- 學位論文
以詢價圈購方式辦理初次上市(櫃) 之承銷商訂價效率性研究
The Efficiency of IPO Pricing Process under Book Building Method
摘要
本研究目的為探討以詢價圈購為配售方式之初次上市(櫃)案件於整個發行價格訂價過程的效率性。實證結果顯示承銷商於訂定發行價格時，除了只反應部分私有資訊外，對於可免費取得的公開資訊也僅會部分調整發行價格，且公開資訊對上市(櫃)首日報酬的影響程度甚至大於私有資訊，投資人可以透過公開資訊預測上市(櫃)當天的報酬率，即台灣承銷商於初次上市(櫃)的訂價過程是不具效率性的。此外本研究發現詢價圈購前的發行價格調整幅度對上市(櫃)首日報酬也具有解釋能力，代表承銷商在訂價時也只會部分反應在詢圈前所蒐集的私有資訊，此結果為日後對於台灣承銷商訂價過程的研究提供了實證依據。
並列摘要
This paper focuses on the efficiency of whole IPO pricing process under book building method. The result suggests that underwriters do not fully incorporate neither private information nor public information into the offer price. Moreover, the effect of public information on initial return is much greater than private information. Investors can predict initial return by using public information before the offer date. That is, the IPO pricing process by Taiwan underwriters are not efficient. This study also indicates that price updates before book building have power to explain initial return, which suggests that underwriters do not fully incorporate private information collected before book building when they set the final offer price. This finding offers the foundation for studies on Taiwan IPO price-setting process in the future.