Baron模型的再測試

A Reexamination of Baron''s Model of IPO Underpricing

康聖鴻(Sheng-Hung Kang)

指導教授 ： 陳軒基

元智大學/管理學院/財務金融學系/碩士(2003年)

摘要

這篇研究的主要目的是利用一個嶄新且不同於Muscarella and Vetsuypens (1989)的研究方法重新測試Baron模型是否成立。本文除了以上市時自行承銷自己股票的承銷商與未自行承銷的承銷商做比較外，也將這些上市時自行承銷的承銷商樣本與同時期控制規模且為他們承銷過的公司及不分產業的其他公司分別比較，共進行三方面的探討。另外，本研究也加入有關原股東誘因的變數，這些變數對IPO underpricing而言可說是十分重要，但卻是Muscarella and Vetsuypens (1989)所沒有考慮到的，包括參與率、稀釋率、overhang及展望理論等。實證發現，當控制這些有關誘因的變數之後，得到與Muscarella and Vetsuypens (1989)相反的研究結果，即並未能顯著地拒絕Baron模型。

關鍵字

Baron模型 ； 承銷價低估 ； 代理問題 ； 誘因

並列摘要

Our paper aims at making a brand new test being different from Muscarella and Vetsuypens (1989) to test Baron’s model anew. We compare self-marked underwriters’ IPOs with nonself-marketed underwriters’ IPOs, with IPOs they lead, and with controlling timing and offer size industrial IPOs. Furthermore, we incorporate some variables about owner’s incentive that are vital to underpricing and not addressed by Muscarella and Vetsuypens (1989) into our new test. These variables include participation ratio, dilute factor, overhang, and integration or segregation. Our empirical results show that it is too premature to reject Baron’s model when we take owner’s incentive into account.

並列關鍵字

Baron''''s model ； Underpricing ； Agency problem ； Incentive

參考文獻

Allen, F., and G. R. Faulhaber, 1989, “Signaling by Underpricing in the IPO Market,” Journal of Financial Economics, 23, 303-323.

Baron, D. P., 1982, “A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues,” Journal of Finance, 37, 955-976.

Beatty, R. P., and J. R. Ritter, 1986, “Investment Banking, Reputation, and the Underpricing of Initial Public Offerings,” Journal of Financial Economics, 15, 213-232.

Bradley, D. J. and B. D. Jordan, 2002, “Partial Adjustment to Public Information and IPO Underpricing,” Journal of Financial and Quantitative Analysis, 37, 595-616.

Carter, R. B., and S. Manaster, 1990, “Initial Public Offerings and Underwriter Reputation,” Journal of Finance, 45, 1045-1067.