- 學位論文
IPO後市承銷商行為之研究
An Examination of Underwriter Behavior in the IPO Aftermarket
摘要
本研究探討承銷商在IPO掛牌後市之行為，包含檢視承銷商提供流動性之能力、價格支持之能力與支持期間，以及承銷商提供流動性之能力與自營存貨利潤之關聯。本研究發現：(1)在掛牌首五日，主辦承銷商在IPO後市扮演積極的流動性提供者，並且傾向對表現不佳及表現良好的IPO案件握有大量股份，前者是為了護盤，後者是為了自身獲利考慮，而協辦承銷商在這方面則無足輕重。(2)主辦承銷商充分發揮價格支持功能，然而協辦承銷商同樣不顯著。(3)掛牌的首日及第5日主辦承銷商提供IPO股票流動性的行為與自營存貨利潤有顯著的正向關係；長期結果則顯示，IPO掛牌後兩週，由於主辦承銷商仍會為表現不佳之IPO護盤，而買入股份提供流動性，以致自營存貨利潤下降。
並列摘要
This study investigates the IPO aftermarket behavior of the underwriters, including the ability of providing IPO liquidity, the ability of providing price support and supporting period, and the relation between price support and underwriters’ inventory position profits. The results indicate that：(1) In the short run, lead underwriters play a crucial role in providing liquidity. Lead underwriters tend to hold substantial inventory position in well-performed and underperformed IPOs. The former is for price stabilization to prevent significant declines, the latter concerns underwriters own profitability. However, co-managers play a negligible role in aftermarket. (2) Lead underwriters provide price support aggressively, while co-managers play a trivial role. (3) In the first and the fifth days of IPOs, the higher lead underwriters provide liquidity, the more lead underwriters’ inventory position profits. During the first two weeks, there is a negative relation between liquidity and inventory position profits, because lead underwriters keep providing IPO price support.