證券承銷商受處分事件與其上市客戶股票報酬之關聯性分析

The Relationship between Underwriter’s Sanction and Initial Public Offering Client’s Stock Return

李謦安(Ching-An Lee)

指導教授 ： 顏怡音 ； 鄒翊

中原大學/商學院/會計研究所/碩士(2007年)

https://doi.org/10.6840/cycu200700252

摘要

證券市場是發行公司籌措資金的重要平台，也是投資人獲取收益的場所，其中，證券市場成員之一的證券承銷商，擔任發行公司品質擔保的角色，為了避免證券承銷商為追求最大利潤，而忽略風險承擔能力，甚至影響其存續及投資大眾的權益，金管會爰修正證券承銷商缺失處分之相關規範，以提昇其輔導上市、上櫃、協助發行公司募集資金案件之品質。本研究採用事件研究法中之市場指數調整模式來計算累積平均異常報酬，並針對2002至2006年間，曾被主管機關發文處分之證券承銷商，就其先前所輔導上市公司做為研究對象，樣本共計59家。本研究發現，證券承銷商受處分之點數愈多，先前受其輔導上市之客戶的股價下跌幅度愈大，符合資訊傳遞效果假說之推論。此外，證券承銷商受處分之事件揭露後，先前受其輔導上市之客戶其上市掛牌日期愈久，股價愈不可能下跌。另外，本研究發現證券承銷商受處分之事件揭露後，先前受其輔導上市客戶之財務狀況愈差，股價下跌幅度愈大，符合保險假說之推論。以上結果顯示證券承銷商的聲譽確實具有傳遞公司價值之訊號功能，故加強證券承銷商專業評估之品質，將有助於後續證券承銷業務之推展，亦能增加投資人購買受其輔導IPO股票之信心，且可協助主管機關提升證券市場之健全發展。

關鍵字

股票報酬 ； 事件研究法 ； 證券承銷商聲譽 ； 資訊傳遞效果

並列摘要

Securities market serves as a vital platform for issuing companies to raise funds and a place for investors to gain income. Lately Financial Supervisory Commission, Executive Yuan, has modified the criteria of sanctions to underwriters according to their defects, for promoting the quality of stock-into-market tutorship and assistance to the issuing companies’ fundraising, in view of that an underwriter as a member of securities market plays a key role guaranteeing the quality of issuing companies hence it is crucial to prevent an underwriter from overlooking its risk taking capability, even to the extent of affecting its own sustainability and interests of public investors, while it is pursuing for maximum profit. This study conducts CAAR (Cumulative Average Abnormal Return) by adopting the Market Adjusted Returns model in Event Study and takes as research object the listed companies having received tutorship from the underwriters officially sanctioned by the authority in the period from 2002 to 2006, the specimen size reads 59 companies in total. This study finds that the higher the underwriter’s sanction point the larger range of the stock price drop becomes in the case of the listed companies having received the tutorship from the former, in parallel to the hypothesis of the effect of information conveying. Further, upon disclosure of the event of the underwriter’s sanction, the longer the period from the initial public offering of its client, the lower possibility of the stock price drop becomes, even to the extent of zero possibility. Furthermore, this research also finds that upon disclosure of the event of the underwriter’s sanction, the worse the financial status of the listed company as a client having received its tutorship, the larger the drop range becomes, in parallel to the insurance hypothesis. The aforesaid results reveal that reputation of an underwriter indeed serves its purpose in signal function that conveys the company’s value. Therefore, strengthening the quality of professional assessments by underwriter will facilitate the promotion of subsequent underwriting businesses and at the same time will also increase confidence in the investors likely to subscribe the IPO stocks from the issuing company having received its tutorship and also will help promote well-balanced development of the securities market led by the authority.

並列關鍵字

Stock return ； Reputation ； Effect of information conveying ； Event study

參考文獻

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