承銷商自行認購率對折價幅度與初次公開發行股票績效的影響

The Influence of Underwriters’ Retention Rate on Underpricing and Performance of IPO stocks

陳國智(Kuo-Chih Chen)

指導教授 ： 陳軒基

元智大學/管理學院/財務金融學系/碩士(2005年)

摘要

根據台灣的法令，一家公司上市時，承銷商必須認購該公司10%-25%的初次上市股票。我們稱此認購率為“承銷商自行認購率”。這篇論文將詳細地檢視承銷商自行認購率。以下是我們的實證結果：一、承銷商自行認購率可以當作公司價值的一項指標，而上市前三年平均的EPS是影響承銷商自行認購率的主因。二、認購率越高，折價幅度越大。三、我們發現認購率對承銷商所認購的股票之績效有正向且顯著的影響。四、折價幅度會隨著市場動量與市場波動性而增大。最後，電子公司之承銷商會認購較多的股票，而承銷商的聲譽對於投資人進行投資決策時，沒有太大的影響。

關鍵字

初次公開上市 ； 認購率 ； 折價幅度 ； 承銷商 ； 股價績效

並列摘要

According to the regulation in Taiwan, when a firm is going public, the underwriters have to purchase the firm’s IPO stocks within 10%-25%. We call this purchase "underwriter retention rate." This paper is to examine the underwriter retention rate in detail. From our study, we find several empirical results as follows: First, the underwriter retention rate could serve as a signal of a firm’s value, and the 3-year average EPS before issuing is the main factors that affect the magnitude of the underwriter retention rate. Second, the higher the retention rate of underwriter, the greater the degree of underpricing. Third, we find the underwriter retention rate has positive and significant influence on underwriters’ post-IPO stock performance. Forth, the underpricing of IPOs will be increased with market momentum and volatility. Finally, the result shows that the underwriters of electronic firms will retain more IPO stocks, and the underwriter reputation is not so important to investors when making the investment decision.

並列關鍵字

IPO ； RETENTION RATE ； UNDERPRICING ； UNDERWRITER ； STOCK PERFORMANCE

參考文獻

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