資人結構，及其對公司表現可能產生的間接影響。實證結果顯示，機構參與比例愈高之 IPO ，呈現顯著更高的首日報酬與三年期累積超額報酬，並伴隨較低的風險指標、財報異常機率與流動性不足情形，支持機構投資人具備資訊過濾、市場穩定與流動性促進功能；同時，競價拍賣制度推行後，機構參與比例明顯下降，顯示制度設計已改變投資人結構，並可能間接影響發行公司後續表現。整體而言，本文不僅補足台灣市場中機構參與行為與IPO 結果間之實證缺口，亦提供關於制度改革對資本市場傳導機制之初步驗證，具學術研究與政策制定之參考價值。
This study investigates whether institutional investors’ participation rate during the IPO issuance stage influences subsequent market performance and firm characteristics. In contrast to existing literature that primarily focuses on post-IPO institutional ownership and long-term performance, this paper uses the actual institutional allocation rate in the IPO round as the core explanatory variable. The analysis systematically examines its impact across five key dimensions: pricing, long-term performance, risk, corporate governance, and liquidity. Furthermore, the 2016 auction reform in Taiwan’s IPO underwriting system is utilized as a quasi-natural experiment to explore whether the policy change reshaped investor structure and indirectly affected firm outcomes. Empirical results show that IPOs with higher institutional participation exhibit significantly higher first-day returns and three-year cumulative abnormal returns, as well as lower risk indicators, fewer financial reporting irregularities, and improved liquidity. These findings support the role of institutional investors as information filters, market stabilizers, and liquidity enhancers. In addition, the adoption of the auction mechanism significantly reduced institutional allocation rates, suggesting that regulatory design alters investor composition and may indirectly affect issuing firms' post-IPO performance. This research contributes to the literature by filling the empirical gap on institutional investor behavior in Taiwan’s IPO market and provides preliminary evidence on how policy reforms transmit through investor structure to impact capital market outcomes.參考文獻 一、 中文部分 1. 吳佳偉（2015）。《IPO 詢價圈購股數分配之決定因素》（碩士論文）。中正大學財務金融研究所碩士論文。 2. 唐維勵（2009）。《承銷商以過額配售進行 IPO 安定操作之行為研究》（碩士論文）。國立中正大學財務金融研究所碩士論文。 3. 王振中（2016）。機構投資人參與對台灣 IPO 定價之影響。《中山管理評論》，24(1)，63–96。 二、 英文部分 1. Agarwal, P. (2007). Institutional ownership and stock liquidity [Working paper]. 2. Aggarwal, R., Prabhala, N. R., and Puri, M. (2002). Institutional allocation in initial public offerings: Empirical evidence. The Journal of Finance, 57(3), 1421–1442. 3. Barinov, A. (2016). Institutional ownership and aggregate volatility risk [Working paper]. 4. Bennett, J. A., Sias, R. W., and Starks, L. T. (2003). Greener pastures and the impact of dynamic institutional preferences. The Review of Financial Studies, 16(4), 1203–1238. 5. Bird, R., and Yeung, D. (2010). Institutional ownership and IPO performance: Australian evidence. Australian Journal of Management, 35(3), 285–306. 6. Blume, M. E., and Keim, D. B. (2012). Institutional holdings and investment performance [Unpublished working paper]. 7. Boehmer, B., Boehmer, E., and Fishe, R. P. H. (2006). Do institutions receive favorable allocations in IPOs with better long-run returns? Journal of Financial and Quantitative Analysis, 41(4), 809–828. 8. Chemmanur, T. J., Hu, G., and Huang, J. (2010). The role of institutional investors in initial public offerings. Review of Financial Studies, 23(12), 4496–4540. 9. Che-Yahya, N., Abdul-Rahim, R., and Mohd-Rashid, R. (2017). The moderating effect of information asymmetry on the signalling role of institutional investors in the Malaysian IPOs. International Journal of Economics and Management, 11(S2), 391–406. 