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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/38931


    Title: 台灣承銷配售制度與股市期初報酬相關性之研究
    The studies on the relationship between initial returns and the underwriting allocation methods in Taiwan
    Authors: 游為仰
    Yu, Wei-Yang
    Contributors: 姜堯民
    Chiang, Yao-Min
    游為仰
    Yu, Wei-Yang
    Keywords: 期初報酬
    initial return
    IPO
    Date: 2007
    Issue Date: 2010-04-23 19:24:30 (UTC+8)
    Abstract: 台灣自民國五十一年至九十七年期間歷經了七次的承銷制度改革，配售方式由原先的公開抽籤，歷經競價拍賣與公開抽籤並行，一直到民國九十三年，市場旋以詢價圈購為主流。本文除整理台灣承銷市場於此段時期的制度沿革外，並探究民國八十年至九十七年間，三種制度的施行是否直接地造成期初異常報酬的差異。
    透過實證研究發現，初次上市上櫃公司選擇不同的承銷配售方式確實對期初報酬的影響程度確有著顯著的不同，而三種方式的期初報酬以詢價圈購為最高，公開申購次之，競價拍賣為價格發現能力最好的承銷配售方式，其結果與國外文獻相同。但對於制度改革而言，與期初報酬並沒有直接關連性。如民國八十四年就已開放詢價圈購方式，但由於其相關承銷規定背離市場習慣，導致此方式乏人問津，直至民國九十三年做更進一步的放寬限制，方才改變市場的承銷配售方式，由此可知法令變革的宣告並無法直接影響期初價格，而是待法令改革之後，實際落實於市場方會改變市場期初報酬的現象。
    There are seven main reforms of initial public offering methods in Taiwan during 1962 to 2008. From the fixed price method transform to auction, and in 2004 the bookbuilding became the mainstream in the IPO market. In this thesis we not only compile the reform processes in IPO methods in Taiwan capital market but also study the relationship between the initial returns and the IPO methods during 1991 to 2008.
    Through the empirical studies, there are significant differences between the initial returns and three IPO methods. The auction owns the highest initial return and bookbuilding own the best price discovering mechanism. However the reform announcements could not affect the initial returns directly. The bookbuilding method is allowed in 1995 but due to deviating from custom, no firms applied it in the IPO until the further reform in 2004. The simple reform announcement could not affect the initial returns directly.
    Reference: 中文文獻
    1. 黃筱真(2000)，新上市公司股價是否過度反應及上市價差與財務體質關係之研究，國立政治大學會計研究所碩士論文
    2. 楊家溱(2000)，新上市股票超額報酬探討與不同承銷配售方式之選擇，國立交通大學經營管理研究所碩士論文。
    3. 顏美英(1992)，承銷商聲望與新上市股票超額報酬關係之實證研究，國立臺灣大學會計研究所碩士論文。
    4. 黃蘭霙，2004，我國證券承銷制度的演進與沿革，證券暨期貨月刊，第22卷第5期。
    5. 黃蘭霙，2005，承銷新制對資本市場的影響，證券暨期貨月刊，第23卷第6期。
    6. 劉玉珍、陳薇如，2004，為何詢價圈購方式逐漸取代競價拍賣，證券暨期貨月刊，第23卷第5期
    英文文獻
    7. Affleck-Graves, J., S. P. Hegde, R. E. Miller, and F. K. Reilly. “The Effect of the Trading System on the Underpricing of Initial Public Offerings.” Financial Management (1993), 99-108.
    8. Beatty, R. P. and J. R. Ritter, “Investment Banking Reputation, and the Underpricing of Initial Public Offerings”, Journal of Financial Economics, 15, pp.213-232, 1986
    9. Benveniste, L. M. and W. Y. Busaba, “Bookbuilding vs. Fixed Price: An Analysis of Competing Strategies for Marketing IPOs”, Journal of Financial and Quantitative Analysis, 32, No.4, December 1997
    10. Benveniste, L. M. and P. A. Spindt, “How Investment Bankers Determine the Offer Price and Allocation of New Issues”, Journal of Financial Economics, 24, pp.343-361, 1989
    11. Bradley, Daniel and Brad Jordan (2001) “Partial adjustment to public information and IPO underpricing,” Journal of Financial and Quantitative Analysis forthcoming.
    12. Busaba, Walid and Chun Chang, (2006), “Bookbuilding vs. Fixed Price Revisited: The Effect of Aftermarket Trading,” Working Paper.
    13. Carter, R. and S. Manaster, “Initial Public Offerings and Underwriter Reputation”, Journal of Finance, 45, pp.1045-1067, Sep. 1990
    14. Degeorge, Francois, Francois Derrien and Kent L. Womack (2007): “Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding.” Review of Financial Studies 20(4):1021-1058
    15. Derrien, Francois, and Kent L. Womack (2003) “Auctions vs. bookbuilding and the control ofunderpricing in hot IPO markets,” Review of Financial Studies 16, 31-61.
    16. Hanley, K.W., (1993) “The underpricing of initial public offerings and partial adjustment phenomenon”, Journal of Financial Economics, 34,2,(October) pp.231-251,
    17. Kaneko, Takashi, and Richard H. Pettway (2003) “Auctions versus book-building of Japanese IPOs”, Pacific-Basin Finance Journal, 11, 439–462.
    18. Kutsuna, Kenji and Richard Smith. “Why Does Book Building Drive Out Auction Methods of IPO Issuance? Evidence from Japan.” Review of Financial Studies 17, no.4 (2004): 1129-1166
    19. Jagannathan, Ravi, and Anne E. Sherman, 2006, “Why do IPO auctions fail?” NBER Working paper 12151.
    20. Louge, D.(1973), “On the Pricing of Unseasoned Equity Issues 1965-1969 .”Journal of Financial and Quantitative Analysis, 8：91-103
    21. Loughran and Ritter, 2002, “Why don`t issuers get upset about leaving money on the table in IPOs?”, The Review of Financial Studies 15, 413-443
    22. Pandey Ajay, (2005), “Initial Returns, Long Run Performance and Characteristics of Issuers: Differences in Indian IPOs Following Fixed Price and Book building Processes” IIMA Working Papers 2005-01-07, Indian Institute of Management Ahmedabad, Research and Publication Department
    23. Pukthuanthong, Kuntara, Nikhil P. Varaiya and Thomas J. Walker (2006): “Book Building versus Auction Selling Methods: A Study of U.S. IPOs”, San Diego State University Working Paper
    24. Ritter, Jay R. (1991), “The Long Run Performance of Initial Public Offerings.” Journal of Finance, Vol. 42, pp. 365-394
    25. Rock, K. “Why New Issues Are Underpriced?”, Journal of Financial Economics, 15, pp.187-212, 1986
    26. Sherman, A.E., 2000, “IPOs and Long Term Relationships: An Advantage of Bookbuilding”, Review of Financial Studies 13, 697-714.
    27. Sherman, A.E., (2005) “Global trends in IPO methods: book building versus auctions with endogenous entry”, Journal of Financial Economics 78, pp. 615–649
    Description: 碩士
    國立政治大學
    財務管理研究所
    96357004
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096357004
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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