詢價圈購對股價行為之影響：臺灣地區新上市股票之實證分析

The Impact of Book-building on the Stock Price Behavior:An Empirical Analysis of TAIEX-listed Companies

陳怡如(Yi-Ju Chen)

指導教授 ： 顏吉利

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

就臺灣地區IPOs而言，與各國股市之IPOs相類似，普遍存在承銷價被低估之現象，即存在所謂「新上市蜜月行情」。本篇學位論文係以全數採行公開申購期間IPOs上市後收盤價股價行為作為比較之對象，從IPOs上市後短期超額報酬之大小、IPOs上市後收盤價跌破承銷價之比例以及IPOs上市後股價調整之速度等三個角度，剖析詢價圈購對IPOs上市後股價行為之影響。
根據民國94年1月1日至民國97年9月30日這段期間，台灣地區以詢價圈購制度配售之36檔IPOs，與自民國60年1月1日至民國84年12月31日採行公開申購期間之208檔IPOs進行比較，獲致如下之實證結果：第一、平均短期超額報酬明顯減少；第二、歷經一定之時日，IPOs上市後收盤價跌破承銷價之可能性大為提高；第三、股價調整至均衡價格所需之調整天數明顯縮短。本篇學位論文提出之三個待驗證臆說均得到實證上強而有力之支持。於此可見，詢價圈購確實會對IPOs上市後的股價行為產生舉足輕重之影響。

關鍵字

公開申購 ； 詢價圈購 ； 上市後股價行為 ； 新上市股票配售制度 ； 承銷價格

並列摘要

The thesis posits that the book-building as opposed to the pure public subscription moves up the underwriting price closer to the intrinsic value of the IPOs in Taiwan. It is expected that the stock price behavior of the IPOs in the aftermarket will be affected accordingly. The primary empirical findings with the pure public subscription sub-period as the reference group can be summarized as follows: First, as expected, the magnitude of the average short-term excess returns under the book-building is reduced. Second, as expected, the percentage of the IPOs with a transaction price at the end of a certain listing period falling below the listing price under the book-building is increased. Third, again as expected, the number of transaction days needed for reaching the equilibrium price under the book-building is shortened. All the three proposed hypotheses of the thesis have gained strong empirical support. The thesis therefore concludes that the adoption of the book-building indeed exerts substantial influences on the stock price behavior in the aftermarket for Taiwan’s IPOs.

並列關鍵字

Share Allocation Mechanisms ； Stock Price Behavior in the Aftermarket ； Public Subscription ； Underwriting Price ； Book-building

參考文獻

3.顏吉利，2007，社會科學實證方法─附經濟學說明實例。台北市：華泰文化事業股份有限公司。

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