過額配售與IPO報酬的關係

The Relationship between Overallotment and IPO Return

蔣佳龍(Chia-Lung Chiang)

指導教授 ： 李佩璇

國立中正大學/管理學院/財務金融學系/碩士(2014年)

摘要

我國IPO實務於2005年10月起實施過額配售制度供承銷商執行安定操作，主管機關規定承銷商應揭露過額配售及安定操作資訊。本研究探討預計過額配售比例及安定操作資訊是否能作為投資人決策之參考依據。研究結果顯示:預計過額配售比例愈高，IPO後市累積異常報酬愈低。此外，承銷商在IPO掛牌首五日期間，執行過額配售選擇權強度愈高，後市累積異常報酬愈高;穩定價格購回強度愈高，後市累積異常報酬愈低。本研究亦發現，上櫃IPO案件初始報酬、後市短期及長期報酬皆優於上市IPO案件，而市場動能與初始報酬及後市短期報酬呈顯著正相關。從風險面來看，承銷規模愈大的IPO案件，後市長期報酬愈差。另一方面，衡量IPO需求狀況的承銷價調整幅度、首日交易周轉率與IPO初始報酬呈顯著正相關，但與後市長期報酬呈顯著負相關。IPO初始異常報酬愈高，則後市報酬愈差。承銷商聲譽則與IPO報酬無關。

關鍵字

安定操作 ； 穩定價格購回 ； 過額配售選擇權 ； 過額配售 ； 累積異常報酬

並列摘要

The overallotment system, which provides underwriters stabilization activity, has been applied to Taiwan IPO market since October 2005. In Taiwan, Financial Supervision Commission (FSC) requests underwriters to disclose information of overallotment and stabilization activity. This study investigates whether the information of overallotment and stabilization activity can be helpful on investors' decision makings. The result indicates that the higher the overallotment ratio, the lower its IPO cumulative abnormal returns (CARs). In addition, during the first five-trading days of listing, the higher the intensity of underwriters' execution of greenshoe option , the higher the CARs; the higher the intensity of underwriters' execution of short covering, the lower the CARs. We also found that IPOs listed on the OTC market outperform IPOs listed on the TWSE in initial, short-term and long-term returns. Market momentum is positive correlated with initial and short-term returns. From risk perspectives, the larger the size IPO issuing, the worse its long-term return. On the other hand, the measures of the demand of IPOs, i.e. the price adjustment and the first-day turnover ratio, are positively related to initial returns, but negatively related to long-term returns. IPO initial abnormal return is negatively related to aftermarket return. However, the prestige of the underwriter is not related to IPO returns.

並列關鍵字

Cumulative Abnormal Return ； Stabilization ； Short Covering ； Greenshoe Option ； Overallotment

參考文獻

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