慣用公式價與詢圈價格對IPO期初報酬率的預測能力

A Comparative Investigation on Initial Returns of IPOs under Formula and Bookbuilding Pricing Methods

林虹妤(Hung-Yu Lin)

指導教授 ： 姜堯民

國立臺灣大學/管理學院/財務金融學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201600463

摘要

詢價圈購的普及使用為承銷新制改革重要的一環，然市場上的承銷價低估問題並未因此獲得解決，反而有更加嚴重的現象。因此本文欲探討承銷新制實施前的舊有慣用訂價公式是否能降低承銷價低估的問題，更進一步分析慣用公式內部變數對價格以及期初報酬的解釋能力。本研究蒐集了2005至2015年使用詢價圈購為IPO訂價方式的公司，相同樣本下重新利用慣用公式計算出一個公式價格。實證結果發現，詢圈價的期初報酬顯著大於公式價期初報酬，顯示詢圈價格有期初溢酬過高的現象，慣用公式訂價方式較無此問題。另外，根據慣用公式本益比還原值、股利率還原值、每股淨值、預估每股股利還原值四項變數做迴歸分析，得知其均對詢圈價、公式價、上市櫃第一個交易日之收盤價都具有顯著的正相關。總結來說，慣用公式較詢價圈購能反映新上市櫃股票之價值。

關鍵字

初次上市櫃 ； 期初報酬 ； 詢價圈購 ； 慣用公式

並列摘要

Bookbuilding pricing has become the mainstream in initial public offering (IPO) market since the reformation of underwriting system in 2005; however, the underpricing problem is even worse by the bookbuilding. The thesis is to compare bookbuilding price to the fixed price derived from reference pricing formula and explore how the independent variables in the formula affect price and initial returns. The sample used is the IPOs using bookbulding pricing method in Taiwan’s Stock Exchange and Over-the-Counter market during the period from 2005 to 2015. The empirical result of t-test shows that formula price initial return is significantly lower than the bookbuilding price’s. Therefore, using the reference pricing formula can decrease underpricing problem. Also, all the dependent variables are significantly positively correlated with bookbuilding price, formula price and the real closed price. Overall, reference pricing formula is better than bookbuilding in reflecting IPO’s value.

並列關鍵字

IPO ； Initial return ； Bookbuilding ； Reference pricing formula

參考文獻

馬黛、胡德中 (2003)，“承銷配售機制之決定及其對IPO折價之影響:競價拍賣、詢價圈購與公開申購” ，《財務金融學刊》，11卷1期，1-40。

姜堯民，戴維芯 (2016)，“臺灣股票初次上市櫃相關研究文獻回顧”，《經濟論文叢刊》，77-125。

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