Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23284
標題: Analysis of underwriting mechanism reform on the primary market
承銷制度改革對初級發行市場之影響
作者: 王筱君
Wang, Hsiao-Chun
關鍵字: IPO;新上市櫃股票;underwriting system;offer price;under pricing;reputation of underwriter;承銷制度;承銷價;折價幅度;承銷商聲譽
出版社: 財務金融系所
引用: 中文部份 李俊德,我國有價證券承銷制度,民國85年,第117頁。 謝劍平,現代投資銀行,2001年3月初版,第72~82頁。 王齡梓,我國有價證券承銷制度及承銷配售方式之研究-以上市上櫃前之承銷配售為中心,國立台北大學法學系碩士班論文,2004年6月。 李青娟,公司新股上市時配售方式之選擇與影響,國立中正大學財務金融研究所論文,2000年6月。 林象山(1995),承銷商信譽對新上市股票之影響,中國財務學刊,第三卷第一期,頁119-143。 林象山、許清華(1997),新上市股承銷方式的選擇,中國財務學刊,第五卷第一期,19-41。 姚德彰(1992),新上市股票短期均衡價格之研究,國立台灣大學財務金融研究所碩士論文。 徐韻嵐(1994),台灣承銷費率結構之研究,國立台灣大學國際企業研究所碩士論文。 許永聲(1989),新上市股票異常價格績效之驗證與探討,東海大學企管研究所碩士論文。 陳軒基 葉秀娟 陳右超,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), Review of Securities and Futures Markets, 14:4, 175-198(2003)。 張麟星(1992),我國證券承銷商承銷問題之研究,國立台灣大學會計研究所碩士論文。 楊亞奇,公開申購、部分競拍與股價調整-考量部份競拍制度引進下之實證結果,朝陽科技大學財務金融所論文,第6~9頁。 英文部分 Baron, D. (1982), A model of demand for investment banking advising and distribution services for new issue, Journal of Finance, Vol. 37, pp. 955-976. Booth, J. and R. Smith (1986), Capital raising, underwriting and the certification hypothesis, Journal of Financial Economics, Vol. 15, pp. 261-281. Bradley, D., B. Jordan, I. Roten and H-C. Yi (2001), Venture capital and IPO lockup expiration: An empirical Analysis, Journal of Financial Research, Vol. 24, pp. 465-493. Brau, J., V. Lambson and G. McQueen (2004), Lockups revisited, Journal of Financial and Quantitative Analysis, forthcoming.. Brav, A., and P., Gompers (2003), The role of lockups in initial public offerings, Review of Financial Studies, Vol. 16, pp. 1-29. Chua, L. (1995), A re-examination of the costs of firm commitment and best efforts IPOs, Financial Review, Vol. 30,pp. 337-365. Copeland, T. E. and D. Galai (1983), Information effects on the bid-ask spread, Journal of Financial, Vol. 38, pp. 1457-1469. Easley, D. and M. O’Hara (1987), Price, trade size, and information in securities markets, Journal of Financial Economics, Vol. 19, pp. 69-90. Loughran, T., J. Ritter and K. Rydqvist (1994), Initial public offerings: International insights, Pacific-Basin Finance Journal, Vol. 2, pp. 165-199. Mandelker, G. and A. Raviv (1997), Investment banking: An economic analysis of optimal underwriting contracts, Journal of Finance, Vol. 32, pp. 683-694. Mohan, N., and C. Chen (2001), Information content of lock-up provisions in initial public Offerings, International Review of Economics and Finance, Vol. 10, 41-59. Ofek, E. and M. Richardson (2000), The IPO lock-up period: Implications for market efficiency and downward sloping demand curves, Working Paper. 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, Vol. 4, pp. 241-258. Ritter, J. R. (1987), The costs of going public, Journal of Financial Economics, Vol. 15, pp. 187-212. Weiss, M. (1988), Going public: How to make your initial stock offering successful, Blue Ridge Summit, PA: Liberty House. Yen, G., E. Yen and S. L. Chen (1995), Excess returns of unseasoned new issues in Taiwan: an institutional perspective, Advances in Pacific Basin Business, Economics, and Finance, Vol. 1, pp. 337-348.
