承銷商以過額配售進行IPO安定操作之研究

The factors of underwriter adopting over-allotment strategy to stabilize public offerings price

洪子勛(Tzu-Hsun Hung)

指導教授 ： 陳薇如

淡江大學/管理學院/會計學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00196

摘要

本研究探討事前風險、需求以及承銷商聲譽如何影響承銷商在過額配售制度下之空頭回補行為。本文根據Carvalho and Pinherio（2008）所提出之實證模型，將自變數分為事前風險、需求、承銷商聲譽三個構面，利用Probit模型以及Tobit模型來檢定影響過額配售制度下空頭回補行為之因素。實證結果如下:(1)需求是唯一影響承銷商是否空頭回補之因素。(2)當事前風險高、需求疲軟時，承銷商較容易回補至預計過額配售數量。(3)安定強度只與需求疲軟有相關。(4)承銷商有空頭回補的初次公開發行承銷案件之特徵為：大規模、發行價格較低、承銷價格區間較小、市場對此承銷案件的需求較低，並由較有聲譽的承銷商所承銷。

關鍵字

過額配售 ； 初次上市(櫃)公司 ； 空頭回補 ； 事前風險 ； 需求 ； 承銷商聲譽

並列摘要

This study discusses how ex ante risk, demand, and underwriter reputation could affect an underwriter adopting over-allotment to short covering. Focusing on the empirical model of Carvalho and Pinherio , 2008, the dependent variables are constructed as ex ante risk, demand, and underwriter reputation. The probit model and Tobit model are used to investigate the possible factors which cause an underwriter to adopt Short covering under the Over-allotment. The main result follows: (1) Demand is the only factor which affects an underwriter whether or not adopting Short covering.(2) Underwriters tend to covering until the number of shares expected to be sold via overallotment when ex ante risks are high and demands are low. (3) Intensity of the aftermarket short covering is only related to low demand (4) Characteristics in cases of underwriter adopting Short covering in IPO market are: Large offerings size, low issue price, small price interval, low market demand, the underwriter has high reputation.

並列關鍵字

overallotment ； initial offerings price ； short covering ； ex ante risks ； demand ； underwriter

參考文獻

Chen, A. and Cotter, J. (1996), The Role of Underwriter Reputation in the Stabilization of Initial Public Offerings, Working paper, The University of Iowa.

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Aggarwal, R. (2000). Satbilization Activites by Underwriters after Initial Public Offerings. Journal of Finance 55(3), 1075-1103.

Benveniste, L. M., W. Y. Busaba and W. J. Wilhelm Jr., 1996, Price stabilization as a bonding mechanism in new equity issues, Journal of Financial Economics, 42, p223-255

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