臺灣首次公開發行股票折價之影響因素分析 -分量迴歸之應用

AN ANALYSIS OF FACTORS INFLUENCING THE IPO UNDERPRICING USING THE QUANTILE REGRESSION

沈鳳儀(SHEN, FONG-YI)

指導教授 ： 簡明哲

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2009年)

摘要

本研究探討影響台灣股票初次上市櫃（IPO）折價發行的影響因素，研究樣本包括自1998年至2007年間在台灣上市櫃的股票共586家。過去研究發現IPO的期初報酬率都有右偏的現象，因此本文應用較具有穩健性的分量迴歸進行實證研究，並以多個量化變數及虛擬變數來驗證事前不確定性、訊號發射等資訊不對稱假說，並以市場動能及波動度來驗證折價可能為市場過度反應之「熱潮假說」。
實證結果發現：一、台灣的IPO市場除普遍存在折價現象平均約有11.8％的期初報酬外，也存在市場過度反應現象，投資人過度樂觀造成股價上揚，形成一時投資熱潮（fads）。二、中籤率及配售方式對於市場調整後之期初報酬率有顯著的影響，顯示「訊號發射」理論在台灣的IPO市場是存在的，以公開申購方式或是競價拍賣方式來辦理IPO期初報酬率都小於以詢價方式；中籤率顯著為負，代表中籤率愈低，折價程度就愈高，此結果證實投資人對發行公司所做的品質調查，確實會影響次級市場的投資人行為。三、本文以發行規模、資產報酬率、承銷日至上市櫃日的天數及股利這四個變數來檢驗對折價程度的影響，結果發現台灣IPO市場確實存在事前不確定性，也就是投資人之間存在資訊不對稱的情形，亦即Rock（1986）所提出來的投資人間的資訊不對稱所造成「贏家詛咒」的現象是可能存在台灣IPO市場。

關鍵字

初次上市櫃、折價、分量迴歸、贏家詛咒、熱潮假說

並列摘要

The objective of this study is to analyze factors influencing the IPO underpricing in Taiwan’s stock market. A total of 586 IPO stocks between 1998 and 2007 are included in the sample. Previous studies had found that the initial returns of the IPO stocks are skewed to the right. Therefore, this study employs the Quantile Regression to the model to obtain a robust result. The signaling hypothesis and the “winner’s curse” of asymmetric information are tested. The market movement and volatility variables are also specified to test if the market over reaction hypothesis, the “fads,” exists.

The results of the study are as follows. First, there exist substantial abnormal initial returns, an average of 11.8% underpricing, in Taiwan’s IPO stock market. It is therefore IPO stocks investors tend to be over optimistic and will over react to the market. The fads are found prevailing in Taiwan’s IPO market. Second, the drawing rate and the IPO mechanisms are found to be important factors influencing the IPO underpricing. Initial returns on both public offering and auction mechanisms are found to be significantly less than the book building mechanism. As expected, the drawing rate is significantly negatively related to the underpricing, i.e., the lower the drawing rate, the higher the underpricing. Results above support the signaling hypothesis. Third, variables of IPO volume, ROA, duration days between underwriting and IPO, and dividends are specified to test if there exists “winner’s curse” of asymmetric information hypothesis by Rock (1986). Results show that asymmetric information does exist in Taiwan’s IPO stock investors.

並列關鍵字

IPO, Underpricing, Quantile Regression, Winner’s Curse, Fads

參考文獻

林象山（1995），「承銷商信譽對IPO股票之影響」，中國財務學刊，第三卷第一期，119-143。

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