台灣新上市公司承銷價格與公司價值之研究－Ohlson模式之應用

Accounting Valuation and Offer Prices for IPOs in Taiwan Stock Exchange

高誌謙(Chih-Chien Kao)

指導教授 ： 林維珩

中原大學/商學院/會計研究所/碩士(2001年)

https://doi.org/10.6840/cycu200100077

摘要

摘要

本研究係以Frankel and Lee (1998) 所採用之Ohlson模式，應用於台灣IPO市場。首先探討Ohlson模式於台灣股票市場之適用性及驗證投資人參考此一模式評價個別公司真實價值之可行性，再以Ohlson模式來探討新上市公司承銷價格之合理性及重新驗證影響underpricing之因素。
本研究以民國84年3月8日至民國87年12月底之新上市（櫃）電子公司為研究樣本。在實證研究方面，本研究先以Logit分析來檢定Ohlson模式之適用性，再以累積異常報酬(CAR)及投資報酬率之敘述統計量及Wilcoxon檢定驗證Ohlson模式投資決策之可行性，最後則以多元迴歸重新驗證影響underpricing之因素。
實證結果如下：1、 =8%之Ohlson模式三之模式適合度及解釋能力最佳，顯示此模式設計較其他模式設計適用於台灣IPO市場，且Ohlson模式在集中市場的適用性較店頭市場為佳。2、以Ohlson模式判斷是否申購新股，不論短期持有或長期持有皆可獲得相當高的報酬，顯示Ohlson模式為一良好的評價工具，且亦間接驗證了承銷價格未能真實反應新上市公司的價值。3、在蜜月期後以Ohlson模式判斷應買進或賣出股票，短期持有之累積異常報酬(CAR)及投資報酬率皆近於零，間接驗證了新股在蜜月期間並無股價超漲或不足的情況，而長期持有依然可得不錯的報酬，但已無法與實證結果2相提並論。4、以Ohlson模式計算出的公司價值作underpricing的研究設計，其R2最高，顯示較傳統的研究設計為佳，且驗證了劉蓁蓁（85）的研究，電子業新上市股票乃因承銷價訂太高而導致折價幅度縮小。

關鍵字

折價幅度(underpricing) ； 初次上市(IPO) ； 累積異常報酬(CAR) ； Ohlson模式

並列摘要

Abstract
This study applies Ohlson valuation model as implemented in Frankel and Lee (1998) to estimate investment values of IPOs in Taiwan in order to validate the accounting based valuation model advocated by Ohlson with data from Taiwan. Accounting data are the primary source of information investors can get for IPOs. Thus, IPOs provide a preferred environment for model validation. We first use Ohlson model to estimate the intrinsic values of IPOs. The estimated values are then used to discuss the reasonableness of offer price and the investment value at the end of initial go-ups. Determinants of underpricing, measured as difference of intrinsic value and offer price, are also examined.
Our sample consists of electronic companies initial public offerings during the sample period from March 1995 to the end of 1998. Due to lack of sufficient forecasted data in Taiwan, ex post realized values are used as substitutes. With regard to the discount rate, =8% results better fits. In addition, more reliable estimates from Ohlson model for companies in stock exchange than for those in over-the-counter.
We first test that whether investment decisions based on Ohlson’s intrinsic value can be successful. We show that investor can reap sizable profits for both short and long terms. At the end of a period of prices closed at price limits, we further test the profitability of an investment decision to buy (hold) or sell IPOs based on Ohlson’s intrinsic values. Empirical results show that short-term equilibrium is attained at the end of a period of prices closed at price limits (with only 3% CAR in the following 30 trading days). Nevertheless, long-term excess returns (more than 50% in the following year) exist. This suggests the value of Ohlson model to investors.
Finally we regress underpricing, measure as the difference between final price closed at price limit and offered price, on variables commonly used in the literature. The empirical result confirms Liu (1996) that the underpricing for electronic companies are smaller than those in other industries for higher offer prices. The regression also results in higher R2.

並列關鍵字

Ohlson model ； Initial public offerings (IPO) ； Cumulative abnormal return (CAR) ； Underpricing

參考文獻

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