10. Chung, H., and Zhang, H. (2011). Corporate governance and institutional ownership. Journal of Business Ethics, 100(3), 419–435. 11. Cornelli, F., and Goldreich, D. (2001). Bookbuilding and strategic allocation. The Journal of Finance, 56(6), 2337–2369. 12. Darmadi, S., and Gunawan, R. (2012). Underpricing, board structure, and ownership: An empirical examination of Indonesian IPO firms. Corporate Ownership and Control, 9(4), 305–312. 13. Deng, Q., and Zhou, Z. (2017). IPO pricing efficiency in China: A ChiNext board focus. Frontiers of Economics in China, 12(2), 280–308. 14. Ellul, A., and Pagano, M. (2006). IPO underpricing and after-market liquidity. Review of Financial Studies, 19(2), 381–421. 15. Ferreira, M. A., and Matos, P. (2008). The colors of investors’ money: The role of institutional investors around the world. Journal of Financial Economics, 88(3), 499–533. 16. Field, L. C., and Lowry, M. (2009). Institutional versus individual investment in IPOs: The importance of firm fundamentals. Journal of Financial and Quantitative Analysis, 44(3), 489–516. 17. Goyal, A., and Tam, K. (2009). Allocation of IPOs and flipping activity. Journal of Financial Economics, 93(2), 263–283. 18. Gurung, J. B., Boro, L., and Chapagain, R. (2024). Institutional investors’ role in implementing book building: Views of market participants. Investment Management and Financial Innovations, 21(4), 104–115. 19. Hanafi, M. M., and Setiawan, A. (2018). Ownership concentration, institutional ownership, and IPO underpricing: Evidence from Indonesia Stock Exchange. International Journal of Governance and Financial Intermediation, 1(1), 3–17. 20. Hribar, P., and Jenkins, N. T. (2004). The effect of accounting restatements on earnings revisions and the estimated cost of capital. Review of Accounting Studies, 9(2–3), 337–356. 21. Hu, Y., Dai, T., Li, Y., Mallick, S., Ning, L., and Zhu, B. (2021). Underwriter reputation and IPO underpricing: The role of institutional investors in the Chinese Growth Enterprise Market. International Review of Financial Analysis, 78, 101956. 22. Huang, H. Y., Chiang, M. H., Lin, J. H., and Chen, C. Y. (2017). Fixed-price, auction, and bookbuilding IPOs: Empirical evidence in Taiwan. Finance Research Letters, 22, 11–19. 23. Huyghebaert, N., and Van Hulle, C. (2004). The role of institutional investors in corporate finance. Tijdschrift voor Economie en Management, 49(4), 689–717. 24. Li, J. (2012). Institutional investors’ preferences and investment behavior: Evidence from China’s stock market. Emerging Markets Finance and Trade, 48(1), 4–16. 25. Lin, J. B., Lee, J. C., and Liu, Y. J.（2003）. IPO auctions and private information. Pacific-Basin Finance Journal, 11(5), 519–538. 26. Logue, D. E., Rogalski, R. J., Seward, J. K., and Foster-Johnson, L. (2002). What is special about the roles of underwriter reputation and market activities in initial public offerings? The Journal of Business, 75(2), 213–243. 27. Lowry, M., and Schwert, G. W. (2002). IPO market cycles: Bubbles or sequential learning? The Journal of Finance, 57(3), 1171–1200. 28. Michel, A., Oded, J. and Shaked, I. (2020). What determines institutional investors’ holdings in IPO firms? International Review of Finance, forthcoming. 29. Sias, R. W. (1996). Volatility and the institutional investor. Financial Analysts Journal, 52(2), 13–20. 30. Wang, J.-Y. (2012). Investment behaviours and IPO returns: Evidence from Taiwan. Applied Financial Economics, 22(16), 1385–1395. 31. Yung, C., Çolak, G., and Wang, W. (2008). Cycles in the IPO market. Journal of Financial Economics, 89(1), 192–208. 描述 碩士
