金管會於民國93年底修訂我國公開發行公司新股票發行之承銷相關規定,並於民國94年起生效實施,本研究擬以承銷機制改變中,關於放寬漲跌幅限制及加強承銷商懲罰機制的角度,探討在取消掛牌首5日漲跌幅限制之規範與強化承銷商責任後,新上市(櫃)公司之初始異常報酬(initial abnormal return,或稱折價)是否有顯著變化。透過控制承銷價格訂定與承銷公式之差距變數後,本研究檢測加強承銷商懲罰機制改變對上市(櫃)公司掛牌交易後承銷價格之訂定與初始異常報酬變動之影響。實證結果發現,在承銷新制下,承銷商於訂定承銷價格時,相對承銷機制改變之前,確實有低估之現象,導致掛牌交易後折價幅度擴大,亦即承銷商因法規強化懲罰機制而採取相對保守的行為,而承銷價格的低估,在掛牌交易後,因股價慢慢回升至原有水準,導致後續短期績效增加。另外,也發現承銷價格訂定的愈高,在市場是一個好的訊息傳遞,因此也導致有較高的異常報酬,與林博泰(1991)指出發行價格愈高之樣本公司,期初異常報酬愈高一致。本研究進行若干敏感性測試,顯示本研究的實證結果具有穩固性。
The new shares underwriting rules of IPOs were amended in the late of 2002 by FSC and executed on 2003. From the viewpoints of releasing price limit and enforcing punishment for the underwriter in the new underwriting mechanism, this paper investigates whether the initial abnormal return of IPOs has changed significantly after removing price limit in the initial 5 trading days and strengthening responsibility for the underwriter. By the control of offer price setting and underwriting equation gap variables, this study examines the effect of underwriting mechanism changes on the offer price setting and initial abnormal returns of IPOs. The empirical result shows that under the new underwriting system, the underwriter would underprice the offering price which enlarges the discount amount. This may be the effect of the strengthening the punishment mechanism that makes some underwriter behave more conservatively. Several sensitivity tests show that the empirical result of the study is stable.