摘要: 
摘要
本研究針對民國九十四年三月承銷制度改革為研究主軸,探討是否因為承銷制度變革,而對承銷價格、折價幅度、新股市上櫃後的股價報酬表現以及新股上市櫃後的股價報酬率標準差產生影響。本文以2003年至2006年間,初次公開發行新股的承銷案件(IPO)為研究樣本,以2005年3月的承銷新制度為分界點,針對新上市櫃的股票進行討論,並且對投資人、發行公司及承銷商等相關因素進行分析,試圖了解承銷新制對於承銷產業是否造成變革性的影響。經過可適用樣本的篩選後,全部樣本為241個IPO,2003~2004年承銷新制前,共有174家上市櫃公司;2005~2006年承銷新制後,共有67家上市櫃公司。利用樣本基本統計敘述性分析、複迴歸分析加入虛擬變數等計量分析工具,檢查樣本在承銷制度改革前後的差異性及變化。
經過實證結果,得到幾個結論如下:
一、 單看樣本敘述性統計資料分析,發現民國九十四年三月承銷制度的改革,確實使初次上市櫃發行(IPO)的相關條件發生結構性改變。在承銷新制實施後,承銷價格有顯著比以往高的現象。承銷規模受到承銷價格上升的帶動,在承銷制度改革後,也有增加的現象。承銷新制後,平均每一天蜜月期可以反應20.10%的折價幅度,遠高於新制前平均每一天蜜月期只可以反應4.70%的折價幅度。折價幅度在承銷新制實施後,也遠高於改革前的折價幅度。中籤率在承銷新制實施後為6%,低於新制前的36.96%。在新制實施後,發行公司在承銷商的挑選,會偏好聲譽較佳的券商,達到承銷新制的規範與精神。發行公司的規模也在承銷新制採用後,有增加的現象。新股上市後的股價報酬率表現,在承銷新制後的表現比新制前有較好的表現。新股票上市後的股價報酬波動性,制度改革後也有增加的現象。
二、 以本研究認為會因為承銷制度的改革而隨著發生變化的四個重要因子,承銷
價格、折價幅度、新股上市後的股價報酬率及新股上市後的股價報酬波動性
為因變數,挑選也會隨著承銷新制實施而改變的十個主要自變數,發行公司
年齡、蜜月期、上市前一年稅後淨利、發行公司上市前一年普通股股本、此
次發行總金額、上市前二十五個交易日之台灣證券交易所加權股價指數報酬
率、上市首日前二十五個交易日之台灣證券交易所加權股價指數報酬率之標
準差、中籤率以及承銷商聲譽,做複迴歸分析。由複迴歸式實證結果發現,
影響四大重要因子的十個自變數影響力,確實因為承銷制度的變革,使部分
自變數影響力的方向以及程度發生改變。

Abstract
The purpose of study is to research the change of underwriting system in March, 2005, and to discuss the influence of new underwriting system on offer price, under pricing, returns and fluctuations from IPO stocks. We select 241 IPO stocks during the period of 2003 to 2006, and taking the new underwriting system in 2005 as the boundary to separate samples into two groups. The study adopts basic statistic analysis and multi-regression analysis to examine variables changes and differences caused by new underwriting system.
Empirical results are as following:
一、 From the basic statistic analysis result, we can find correlative conditions of IPO occurs structural changes because of reforming the underwriting system in March, 2005. After putting new underwriting system into practice, offer price, underwriting scale, under pricing per honeymoon, the size of the issuing company are increasing, but the odd ratio is lower than before. Besides, issuing companies prefer to choose superior reputation underwriters in order to achieve the standard and spirit of new underwriting system. The returns of IPO and fluctuate of IPO are increasing as a result of reforming the underwriting system.
二、 This study chooses four important factors that may change with the new underwriting system as dependent variables, such as offer price, under pricing, returns of IPO and fluctuation of IPO. And also selecting ten main independent variables, for instance, the age of issuing, honeymoon, net income of issuing company, common stock, the IPO amount, market momentum, market fluctuation, odd ratio and the reputation of underwriters. We use these variables to do multi-regression analysis. From the empirical results, we find that the effect of four important factors and ten main independent variables occur some degree of change because of bringing the new underwriting system into practice.
URI: http://hdl.handle.net/11455/23284
其他識別: U0005-0407200721570700
Appears in Collections:財務金融學系所

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