國立政治大學
財務管理學系
112357018資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357018 資料類型 thesis dc.contributor.advisor 黃嘉威 zh_TW dc.contributor.advisor Huang, Chia-Wei en_US dc.contributor.author (Authors) 黃郁琇 zh_TW dc.contributor.author (Authors) Huang, Yu-Hsiu en_US dc.creator (作者) 黃郁琇 zh_TW dc.creator (作者) Huang, Yu-Hsiu en_US dc.date (日期) 2025 en_US dc.date.accessioned 1-Jul-2025 14:50:44 (UTC+8) - dc.date.available 1-Jul-2025 14:50:44 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2025 14:50:44 (UTC+8) - dc.identifier (Other Identifiers) G0112357018 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157776 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 112357018 zh_TW dc.description.abstract (摘要) 本研究旨在探討機構投資人於 IPO 發行階段之實際參與比例是否影響發行公司後續之市場表現與公司特徵。相較於既有文獻多聚焦於 IPO 後機構持股比例與長期績效之關聯，本文改以 IPO 初次發行階段中機構投資人實際參與比例為核心變數，系統性分析其對定價、長期績效、風險、公司治理與流動性等五大面向之影響，並進一步以 2016 年台灣競價拍賣制度改革作為制度衝擊，檢視改革是否改變投資人結構，及其對公司表現可能產生的間接影響。實證結果顯示，機構參與比例愈高之 IPO ，呈現顯著更高的首日報酬與三年期累積超額報酬，並伴隨較低的風險指標、財報異常機率與流動性不足情形，支持機構投資人具備資訊過濾、市場穩定與流動性促進功能；同時，競價拍賣制度推行後，機構參與比例明顯下降，顯示制度設計已改變投資人結構，並可能間接影響發行公司後續表現。整體而言，本文不僅補足台灣市場中機構參與行為與IPO 結果間之實證缺口，亦提供關於制度改革對資本市場傳導機制之初步驗證，具學術研究與政策制定之參考價值。 zh_TW dc.description.abstract (摘要) This study investigates whether institutional investors’ participation rate during the IPO issuance stage influences subsequent market performance and firm characteristics. In contrast to existing literature that primarily focuses on post-IPO institutional ownership and long-term performance, this paper uses the actual institutional allocation rate in the IPO round as the core explanatory variable. The analysis systematically examines its impact across five key dimensions: pricing, long-term performance, risk, corporate governance, and liquidity. Furthermore, the 2016 auction reform in Taiwan’s IPO underwriting system is utilized as a quasi-natural experiment to explore whether the policy change reshaped investor structure and indirectly affected firm outcomes. Empirical results show that IPOs with higher institutional participation exhibit significantly higher first-day returns and three-year cumulative abnormal returns, as well as lower risk indicators, fewer financial reporting irregularities, and improved liquidity. These findings support the role of institutional investors as information filters, market stabilizers, and liquidity enhancers. In addition, the adoption of the auction mechanism significantly reduced institutional allocation rates, suggesting that regulatory design alters investor composition and may indirectly affect issuing firms' post-IPO performance. This research contributes to the literature by filling the empirical gap on institutional investor behavior in Taiwan’s IPO market and provides preliminary evidence on how policy reforms transmit through investor structure to impact capital market outcomes. