- 學位論文
承銷新制對新上市櫃公司短期股票報酬之研究
A Study of the Effects of Recent Underwriting Regulation Changes on Short-run Stock Returns
摘要
本研究主要探討問題有二，即驗證自承銷新制實施後，初次上市櫃股票掛牌首五日取消漲跌幅限制並由承銷商負起價格穩定責任的機制下，新上市櫃股票掛牌後的短期股價是否仍存有異常報酬之現象，及探討影響異常報酬之因素。本研究建立模型一以平均持有期間報酬率及模型二以市場調整後平均持有期間報酬率為因變數之迴歸模型，分別計算持有至掛牌第1日、第5日及第10日之平均持有期間報酬，分析承銷價與最後興櫃交易成交價格之折價比例、興櫃價格、興櫃價格本益比及大股東提撥老股進行過額配售比率等自變數，對於IPO股票之期初報酬率之關聯性。實證結果如下:1. 不論模型一或模型二，全體樣本公司在掛牌第1日均有60%以上的正的期初平均持有期間報酬，且均為掛牌10日中最高者，掛牌第5日及第10日雖仍有正的平均持有期間報酬，惟呈逐漸遞減趨勢，即新上市櫃股票的短期報酬在掛牌第1日已完全反應，就價格效率性而言，新制所作的改革確實比舊制更能迅速反應公司合理價值，提高市場效率。2. 各自變數對於IPO股票之期初平均持有期間報酬率之影響，不論模型一或模型二結果相同，分別為:(1) 承銷價與最後興櫃交易成交價格之折價比例，與股價初始報酬呈負相關，且達顯著水準。(2) 興櫃價格與股價初始報酬呈正相關，且達顯著水準。(3) 興櫃價格本益比與股價初始報酬呈正相關，且達顯著水準。(4) 大股東提撥老股進行過額配售比例與股價初始報酬之關聯性，在掛牌第1日呈正相關，在掛牌第5日與第10日呈負相關，惟均未達顯著水準。
並列摘要
The study’s objectives are to analyze whether the short-run return of IPO stock would show an abnormal initial return under the new regulation which cancels the price limit constraint for the first five days' trading, and to figure out the factors which might affect the abnormal return. The study is based on two regression models, one with average holding period return (AHPR) and the other with average market adjusted holding period return (AMHPR). The study selects four variables and examines the relationship between variables and abnormal return. Empirical results are as following: 1.Under the two of aforesaid models, the result demonstrates that the short-run return of IPO is total reflection on the first date of IPO. For the efficiency of market price, the new reformed IPO regulation can promptly reflect the reasonable price of the company than that in the old regulation. 2.Under the two of aforesaid models, the relationships between variables and abnormal return are the same and as following: (1) Significant negative relationship existed between discount ratio which means offer price and emerging stock price, and short-run abnormal return. (2) Significant positive relationship existed between emerging stock price and short-run abnormal return. (3) Significant positive relationship existed between P/B ratio of emerging stock price and short-run abnormal return. (4) The main holders’ withdraw shares percentage and short-run abnormal return showed no significant relationship existed.
參考文獻
延伸閱讀
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