承銷競價拍賣制度更迭與初次上市（櫃）股票期初超額報酬－台灣之實證研究

我國證券承銷制度於2016年1月起採行「承銷有價證券競價拍賣新制作業」，初次上市（櫃）（IPO）股票承銷案件應優先採用競價拍賣制度，競價拍賣方式由原先的荷蘭標（Dutch Auction）改為美國標（American Auction）訂價，降低投標門檻並擴大投資人參與以達到股權分散標準。本文以1995至2017年我國IPO股票的資料進行實證研究，結果顯示，承銷競價拍賣制度更迭前後，IPO上市櫃後的平均期初超額報酬都為正，但改制後的平均幅度與個股變異程度都大於較改制前。再者，競價拍賣實施新制後，IPO折價的平均幅度變大，且各股的變異程度亦增加。意謂在荷蘭標制度下，投資人競標出價較接近公開出售時之市場價格；採取美國標則平均競標價格低於投資者自身評估價值之平均值，造成美國標的折價幅度高於荷蘭標。最後，競價拍賣投資人標單資訊與公司財報的公開資訊可以預測IPO後股票之期初超額報酬，然而競價拍賣新制對於股票上市櫃後的期初超額報酬，相較於舊制更具價格發現的功能。依據本文對台灣實證研究發現，兩種競價拍賣制度各有所長，舊制荷蘭標有利於縮減IPO折價幅度；新制股權分散措施則是有利於IPO股票上市櫃後價格發現的功能。

關鍵字

承銷； IPO股票；期初超額報酬；競價拍賣；標單訊號

並列摘要

The new underwriting system in Taiwan was put into practice since 2016, in an underwriting case involving an initial listing of shares on a stock exchange or an OTC market, the shares are offered primarily through competitive auction. Meanwhile, the new competitive auction mechanisms was implemented. The American auction is adopted in replacement of the Dutch auction. The threshold of submitting tenders is lowered and the participation in the initial issue markets is expanded to meet the equity dispersion standards. The empirical study of this paper finds that with the new mechanisms implementations the IPOs' initial abnormal returns are on average positive with a higher mean and variation, and the underpricing of the IPOs is on average enlarged, and price discovery performs better in the IPOs' secondary markets. Finally, investors' bids in IPOs auction contain information relevant to predicting aftermarket returns, so do the public information of financial variables.