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機 1 第三節 研究問題與架構 2 第四節 研究貢獻 3 第二章 文獻回顧 5 第一節 機構投資人於IPO市場的角色 5 第二節 機構投資人IPO參與比例與IPO個別特徵 6 2.2.1 機構投資人佔比與IPO 折價（Underpricing） 6 2.2.2 機構投資人佔比與IPO長期績效 7 2.2.3 機構投資人佔比與風險特性 8 2.2.4 機構投資人與公司治理（會計師意見異常與財報重編） 10 2.2.5 機構投資人與流動性 10 第三節 影響機構投資人佔比的因素 11 2.3.1 公司與市場特性對機構投資人參與的影響 11 2.3.2 制度設計與機構投資人參與的關聯 12 2.3.3 台灣承銷制度改革：競價拍賣制度對機構投資人參與的影響 13 第三章 研究設計 16 第一節 研究樣本與資料來源 16 第二節 變數定義與衡量方式 17 3.2.1 核心解釋變數：機構投資人參與比例 17 3.2.2 核心被解釋變數 18 3.2.3 控制變數 24 第三節 研究模型設計 26 3.3.1 機構投資人參與比例對IPO後續表現之影響 26 3.3.2 制度改革與機構投資人參與比例之關聯 29 第四章 實證結果與分析 31 第一節 樣本敘述性統計分析 31 第二節 機構投資人參與比例對IPO後續特徵之影響 34 4.2.1定價面：IPO折價（Underpricing） 34 4.2.2長期績效面向：CAR與BHAR 36 4.2.3 風險面：Volatility、Beta與Idiosyncratic Risk 37 4.2.4公司治理面：財務不當行為（Financial Misconduct） 38 4.2.5 流動性面向：Turnover Rate 39 第三節 2016年台灣IPO承銷制度改革對機構參與比例之影響 40 第四節 制度改革對IPO公司表現：基於機構參與結構改變之推論 42 第五節 穩健性檢驗 43 4.5.1機構投資人後續持股穩定性 43 4.5.2 統一控制變數設計之穩健性驗證 45 第五章 結論與建議 46 第一節 研究結論與意涵 46 第二節 研究限制與政策意涵 48 參考文獻 50 zh_TW dc.format.extent 1523500 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357018 en_US dc.subject (關鍵詞) 機構投資人 zh_TW dc.subject (關鍵詞) IPO zh_TW dc.subject (關鍵詞) 詢圈配售比例 zh_TW dc.subject (關鍵詞) 競價拍賣制度 zh_TW dc.subject (關鍵詞) 長期績效 zh_TW dc.subject (關鍵詞) 公司治理 zh_TW dc.subject (關鍵詞) 流動性 zh_TW dc.subject (關鍵詞) 制度改革 zh_TW dc.subject (關鍵詞) Institutional Investors en_US dc.subject (關鍵詞) IPO en_US dc.subject (關鍵詞) Bookbuilding Allocation Rate en_US dc.subject (關鍵詞) Auction Mechanism en_US dc.subject (關鍵詞) Long-term Performance en_US dc.subject (關鍵詞) Corporate Governance en_US dc.subject (關鍵詞) Liquidity en_US dc.subject (關鍵詞) Regulatory Reform en_US dc.title (題名) 誰握新股鑰匙？IPO階段機構投資人參與比例與公司後續表現之探討 zh_TW dc.title (題名) Who Holds the Key to IPOs? Exploring the Impact of Institutional Participation Rates on Subsequent Firm Outcomes en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、 中文部分 1. 吳佳偉（2015）。《IPO 詢價圈購股數分配之決定因素》（碩士論文）。中正大學財務金融研究所碩士論文。 2. 唐維勵（2009）。《承銷商以過額配售進行 IPO 安定操作之行為研究》（碩士論文）。國立中正大學財務金融研究所碩士論文。 3. 王振中（2016）。機構投資人參與對台灣 IPO 定價之影響。《中山管理評論》，24(1)，63–96。 二、 英文部分 1. Agarwal, P. (2007). Institutional ownership and stock liquidity [Working paper]. 2. Aggarwal, R., Prabhala, N. R., and Puri, M. (2002). Institutional allocation in initial public offerings: Empirical evidence. The Journal of Finance, 57(3), 1421–1442. 3. Barinov, A. (2016). Institutional ownership and aggregate volatility risk [Working paper]. 4. Bennett, J. A., Sias, R. W., and Starks, L. T. (2003). Greener pastures and the impact of dynamic institutional preferences. The Review of Financial Studies, 16(4), 1203–1238. 5. Bird, R., and Yeung, D. (2010). Institutional ownership and IPO performance: Australian evidence. Australian Journal of Management, 35(3), 285–306. 6. Blume, M. E., and Keim, D. B. (2012). Institutional holdings and investment performance [Unpublished working paper]. 7. Boehmer, B., Boehmer, E., and Fishe, R. P. H. (2006). Do institutions receive favorable allocations in IPOs with better long-run returns? Journal of Financial and Quantitative Analysis, 41(4), 809–828. 8. Chemmanur, T. J., Hu, G., and Huang, J. (2010). The role of institutional investors in initial public offerings. Review of Financial Studies, 23(12), 4496–4540. 9. Che-Yahya, N., Abdul-Rahim, R., and Mohd-Rashid, R. (2017). The moderating effect of information asymmetry on the signalling role of institutional investors in the Malaysian IPOs. International Journal of Economics and Management, 11(S2), 391–406. 10. Chung, H., and Zhang, H. (2011). Corporate governance and institutional ownership. Journal of Business Ethics, 100(3), 419–435. 11. Cornelli, F., and Goldreich, D. (2001). Bookbuilding and strategic allocation. The Journal of Finance, 56(6), 2337–2369. 