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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/112354


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112354


    Title: 競價拍賣新制政策效果分析
    Analysis of Empirical Effect of New IPO Auction Policy
    Authors: 李孟霖
    Lee, Meng Lin
    Contributors: 李志宏
    李孟霖
    Lee, Meng Lin
    Keywords: 競價拍賣
    折價幅度
    競拍底價
    興櫃市場
    Date: 2017
    Issue Date: 2017-08-31 12:01:57 (UTC+8)
    Abstract: 本研究透過新制上路後至2017年5月31日間，採競價拍賣與採詢價圈購發行的公司資料，探討競價拍賣新制實施後，在法規規定下優先採競價拍賣辦理初次公開發行的公司，與採詢價圈購發行公司折價幅度的異同；在公開申購比例較低的新制競價拍賣中，一般投資人是否較難參與股票配售；而將競拍底價上限與興櫃市場交易價格連結，承銷商與發行公司是否可能透過興櫃市場價格操作，提升該上限價格計算參照期間成交均價，以增加底標訂價彈性。
    本研究另將於競價拍賣新制中的發行公司，與於1996年至2000年間採競價拍賣發行的公司進行比較，檢視與興櫃市場連結的競拍底價是否對投標者而言，更具參考性，而興櫃市場的訊息是否有助於降低競價拍賣的折價幅度。
    本研究實證結果與結論為：
    1.法規的改變可能為採競價拍賣發行的公司，帶來較詢價圈購更低的折價幅度；
    2.一般投資人在競價拍賣過程中的參與程度，顯著高於在詢價圈購配售過程的參與程度；
    3.可能存在承銷商與發行公司透過興櫃市場操作，提升競拍底價上限計算參照期間股價，以增加底標訂價彈性的現象；
    4.投標者對與興櫃市場連結的競拍底價參考程度提高，但興櫃市場的訊息並未提升競價拍賣方式的價格發現能力。
    We study IPO firms using auction and book building under new IPO auction policy to investigate the degree of underpricing of those IPO firms. Our sample consists of firms from January 1, 2016 to May 31, 2017. We study whether it is harder for retail investors to participate in the process of IPO auction under new IPO auction policy. And we also investigate if it is possible that underwriters as well as issuers trade in the emerging stock market to drive up prices in order to affect the calculation of the upper limit of minimum bid price.
    This research also compare firms using auction under new IPO auction policy with firms using auction from 1996 to 2000 to see if setting the upper limit of minimum bid price based on the prices in the emerging stock market conveys more information to the bidders and whether the information from the emerging stock market helps lower the degree of underpricing.
    Our study shows that:
    1.Under new IPO auction policy, firms using auction enjoy relatively lower degree of underpricing compared to firms using book building.
    2.Retail investors are more involved in the process of IPO auction than in the process of book building.
    3.It is possible that underwriters and issuers trade in the emerging stock market to drive up prices in order to affect the calculation of the upper limit of minimum bid price.
    4.Setting the upper limit of minimum bid price based on the prices in the emerging stock market conveys more information to the bidders but doesn’t help lower the degree of underpricing.
    Reference: 一、中文部分
    王翰瑩(民91年)，競價拍賣制度下投標者行為差異之探討，國立政治大學財務管理研究所碩士論文。
    朱心蘅, 陳怡諠, 與邱惠貞（民99年），興櫃市場首次公開發行超額報酬與資訊揭露效果之探討，台灣金融財務季刊，第11卷第1期，4月，頁69-92。
    江淑貞與吳桂燕(民102年)，為何臺灣的競價拍賣逐漸式微於初次上市市場，臺大管理論叢，第23卷第2期，6月，頁29-64。
    馬黛與胡德中(民92年)，承銷配售機制之決定及其對IPO折價之影響：競價拍賣、詢價圈購與公開申購，財務金融學刊，第11卷第1期，4月，頁1-40。
    郭峻豪(民98年)，競價拍賣折價程度與承銷商市占率之關係，國立政治大學財務管理研究所碩士論文。
    陳香吟（民103年），興櫃股票市場發行面之興利及改革措施，證券暨期貨月刊，第32卷第9期，9月，頁6-16。
    陳湘琴（民104年），推動初次上市(櫃)案件優先採用競價拍賣方式辦理承銷，證券暨期貨月刊，第33卷第12期，12月，頁27-41。
    陳禮隆（民100年），申請上市櫃過程中股票價格之變化：來自興櫃市場的實證，國立中央大學財務金融學系碩士在職專班學位論文。
    游為仰 (民98年)，台灣承銷配售制度與股市期初報酬相關性之研究，國立政治大學財務管理研究所碩士論文。
    黃佩佩（民100年），淺談承銷制度與改革，證券暨期貨月刊，第29卷第5期，5月，頁5-23。
    黃茂欣（民100年），新股初次上市(櫃)報酬分析與興櫃市場價格發現機能，國立政治大學財務管理研究所碩士論文。
    二、英文部分
    Allen, F., & Faulhaber, G. R. (1989). Signalling by underpricing in the IPO market. Journal of financial Economics, 23(2), 303-323.
    Brealey, R., Leland, H. E., & Pyle, D. H. (1977). Informational asymmetries, financial structure, and financial intermediation. The journal of Finance, 32(2), 371-387.
    Chen, H. C., & Wu, S. C. (2015). Who makes the choice on IPO underwriting methods? Issuers versus underwriters. Financial Management, 44(4), 753-783.
    Derrien, F., & Womack, K. L. (2003). Auctions vs. bookbuilding and the control of underpricing in hot IPO markets. The Review of Financial Studies, 16(1), 31-61.
    Ibbotson, R. G. (1975). Price performance of common stock new issues. Journal of financial economics, 2(3), 235-272.
    Jagannathan, R., & Sherman, A. E. (2006). Why do IPO auctions fail? (No. w12151). National Bureau of Economic Research.
    Jain, B. A., & Kini, O. (1994). The post‐issue operating performance of IPO firms. The journal of finance, 49(5), 1699-1726.
    Lowry, M., Officer, M. S., & Schwert, G. W. (2010). The variability of IPO initial returns. The Journal of Finance, 65(2), 425-465.
    Pettway, R. H., & Kaneko, T. (1996). The effects of removing price limits and introducing auctions upon short-term IPO returns: The case of Japanese IPOs. Pacific-Basin Finance Journal, 4(2), 241-258.
    Ritter, J. R. (1984). The" hot issue" market of 1980. Journal of Business, 215-240.
    Rock, K. (1986). Why new issues are underpriced. Journal of financial economics, 15(1-2), 187-212.
    Sherman, A. E. (2005). Global trends in IPO methods: Book building versus auctions with endogenous entry. Journal of Financial Economics, 78(3), 615-649.
    Welch, I. (1989). Seasoned offerings, imitation costs, and the underpricing of initial public offerings. The Journal of Finance, 44(2), 421-449.
    Description: 碩士
    國立政治大學
    財務管理研究所
    104357003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104357003
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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