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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/50815


    Title: IPO價格穩定機制之實證研究
    A study of price stabilization in Taiwan`s IPO market
    Authors: 劉恩廷
    Contributors: 姜堯民
    劉恩廷
    Keywords: 價格穩定
    過額配售
    price stabilization
    over allotment option
    Date: 2010
    Issue Date: 2011-09-29 16:47:40 (UTC+8)
    Abstract: 本研究以承銷新制實施並取消首五日漲跌幅限制後，2005年10月至2010年9月的初次上市(櫃)公司共185間公司為樣本點，探討價格穩定機制於台灣IPO市場的實證研究。
    本文實證研究結果發現，在承銷新制實施價格穩定機制後，初次上市(櫃)的首日及首五日仍然存在顯著的超額報酬。在本研究的五年研究期間，185間初次上市(櫃)樣本公司中，共有28家公司於初次上市(櫃)的首五日內跌破承銷價，但跌破承銷價發生的時間點相當集中，若承銷商要避免跌破承銷價的情形，應慎選發行時點。
    此外，本研究的實證結果也發現，公司提撥過額配售的比率愈高，初次上市(櫃)的報酬率表現會愈差，過額配售的提撥比率具有資訊內涵。最後，承銷商進場進行價格穩定操作並無法發揮價格支撐的功能。
    Reference: 1. Aggarwal, Reena, and Patrick Conroy, 1999, Price discovery in initial public offerings and therole of the lead underwriter, Journal of Finance, forthcoming.
    2. Aggarwal, Reena.(2000), Stabilization Activities by Underwriters after Initial public Offerings, Journal of Finance 55 (3): 1075-1103
    3. Allen, F. and Faulhaber, G.R., 1989, “Signalling and underpricing in the IPO market,” Journal of Financial Economics, 23, 303-323.
    Benveniste, L.M., Busaba, W.Y., 1995. Price discovery and the option value in going public. Working paper. University of Minnesota, Minneapolis, MN
    4. Carter, R. B. and S. Manaster （1990）, “Initial public offerings and underwriter reputation,” Journal of Finance, 45（4）, pp. 1045-1067. FinancialManagement, Autumn 1990, 55-64.
    5. Chemmanur, T. J. (1993). The Pricing of Initial Public Offerings: A Dynamic Model with Information Production. The Journal of Finance, 48(1), 285-304.
    6. Chowdhry, B. and Nanda, V., 1996. Stabilization, syndication and pricing of IPOs. Journal of Financial and Quantitative Analysis 31, pp. 25–42
    7. Fama, E. F. and K. R. French, 1995, “Size and book-to-market factors in earnings and returns,” Journal of Finance, 131-115.
    8. Giudici, Giancarlo, and Stefano Paleari, 1999, Underpricing, Price Stabilization and Long Run Performance in Initial Public Offerings: A Study on the Italian Stock Market Between 1985 and 1998, Working Paper, Politecnico di Milano.
    9. Hanley, K.W., Kumar, A.A. and Seguin, P.J., 1993. Price stabilization in the market for new issues. Journal of Financial Economics 34, pp. 177–198
    10. Helwege, J. and Liang, N., 2004, “Initial public offerings in hot and cold markets,” Journal of Financial and QuantitativeAnalysis, 39, 541-569.
    11. Ibbotson, R. G. （1975）, “Price performance of common stock new issues,” Journal of Financial Economics, 2 （3）, 235-272.
    12. Ibbotson, R.G., Sindelar, J.L. and Ritter, J.R., 1994, “Initial public offerings,” Journal of Applied Corporate Finance, 1, 37-45.
    13. Ljungqvist, A., Vikram , N. and Rajdeep, S., 2006, “Hot Markets, Investor Sentiment, and IPO Pricing,” The Journal of Business, 79, 4
    14. Logue, D. E. （1973）, “On the pricing of unseasoned equity issues: 1965-1969,” Journal of Financial and Quantitative Analysis, 8（1）, 91-103.
    15. Loughran, T. and Ritter, J.R., 1995, “The new issues puzzle,” Journal of Finance, 50 (1), 23-51.
    16. Loughran, T., Ritter, J.R. and Rydqvisy, K., 1994, “Initial public offerings: international insights,” Pacific basin Finance Journal, 2, 165-199.
    17. Lowry, M., and Schwert, G. W. (2002). IPO Market Cycles: Bubbles or Sequential Learning? The Journal of Finance, 57(3), 1171-1200.
    18. Ritter, J. R. （1984）, “The "Hot issue" Market of 1980”. Journal of Business, 57（2）, 215-240.
    19. Rock, K.R., 1986, “Why issues are underpriced,” Journal of Financial Economics, 15, 187-212.
    20. Sherman, A.E. and S. Titman (2002), “Building the IPO order book: underpricing and participation limits with costly information,” Journal of Financial Economics, 65, 3-29.
    21. Schultz, P., and Zaman, M.A. (1994), "Aftermarket Support and Underpricing ofInitial Public Offerings, " Journal of Financial Economics 35, 199-219.
    22. Welch, I., 1989, “Seasoned offerings, imitation costs, and the underpricing of initial public offerings,” Journal of Finance, 44, 421-449
    23. 許馨文（2004），公司治理外部監督與市場景氣對上市(櫃)公司承銷價格影響之探討，淡江大學會計學研究所碩士論文。
    24. 黃蘭霙 ，「承銷新制對資本市場的影響，證券暨期貨月刊」，第二十三卷第六期，4-14
    25. 高蘭芬、陳安琳 ，「台灣新上市股票存在承銷商安定操作行為嗎？－安定操作之直接衡量」，證券市場發展季刊，第十六卷第一期，53-96。
    26. 劉玉珍、陳薇如, 「我國證券承銷制度的演進與沿革」,證券暨期貨月刊,第二十二卷,第五期,2004年5月,16-31頁。
    27. 唐維勵，「承銷商以過額配售進行IPO安定操作之行為研究」，國立中正大學財務金融研究所碩士論文，2009年6月。
    28. 江偵泰，「IPO穩定價格操作策略」，國立政治大學商學院經營管理碩士學程財管組論文，2011年1月。
    Description: 碩士
    國立政治大學
    財務管理研究所
    97357014
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357014
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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