12. Darmadi, S., and Gunawan, R. (2012). Underpricing, board structure, and ownership: An empirical examination of Indonesian IPO firms. Corporate Ownership and Control, 9(4), 305–312. 13. Deng, Q., and Zhou, Z. (2017). IPO pricing efficiency in China: A ChiNext board focus. Frontiers of Economics in China, 12(2), 280–308. 14. Ellul, A., and Pagano, M. (2006). IPO underpricing and after-market liquidity. Review of Financial Studies, 19(2), 381–421. 15. Ferreira, M. A., and Matos, P. (2008). The colors of investors’ money: The role of institutional investors around the world. Journal of Financial Economics, 88(3), 499–533. 16. Field, L. C., and Lowry, M. (2009). Institutional versus individual investment in IPOs: The importance of firm fundamentals. Journal of Financial and Quantitative Analysis, 44(3), 489–516. 17. Goyal, A., and Tam, K. (2009). Allocation of IPOs and flipping activity. Journal of Financial Economics, 93(2), 263–283. 18. Gurung, J. B., Boro, L., and Chapagain, R. (2024). Institutional investors’ role in implementing book building: Views of market participants. Investment Management and Financial Innovations, 21(4), 104–115. 19. Hanafi, M. M., and Setiawan, A. (2018). Ownership concentration, institutional ownership, and IPO underpricing: Evidence from Indonesia Stock Exchange. International Journal of Governance and Financial Intermediation, 1(1), 3–17. 20. Hribar, P., and Jenkins, N. T. (2004). The effect of accounting restatements on earnings revisions and the estimated cost of capital. Review of Accounting Studies, 9(2–3), 337–356. 21. Hu, Y., Dai, T., Li, Y., Mallick, S., Ning, L., and Zhu, B. (2021). Underwriter reputation and IPO underpricing: The role of institutional investors in the Chinese Growth Enterprise Market. International Review of Financial Analysis, 78, 101956. 22. Huang, H. Y., Chiang, M. H., Lin, J. H., and Chen, C. Y. (2017). Fixed-price, auction, and bookbuilding IPOs: Empirical evidence in Taiwan. Finance Research Letters, 22, 11–19. 23. Huyghebaert, N., and Van Hulle, C. (2004). The role of institutional investors in corporate finance. Tijdschrift voor Economie en Management, 49(4), 689–717. 24. Li, J. (2012). Institutional investors’ preferences and investment behavior: Evidence from China’s stock market. Emerging Markets Finance and Trade, 48(1), 4–16. 25. Lin, J. B., Lee, J. C., and Liu, Y. J.（2003）. IPO auctions and private information. Pacific-Basin Finance Journal, 11(5), 519–538. 26. Logue, D. E., Rogalski, R. J., Seward, J. K., and Foster-Johnson, L. (2002). What is special about the roles of underwriter reputation and market activities in initial public offerings? The Journal of Business, 75(2), 213–243. 27. Lowry, M., and Schwert, G. W. (2002). IPO market cycles: Bubbles or sequential learning? The Journal of Finance, 57(3), 1171–1200. 28. Michel, A., Oded, J. and Shaked, I. (2020). What determines institutional investors’ holdings in IPO firms? International Review of Finance, forthcoming. 29. Sias, R. W. (1996). Volatility and the institutional investor. Financial Analysts Journal, 52(2), 13–20. 30. Wang, J.-Y. (2012). Investment behaviours and IPO returns: Evidence from Taiwan. Applied Financial Economics, 22(16), 1385–1395. 31. Yung, C., Çolak, G., and Wang, W. (2008). Cycles in the IPO market. Journal of Financial Economics, 89(1), 192–208. zh_TW
