政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/48954

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/48954

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/48954

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48954

Title:	IPO競價拍賣制度下投資人標單資訊內涵對於股票上市後報酬率及價格變動率之影響 IPO Auction: The Effects of Investor Information Content to Aftermarket Return and Variability
Authors:	吳文傑
Contributors:	徐燕山吳文傑
Keywords:	IPO 競價拍賣制度標單資訊內涵投資者需求彈性超額認購程度峰態係數多元迴歸模型
Date:	2009
Issue Date:	2010-12-08 01:54:14 (UTC+8)
Abstract:	台灣資本市場目前已實行競價拍賣制度有十餘年之久，相關研究資料累積已具相當之規模，因此許多學者進行競價拍賣制度對於承銷制度改變影響之研究，已具相當之成果，大多針對競價拍賣制度實施後是否可以對於改善上市掛牌後股票折價幅度過大以及蜜月期過長等不效率現象進行相關探討及研究。因此，本研究針對投資人標單資訊內涵進行對報酬率及價格變動率影響之研究，於建立兩大模型研究結果分析後，我們可以清楚了解台灣競價拍賣市場中，個人投資者標單資訊內涵可以提供蜜月期報酬率及變動率的正向解釋能力與預測效果，也因此證明台灣股票市場報酬率及價格波動程度容易受一般散戶投資人情緒所影響；而法人投資者標單資訊內涵則可能由於與美國市場具有結構性差異，使得台灣市場的法人投資者標單資訊內涵無法提供模型的顯著解釋能力，肇因於台灣市場主要參與者為散戶投資人。另外一原因可能是台灣市場中的法人投資者標單資訊內涵已反映在IPO股票價格之中，因此無法對蜜月期及上市後報酬率和價格變動率有所影響。加入峰態係數進行研究後發現，投資者標單需求曲線型態對於報酬率以及價格變動率皆沒有顯著影響，顯示投資人出價集中的高狹峰型態不能解釋蜜月期及上市後的報酬率和價格變動率，可能是由於資訊早已暴露在市場中，價格也早已反映此項資訊，因此無法解釋之後的報酬率以及價格變動率型態。
Reference:	一、中文文獻部分王翰瑩，2002，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學系碩士班碩士論文劉玉珍，2002，股票需求彈性對公司財務決策的影響，行政院國家科學委員會補助專題研究計畫成果報告，國立政治大學財務管理學系二、英文文獻部分 Chiang,Y., Y, Qian, and A. E. Sherman, 2009, Endogenous Entry and Partial Adjustment in IPO Auctions: Are Institutional Investors Better Informed?, Forthcoming in Review of Financial Studies:1-48. Cornelli, F., and D. Goldreich, 2003, Bookbuilding: How Informative Is The Order Book? Journal of Finance 58: 1415-44. Degeorge, F., F. Derrien, and K. Womack, 2009, Auctioned IPOs: The US Evidence, Unpublished paper, Swiss Finance Institute. Fan, W., and H. Chen, 2006, The Effect of Auction Price Limits in IPOs: Evidence from Taiwan Stock Markets, Conference on Management, Information and Business 2006:11-32. Hsu,Y., and C. Shiu, 2004, Information Content of Investors’ Bids in IPO Auctions: Evidence in Taiwan, Journal of Financial Studies Vol. 12 No. 1:27-54. Ma, T., and T. Hu, 2003, The Determination of Underwriting Mechanisms and Its Impact on IPO Discount: Auction, Bookbuilding and Fixed Price, Journal of Financial Studies Vol.11 No.1:1-40. Sherman, A. 2005. Global Trends in IPO Methods: Bookbuilding versus Auctions with Endogenous Entry. Journal of Financial Economics 78: 615-49.
Description:	碩士國立政治大學財務管理研究所 97357001 98
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0097357001
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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