以詢價圈購方式辦理首次公開發行之承銷商訂價效率性研究

The Efficiency of IPO Pricing Process under Book Building Method

王育偉(Yu-Wei Wang) ； 鄭揚耀(Lee-Young Cheng) ； 藍立章(Li-Chang Lan)

《證券市場發展季刊》 30卷2期 (2018/06) Pp. 63-101

https://doi.org/10.6529/RSFM.201806_30(2).0002

摘要

本研究以台灣首次公開發行且採用詢價圈購為配售方式的案件，探討承銷商訂價效率。實證結果發現承銷商僅部分調整訂價前資訊，而且僅部分調整好資訊，但對於壞資訊卻充分反應，支持台灣詢價圈購制度具有部份價格調整及資訊調整不對稱現象。此外，本研究也發現承銷商發行前兩次價格調整皆可預測首次交易日股價表現，連續向上調整反應較高的首日報酬率，連續向下調整則反應較低的首日報酬率，但從價格調整對於首日報酬率影響的敏感性來看，本研究支持第一次價格調整對於首日報酬率影響更為顯著，顯示過去文獻在討論台灣詢價圈購議題上，忽略預約諮詢制度的重要性。

關鍵字

首次公開發行 ； 詢價圈購機制 ； 預約諮詢機制 ； 部分價格調整理論 ； 資訊調整不對稱

並列摘要

This study explores whether the price setting process of IPO is efficient when underwriters adopt bookbuilding system in Taiwan. The empirical results show that price adjustment process before IPO only partially incorporate good news but fully incorporate bad news, supporting partial adjustment and information asymmetric adjustment on underwriters pricing strategy. In addition, this study finds that both two price adjustments before IPO can predict initial returns. Continuous upward (downward) adjustment has higher (lower) initial returns and first price adjustment has a higher impact on initial returns than second price adjustment. This also indicates that earlier studies ignore the importance of pre bookbuilding inquiry on price setting process.

並列關鍵字

IPO ； Bookbuilding ； Pre-bookbuilding inquiry ； Partial adjustment theory ； Information asymmetric adjustment

參考文獻

Chang, C., Y. M. Chiang, Y. Qian and J. R. Ritter (2016), “Pre-market Trading and IPO Pricing,” Review of Financial Studies, Advance Access10.1093/rfs/hhw032.

Benveniste, L. M. and P. A. Spindt (1989), “How Investment Bankers Determine the Offer Price and Allocation of New Issues,” Journal of Financial Economics, Vol. 24, No.2, 343-362.

Binay, M. M. and C. A. Prinsky (2003), “Institutional Participation in IPOs,” Working Paper, Koc University Istanbul.

Bradley, D. and B. Jordan (2002), “Partial Adjustment to Public Information and IPO Underpricing,” Journal of Financial and Quantitative Analysis, Vol. 37, No.4, 595-616.

Carter, R. B. and S. Manaster (1990), “Initial Public Offerings and Underwriter Reputation,” Journal of Finance, Vol. 45, No.4, 1045-1067.